Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Order book approach to price impact   Buying and selling stocks causes price changes, which are described by the
price impact function. To explain the shape of this function, we study the
Island ECN orderbook. In addition to transaction data, the orderbook contains
information about potential supply and demand for a stock. The virtual price
impact calculated from this information is four times stronger than the actual
one and explains it only partially. However, we find a strong anticorrelation
between price changes and order flow, which strongly reduces the virtual price
impact and provides for a quantitative explanation of the empirical price
impact function.

14
The categories of this paper are: math-ph
21
The categories of this paper are: adap-org
15
The categories of this paper are: nucl-ex
3
The categories of this paper are: physics
34
The categories of this paper are: chem-ph
26
The categories of this paper are: bayes-an
28
The categories of this paper are: alg-geom
12
The categories of this paper are: nucl-th
5
The categories of this paper are: gr-qc
18
The categories of this paper are: econ
27
The categories of this paper are: comp-gas
25
The categories of this paper are: patt-sol
0
The categories of this paper are: hep-ph
17
The categories of this paper are: q-fin
13
The categories of this paper are: quant-ph
35
The categories of this paper are: mtrl-th