The DOI matches its Crossref record; 7 of the 7 references it cites were found in a registry or an index.
Master curve for price-impact function
Overview
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Citations
Cites
Inferring Trade Direction from Intraday Data
LEE, C. M. C., & READY, M. J. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb02683.x · Cited by 3,147
Inefficient Markets: An Introduction to Behavioral Finance
Shleifer, A. (2002) · Journal of Institutional and Theoretical Economics · doi:10.1628/0932456022975402 · Cited by 1,293
Order imbalance, liquidity, and market returns
Chordia, T., Roll, R., & Subrahmanyam, A. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(02)00136-8 · Cited by 902
The Behavior of Stock Prices Around Institutional Trades
CHAN, L. K. C., & LAKONISHOK, J. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb04053.x · Cited by 793
Time and the Price Impact of a Trade
Dufour, A., & Engle, R. F. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00297 · Cited by 590
An ordered probit analysis of transaction stock prices
(1990) · DSpace@MIT (Massachusetts Institute of Technology) · Cited by 411
22 Modeling market microstructure time series
Hasbrouck, J. (1996) · Handbook of statistics · doi:10.1016/s0169-7161(96)14024-4 · Cited by 103
Cited by
60 Years of portfolio optimization: Practical challenges and current trends
Kolm, P. N., Tütüncü, R., & Fabozzi, F. J. (2014) · European Journal of Operational Research · doi:10.1016/j.ejor.2013.10.060 · Cited by 632
Dynamic Trading with Predictable Returns and Transaction Costs
GÂRLEANU, N., & PEDERSEN, L. H. (2013) · The Journal of Finance · doi:10.1111/jofi.12080 · Cited by 560
Multifractal analysis of financial markets: a review
Jiang, Z.-Q., Xie, W.-J., Zhou, W.-X., & Sornette, D. (2019) · Reports on Progress in Physics · doi:10.1088/1361-6633/ab42fb · Cited by 423
The Long Memory of the Efficient Market
Lillo, F., & Farmer, J. D. (2004) · Studies in Nonlinear Dynamics & Econometrics · doi:10.2202/1558-3708.1226 · Cited by 360
Self-citationQuantifying Wikipedia Usage Patterns Before Stock Market Moves
Moat, H. S., Curme, C., Avakian, A., Kenett, D. Y., Stanley, H. E., & Preis, T. (2013) · Scientific Reports · doi:10.1038/srep01801 · Cited by 317
Metadata
- Authors
- Lillo, F., Farmer, J. D., & Mantegna, R. N.
- Venue
- Nature
- Published
- 2003-01
- Volume
- 421
- Issue
- 6919
- Pages
- 129-130
- ISSN
- 0028-0836 (ISSN-L)
- 1476-4687
- OpenAlex
- W2078237894
- Cited by
- 451
- References
- 7
- FWCI
- 42.95
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
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How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Master curve for price-impact function. https://app.cochat.ai/papers/10.1038/421129a
- The paper
- Lillo, F., Farmer, J. D., & Mantegna, R. N. (2003). Master curve for price-impact function. Nature. https://doi.org/10.1038/421129a
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
