Citation Analysis – %On the use of public market data to estimate \\ metaorder impact\\ Why is the estimation of metaorder impact \\ with public market data so challenging?

Citation Analysis

%On the use of public market data to estimate \\ metaorder impact\\ Why is the estimation of metaorder impact \\ with public market data so challenging?
Manuel Naviglio, Giacomo Bormetti, Francesco Campigli, German Rodikov, Fabrizio Lillo
https://arxiv.org/abs/2501.17096

Citation mentions

Cited references

Sections

7,966

Words (approx)

References by Citation Intensity

Ordered by composite index (descending). Higher values indicate more intensive citation.

#	Reference	Year	Mentions	Breadth	Sec. Wtd	Share	Composite	Main %
1	Cont, Rama and Cucuringu, Mihai and Kochems, Jonat...	2023	6	5	11.0	0.078	1.000	100%
2	Elomari-Kessab, Salma and Maitrier, Guillaume and ...	2024	9	5	15.0	0.117	1.000	100%
3	Lillo, Fabrizio and Mike, Szabolcs and Farmer, J D... (self)	2005	5	5	8.0	0.065	1.000	100%
4	Zarinelli, Elia and Treccani, Michele and Farmer, ... (self)	2015	6	3	9.5	0.078	0.941	83%
5	Jean-Philippe Bouchaud and Yuval Gefen and Marc Po...	2003	4	4	7.0	0.052	0.928	100%
6	Hasbrouck, Joel	1991	3	3	5.0	0.039	0.843	100%
7	Sato, Yuki and Kanazawa, Kiyoshi	2023	3	3	5.0	0.039	0.843	100%
8	Bouchaud, Jean-Philippe and Farmer, J Doyne and Li... (self)	2009	4	3	6.5	0.052	0.843	75%
9	To	2011	3	3	3.5	0.039	0.737	67%
10	Bacry, Emmanuel and Iuga, Adrian and Lasnier, Matt...	2015	3	2	5.0	0.039	0.737	100%
11	Brokmann, Xavier and Serie, Emmanuel and Kockelkor...	2015	3	2	4.5	0.039	0.644	67%
12	Hasbrouck, Joel	1991	2	2	4.0	0.026	0.644	100%
13	B. Tóth and Z. Eisler and F. Lillo and J. Kockelko... (self)	2012	2	2	3.0	0.026	0.644	100%
14	T\'o	2017	2	2	3.0	0.026	0.644	100%
15	Almgren, Robert and Thum, Chee and Hauptmann, Emma...	2005	3	3	2.0	0.039	0.585	33%
16	Moro, Esteban and Vicente, Javier and Moyano, Luis... (self)	2009	2	1	4.0	0.026	0.511	100%
17	Fre	2019	1	1	1.0	0.013	0.406	100%
18	Kyle, Albert S	1985	1	1	2.0	0.013	0.406	100%
19	Bershova, Nataliya and Rakhlin, Dmitry	2013	1	1	2.0	0.013	0.406	100%
20	Bucci, Fre	2018	1	1	2.0	0.013	0.406	100%
21	Farmer, J Doyne and Gerig, Austin and Lillo, Fabri... (self)	2013	1	1	2.0	0.013	0.406	100%
22	Jonathan Donier and Julius Bonart and Iacopo Mastr...	2014	1	1	2.0	0.013	0.406	100%
23	Lu	2005	1	1	2.0	0.013	0.406	100%
24	Lillo, Fabrizio and Farmer, J Doyne (self)	2004	1	1	2.0	0.013	0.406	100%
25	Toth, Bence and Palit, Imon and Lillo, Fabrizio an... (self)	2015	1	1	2.0	0.013	0.406	100%
26	Bouchaud, Jean-Philippe and Bonart, Julius and Don...	2018	1	1	2.0	0.013	0.406	100%
27	Brémaud, Pierre and Massoulié, Laurent	2001	1	1	2.0	0.013	0.406	100%
28	Hardiman, Stephen J. and Bouchaud, Jean-Philippe	2014	1	1	2.0	0.013	0.406	100%
29	Bacry, Emmanuel and Mastromatteo, Iacopo and Muzy,...	2015	1	1	2.0	0.013	0.406	100%
30	Hardiman, Stephen and Bercot, Nicolas and Bouchaud...	2013	1	1	2.0	0.013	0.406	100%
31	Bouchaud, Jean-Philippe	2024	1	1	2.0	0.013	0.406	100%
32	Cartea, Alvaro and Jaimungal, Sebastian	2016	1	1	0.5	0.013	0.087	0%
33	Mastromatteo, Iacopo and Toth, Bence and Bouchaud,...	2014	1	1	0.5	0.013	0.087	0%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Cont, Rama and Cucuringu, Mihai and Kochems, Jonat...

2023

11.0

0.078

1.000

100%

Elomari-Kessab, Salma and Maitrier, Guillaume and ...

2024

15.0

0.117

1.000

100%

Lillo, Fabrizio and Mike, Szabolcs and Farmer, J D... (self)

2005

8.0

0.065

1.000

100%

Zarinelli, Elia and Treccani, Michele and Farmer, ... (self)

2015

9.5

0.078

0.941

83%

Jean-Philippe Bouchaud and Yuval Gefen and Marc Po...

2003

7.0

0.052

0.928

100%

Hasbrouck, Joel

1991

5.0

0.039

0.843

100%

Sato, Yuki and Kanazawa, Kiyoshi

2023

5.0

0.039

0.843

100%

Bouchaud, Jean-Philippe and Farmer, J Doyne and Li... (self)

2009

6.5

0.052

0.843

75%

2011

3.5

0.039

0.737

67%

Bacry, Emmanuel and Iuga, Adrian and Lasnier, Matt...

2015

5.0

0.039

0.737

100%

Brokmann, Xavier and Serie, Emmanuel and Kockelkor...

2015

4.5

0.039

0.644

67%

Hasbrouck, Joel

1991

4.0

0.026

0.644

100%

B. Tóth and Z. Eisler and F. Lillo and J. Kockelko... (self)

2012

3.0

0.026

0.644

100%

T\'o

2017

3.0

0.026

0.644

100%

Almgren, Robert and Thum, Chee and Hauptmann, Emma...

2005

2.0

0.039

0.585

33%

Moro, Esteban and Vicente, Javier and Moyano, Luis... (self)

2009

4.0

0.026

0.511

100%

Fre

2019

1.0

0.013

0.406

100%

Kyle, Albert S

1985

2.0

0.013

0.406

100%

Bershova, Nataliya and Rakhlin, Dmitry

2013

2.0

0.013

0.406

100%

Bucci, Fre

2018

2.0

0.013

0.406

100%

Farmer, J Doyne and Gerig, Austin and Lillo, Fabri... (self)

2013

2.0

0.013

0.406

100%

Jonathan Donier and Julius Bonart and Iacopo Mastr...

2014

2.0

0.013

0.406

100%

2005

2.0

0.013

0.406

100%

Lillo, Fabrizio and Farmer, J Doyne (self)

2004

2.0

0.013

0.406

100%

Toth, Bence and Palit, Imon and Lillo, Fabrizio an... (self)

2015

2.0

0.013

0.406

100%

Bouchaud, Jean-Philippe and Bonart, Julius and Don...

2018

2.0

0.013

0.406

100%

Brémaud, Pierre and Massoulié, Laurent

2001

2.0

0.013

0.406

100%

Hardiman, Stephen J. and Bouchaud, Jean-Philippe

2014

2.0

0.013

0.406

100%

Bacry, Emmanuel and Mastromatteo, Iacopo and Muzy,...

2015

2.0

0.013

0.406

100%

Hardiman, Stephen and Bercot, Nicolas and Bouchaud...

2013

2.0

0.013

0.406

100%

Bouchaud, Jean-Philippe

2024

2.0

0.013

0.406

100%

Cartea, Alvaro and Jaimungal, Sebastian

2016

0.5

0.013

0.087

Mastromatteo, Iacopo and Toth, Bence and Bouchaud,...

2014

0.5

0.013

0.087

Measures: Mentions = total in-text citations; Breadth = distinct sections; Sec. Wtd = section-weighted count (body ×2, lit review/appendix ×0.5); Share = mentions / total citations in paper; Composite = geometric mean of normalised count, breadth, and main-text ratio; Main % = fraction of mentions in main text (excl. appendix). (self) = self-citation.