Is Market Impact a Measure of the Information Value of Trades? Market Response to Liquidity vs. Informed Metaorders
Carla Gomes,
Henri Waelbroeck
Quantitative Finance,
vol. 15, 2015, p. 773-793.
An Empirical Study of Liquidity Dynamics and Resistance and Support Levels
Carla Gomes,
Henri Waelbroeck
Quantitative Finance,
vol. 10, 2010, p. 1099-1107.