How Markets Slowly Digest Changes in Supply and Demand

Jean-Philippe Bouchaud, J. Doyne Farmer, Fabrizio Lillo · Handbook of Financial Markets / arXiv · 2009 · quantitative-finance · record bouchaud2008-market-impact
tag layer · index · concepts · authors · עברית

Where this record's text came from. faceted 2026-08 by reading the locally held text (pdftext); every evidence string verified as an exact substring of that text before merging. Claim_type is 'mechanism' (long-memory order flow plus efficiency causes asymmetric liquidity and slow, concave, transient impact), but the article carries a large explicit critique component too — Section 3.6 is literally 'A critique of the noise trader explanation of market impact' — captured here via the contradicts relation to the Kyle model. Replication_status is 'replicated' on the strength of the paper's own statement about the long-memory finding: "Quotation withheld" The phenomenon evidence is quoted without its enclosing parentheses and trailing footnote marker, which appear in the source as "(By market impact ... market impact)1"; the quoted span itself is verbatim. 2026-08-14 and 2026-08-15 schema-0.3 passes: every quote verified as an exact substring of the staged text and anchored at merge time; concept terms verified present; every edge endpoint an existing node.

Some quotes on this page contain (cid:NN). The PDF this text was extracted from encodes 12 characters in a way that names no letter, so the extractor could not say what they were. The quotes keep them because a quote is reproduced exactly or it proves nothing — the marks are the source’s, not the tagging’s.

This record’s own method is review, and the tags below follow from that. A review’s findings, quantities and statistics are things stated IN this paper, and some of them report results obtained elsewhere. No tag on this page names a different author. Measured across every review in this corpus, 81% of a review’s tags carry no citation at all — most of them are the review speaking. The corpus does not adjudicate the rest: read an unmarked tag as a claim this paper makes, not necessarily one it made first.

How to read this page. The article itself is not reproduced here — this paper is not cleared for redistribution, so what follows is the tag layer alone. The evidence sentences are withheld with the article. The table at the foot lists every tag the record carries; each row names the facet it belongs to, and the whose words column says whether the tag records the paper's own wording or the tagger's sentence about the paper. Every tag links to each other paper in the corpus carrying it. The machine-readable edition of the same thing is the TEI file beside this one, where the tags live in standOff, and the article is at its publisher via the link below. When we have changed our mind. Some entries in the table begin with a word in capitals and the reason for it. EVIDENCE CORRECTED — the finding still stands, but we had quoted the wrong sentence from the paper, and the quotation has been replaced with the right one. RETRACTED — the entry itself was wrong; it stays on the page, marked, with the reason, rather than being deleted. WITHDRAWN AND REPLACED — the entry was wrong, and a corrected version of it appears in the entries below. Each mark carries its own reason, in brackets, because the reasons differ from one entry to the next. An entry we have WITHDRAWN is removed from this page and kept in the record, with its reason. A line reading Audit and a date is a later re-reading of the entry against its whole sentence: DOUBTFUL means it was kept, and the reason says what is loose about it. Quotation marks inside the tagger's sentence. Where a tag is the tagger's own sentence, a phrase in quotation marks inside it is borrowed from the paper — the tagger's wording around it is not. The paper's own sentence is the evidence quote for that row; on this page it is withheld with the article, and the article is at its publisher. Nothing inside quotation marks anywhere on this page is ours: if it is quoted, it is the paper's. Whose words a concept carries. A concept entry records a term the paper itself uses, so the term, the sense given for it, and its evidence are the paper's own words, quoted where the paper fixes them. This is the opposite of a sense entry in the tag table, which is the tagger's sentence about how the paper uses a term. Where a concept entry could not be grounded in the paper's words, the entry says so on its own row.

Other fields define these differently the same word, defined another way in another discipline
standard-deviation 3 fields · confidence-interval 2 fields · confidence intervals 2 fields · statistical-significance 2 fields · linear regression 2 fields · variance 2 fields

Tags on this paper

Every tag the record carries, each linking to every other paper in the corpus that carries it. A tag appears here whether or not its words occur in the article — the spans below are only the ones a sentence in this paper licenses. Of the 17 concept tags on this paper, 12 are grounded in a quoted sentence. 9 carry the tagger's gloss of what the term means in this paper, which is not something the article can license.

market microstructure price impact order flow power law market efficiency revealed liquidity latent liquidity effective market order off-book market upstairs market Marketable limit orders crossing limit orders market impact liquidity long-memory processes quotes orders A TERM IS COINED BY AN OPERATIONAL TEST RATHER THAN BY A DESCRIPTION, FOR OBJECTS THAT DO NOT COME PRE-SORTED: to treat these different types IN A UNIFIED MANNER we classify them BASED ON WHETHER AN ORDER RESULTS IN AN IMMEDIATE TRANSACTION, in which case WE CALL IT AN EFFECTIVE MARKET ORDER, or whether it leaves a limit order sitting in the book, in which case WE CALL IT AN EFFECTIVE LIMIT ORDER. The definition is a procedure a reader could run, and it replaces the types the paper started from with a classification produced by an outcome AND THEN THE QUALIFIER IS DROPPED BY ANNOUNCEMENT, SO THE FIELD'S ORDINARY WORD NOW DENOTES THE AUTHORS' CONSTRUCT: Quotation withheld The redefinition of an existing term is stated as a notational convenience, in one sentence, and every later use of the word carries it A THREE-WORD COMPOUND TERM IS DEFINED ONE WORD AT A TIME, EACH WORD GIVEN ITS OWN CLAUSE: “auction” INDICATES that participants may place quotes stating the quantities and prices at which they are willing to trade; “continuous” INDICATES that they can update, cancel or place new quotes at any time; and “double” INDICATES that the market is symmetric between buyers and sellers. The name of the institution is decomposed into three separately checkable properties WHETHER A CENTRAL CONCEPT IS VALID AT ALL IS ASKED AS A QUESTION, WITH COMPUTABILITY AS THE CRITERION: IS THE FUNDAMENTAL VALUE OF A STOCK OR A CURRENCY A VALID CONCEPT, in the sense that it CAN BE COMPUTED, AT LEAST AS A MATTER OF PRINCIPLE, WITH ARBITRARY ACCURACY with all information known at the time? The test proposed for whether a term denotes anything is whether a number could in principle be produced for it VAGUENESS IS DECLARED INTENTIONAL, AND REMOVING IT IS NAMED AS THE POINT OF THE CHAPTER: WE ARE INTENTIONALLY BEING VAGUE AT THIS STAGE ABOUT THE DEFINITION of the return and the volume; DEFINING THESE MORE PRECISELY IS ONE OF THE MAIN POINTS OF THIS CHAPTER. The imprecision is positioned as a stage of the argument rather than as a defect of it AN EQUATION IS WRITTEN AND THEN DECLARED NOT TO BE READ LITERALLY, WITH THE TWO PROPERTIES IT ASSERTS BOTH DENIED: the above equation SHOULD BE INTERPRETED RATHER LOOSELY: as we shall see below, IMPACT IS IN FACT NEITHER LINEAR NOR PERMANENT. The formalism is retained as an expository device after its content has been withdrawn A SCARE-QUOTED TERM IS CONTRADICTED BY THE MEASUREMENT IN THE SAME SENTENCE: a very important empirical fact is that EVEN “highly liquid” MARKETS ARE IN FACT NOT THAT LIQUID. The quotation marks mark the received usage and the clause after them denies it, so the word survives with its reference reversed A DEFINITION'S OWN STRICTNESS IS ASSESSED BY THE PEOPLE WHO WROTE IT: Quotation withheld The boundary of the term is traced back to the requirement that produced it, and the requirement is named A QUANTITY IS DEFINED BY A COUNTERFACTUAL NOBODY CAN STAGE, AND THE IMPOSSIBILITY IS PART OF THE DEFINITION: WE DEFINE A MECHANICAL IMPACT AS WHAT HAPPENS IF SOMEONE PLACES AN ORDER in the order book IF THIS ORDER HAS NO EFFECT ON ANY FUTURE ORDERS - we are essentially asking what happens IF AN ORDER IS INJECTED INTO THE ORDER BOOK AT RANDOM, BUT NO ONE PAYS ANY ATTENTION TO IT. The term denotes the outcome of an intervention the market makes impossible by responding A TERM IS DEFINED BY WHAT THE AGENTS CANNOT KNOW, NOT BY WHAT IS THE CASE: Quotation withheld The property named is an absence in someone's knowledge, and the definition says whose A MECHANISM IS COINED AND ITS TWO HALVES ARE STATED AS A CONCESSION AND A QUALIFICATION: Quotation withheld The name is minted for a claim that concedes the standard result and then makes it conditional A COMPARISON IS DECLARED MISLEADING UNLESS A THEORY THE FIELD DOES NOT HAVE IS SUPPLIED FIRST: Quotation withheld The condition on a valid comparison is named, and it is a theory rather than a measurement A DEFINITION IS ATTRIBUTED TO THE FIELD AND QUALIFIED BY WHICH SENSE OF THE WORD IT DEFINES: Quotation withheld The parenthesis concedes that the term has other senses, and the definition is scoped to one of them AND A SECOND SENSE OF THE SAME WORD IS GIVEN ITS OWN STRICT DEFINITION, IN OTHER PEOPLE'S VOCABULARY: Quotation withheld. One word given a second technical sense, defined strictly and in another field's vocabulary A MEASUREMENT THE FIELD RELIES ON IS SAID TO HAVE NO GOOD METHOD, AND THE SUBSTITUTE IS NAMED AS ROUGH: UNFORTUNATELY THERE ARE STILL NOT GOOD STATISTICAL METHODS FOR ASSIGNING CONFIDENCE INTERVALS FOR EXPONENTS OF POWER LAWS, particularly when the observations have long-memory - but THE ERRORS CAN BE ROUGHLY ASSESSED BY EXAMINING SUB-SAMPLES. The exponents are quoted throughout the literature; the uncertainty on them is admitted to be unavailable supply and demand price formation long-memory bid-ask spread volatility microstructure tatonnement long-memory of order flow the liquidity paradox Bayesian confidence-interval confidence intervals hypothesis-testing test the hypothesis mean average value regression linear regression standard-deviation standard deviation standard-error standard errors statistical-significance statistical significance variance review

Legend

relation to other work	`claim_relations`	how this paper stands to another: agrees, contradicts, extends, qualifies
claim type	`claim_type`	the shape of the claim: existence, mechanism, method, critique, prediction, null
concept edge	`concept_edges`	an asserted relation between two concepts, with the sentence asserting it
concept	`concepts`	an idea the paper works with, quoted where the paper uses it
content tag	`content_tags`	a finding, definition, quantity, statistic or variable named in the paper
control	`controls`	an experiment run to eliminate a rival explanation
limitation	`limitations`	what the paper says its evidence cannot support
mechanism	`mechanisms`	how the reported effect is said to come about
method	`method`	how the paper produced its evidence
phenomenon	`phenomenon`	the effect or regularity under study
sense	`senses`	a distinct use of a term, quoted where the paper fixes it
transfer	`transfers`	a method or concept carried in from another field
unrecordable relation	`unhoused_relations`	a relation the paper asserts that this vocabulary cannot express, with the reason

The paper

The full text is not reproduced here. This article is not cleared for redistribution, so the page carries the tag layer only. Its evidence sentences are withheld; the grounding status remains with each tag, and the article itself is at https://arxiv.org/abs/0809.0822. The reading view exists for the papers whose licence permits it.

Every tag on this page

claim_relations 4 · claim_type 1 · concept_edges 4 · concepts 12 · content_tags 22 · controls 1 · limitations 6 · mechanisms 15 · method 1 · phenomenon 1 · senses 7 · transfers 2 · unhoused_relations 2

Relations on this page carry a quotation for the claim. Where a relation was separately evidenced — and so tested against the vocabulary for its type — the row says so; 3 of 4 relations here carry that mark. The rest are the tagger’s reading of the sentence quoted beside them.

facet	tag	field	conf.	whose words
claim_type	mechanism Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`claim_type`		the paper's words
phenomenon	market impact and long-memory of order flow Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`phenomenon`		the paper's words
method	review Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: review	`method`		the paper's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: A TERM IS COINED BY AN OPERATIONAL TEST RATHER THAN BY A DESCRIPTION, FOR OBJECTS THAT DO NOT COME PRE-SORTED: to treat these different types IN A UNIFIED MANNER we classify them BASED ON WHETHER AN ORDER RESULTS IN AN IMMEDIATE TRANSACTION, in which case WE CALL IT AN EFFECTIVE MARKET ORDER, or whether it leaves a limit order sitting in the book, in which case WE CALL IT AN EFFECTIVE LIMIT ORDER. The definition is a procedure a reader could run, and it replaces the types the paper started from with a classification produced by an outcome	`mechanisms[0]`	0.85	the tagger's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: AND THEN THE QUALIFIER IS DROPPED BY ANNOUNCEMENT, SO THE FIELD'S ORDINARY WORD NOW DENOTES THE AUTHORS' CONSTRUCT: Quotation withheld The redefinition of an existing term is stated as a notational convenience, in one sentence, and every later use of the word carries it	`mechanisms[1]`	0.95	the tagger's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: A THREE-WORD COMPOUND TERM IS DEFINED ONE WORD AT A TIME, EACH WORD GIVEN ITS OWN CLAUSE: “auction” INDICATES that participants may place quotes stating the quantities and prices at which they are willing to trade; “continuous” INDICATES that they can update, cancel or place new quotes at any time; and “double” INDICATES that the market is symmetric between buyers and sellers. The name of the institution is decomposed into three separately checkable properties	`mechanisms[2]`	0.95	the tagger's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: WHETHER A CENTRAL CONCEPT IS VALID AT ALL IS ASKED AS A QUESTION, WITH COMPUTABILITY AS THE CRITERION: IS THE FUNDAMENTAL VALUE OF A STOCK OR A CURRENCY A VALID CONCEPT, in the sense that it CAN BE COMPUTED, AT LEAST AS A MATTER OF PRINCIPLE, WITH ARBITRARY ACCURACY with all information known at the time? The test proposed for whether a term denotes anything is whether a number could in principle be produced for it	`mechanisms[3]`	0.95	the tagger's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: VAGUENESS IS DECLARED INTENTIONAL, AND REMOVING IT IS NAMED AS THE POINT OF THE CHAPTER: WE ARE INTENTIONALLY BEING VAGUE AT THIS STAGE ABOUT THE DEFINITION of the return and the volume; DEFINING THESE MORE PRECISELY IS ONE OF THE MAIN POINTS OF THIS CHAPTER. The imprecision is positioned as a stage of the argument rather than as a defect of it	`mechanisms[4]`	0.95	the tagger's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: AN EQUATION IS WRITTEN AND THEN DECLARED NOT TO BE READ LITERALLY, WITH THE TWO PROPERTIES IT ASSERTS BOTH DENIED: the above equation SHOULD BE INTERPRETED RATHER LOOSELY: as we shall see below, IMPACT IS IN FACT NEITHER LINEAR NOR PERMANENT. The formalism is retained as an expository device after its content has been withdrawn	`mechanisms[5]`	0.95	the tagger's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: A SCARE-QUOTED TERM IS CONTRADICTED BY THE MEASUREMENT IN THE SAME SENTENCE: a very important empirical fact is that EVEN “highly liquid” MARKETS ARE IN FACT NOT THAT LIQUID. The quotation marks mark the received usage and the clause after them denies it, so the word survives with its reference reversed	`mechanisms[6]`	0.95	the tagger's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: A DEFINITION'S OWN STRICTNESS IS ASSESSED BY THE PEOPLE WHO WROTE IT: Quotation withheld The boundary of the term is traced back to the requirement that produced it, and the requirement is named	`mechanisms[7]`	0.95	the tagger's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: A QUANTITY IS DEFINED BY A COUNTERFACTUAL NOBODY CAN STAGE, AND THE IMPOSSIBILITY IS PART OF THE DEFINITION: WE DEFINE A MECHANICAL IMPACT AS WHAT HAPPENS IF SOMEONE PLACES AN ORDER in the order book IF THIS ORDER HAS NO EFFECT ON ANY FUTURE ORDERS - we are essentially asking what happens IF AN ORDER IS INJECTED INTO THE ORDER BOOK AT RANDOM, BUT NO ONE PAYS ANY ATTENTION TO IT. The term denotes the outcome of an intervention the market makes impossible by responding	`mechanisms[8]`	0.95	the tagger's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: A TERM IS DEFINED BY WHAT THE AGENTS CANNOT KNOW, NOT BY WHAT IS THE CASE: Quotation withheld The property named is an absence in someone's knowledge, and the definition says whose	`mechanisms[9]`	0.95	the tagger's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: A MECHANISM IS COINED AND ITS TWO HALVES ARE STATED AS A CONCESSION AND A QUALIFICATION: Quotation withheld The name is minted for a claim that concedes the standard result and then makes it conditional	`mechanisms[10]`	0.95	the tagger's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: A COMPARISON IS DECLARED MISLEADING UNLESS A THEORY THE FIELD DOES NOT HAVE IS SUPPLIED FIRST: Quotation withheld The condition on a valid comparison is named, and it is a theory rather than a measurement	`mechanisms[11]`	0.95	the tagger's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: A DEFINITION IS ATTRIBUTED TO THE FIELD AND QUALIFIED BY WHICH SENSE OF THE WORD IT DEFINES: Quotation withheld The parenthesis concedes that the term has other senses, and the definition is scoped to one of them	`mechanisms[12]`	0.95	the tagger's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. about this quote: The paper's other sense of the same word is mechanism [12] of this record - “a standard definition of market efficiency (in the informational sense)”. Neither sense is presented as the primary one, but that is visible only across both spans, so it is recorded here rather than asserted by either tag. also in: AND A SECOND SENSE OF THE SAME WORD IS GIVEN ITS OWN STRICT DEFINITION, IN OTHER PEOPLE'S VOCABULARY: Quotation withheld. One word given a second technical sense, defined strictly and in another field's vocabulary	`mechanisms[13]`	0.85	the tagger's words
mechanisms	mechanisms Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: A MEASUREMENT THE FIELD RELIES ON IS SAID TO HAVE NO GOOD METHOD, AND THE SUBSTITUTE IS NAMED AS ROUGH: UNFORTUNATELY THERE ARE STILL NOT GOOD STATISTICAL METHODS FOR ASSIGNING CONFIDENCE INTERVALS FOR EXPONENTS OF POWER LAWS, particularly when the observations have long-memory - but THE ERRORS CAN BE ROUGHLY ASSESSED BY EXAMINING SUB-SAMPLES. The exponents are quoted throughout the literature; the uncertainty on them is admitted to be unavailable	`mechanisms[14]`	0.95	the tagger's words
limitations	the analysis assumes universality across markets Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. what this limits: every cross-market claim: Quotation withheld	`limitations[0]`		the tagger's words
limitations	The reviewed programme is admitted to be early-stage and unsettled, with the authors' own view still changing. Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. what this limits: the standing of the whole programme: THE WORK DESCRIBED HERE IS STILL IN AN EARLY STAGE, AND IS VERY MUCH IN FLUX ... OUR OWN VIEW IS STILL CHANGING AS NEW RESULTS APPEAR	`limitations[1]`		the tagger's words
limitations	Measured hidden-order exponents do not match the value 1.5 predicted by the order-splitting theory, so the theory needs more careful testing. Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. what this limits: the order-splitting theory specifically: THE VALUE OF THE EXPONENT ... IS SLIGHTLY LARGER THAN THE VALUE 1.5 EXPECTED BY THE THEORY, and A MORE CAREFUL TESTING is needed	`limitations[2]`		the tagger's words
limitations	The market-ecology picture lacks the comprehensive empirical study it would need, because databases linking participants to strategies are hard to obtain. Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. what this limits: the market-ecology account: IT WOULD BE EXTREMELY VALUABLE TO HAVE A COMPREHENSIVE EMPIRICAL STUDY THAT CONNECTS THE HETEROGENEITY OF MARKET PARTICIPANTS WITH THEIR STRATEGY - the data linking participants to strategies do not exist	`limitations[3]`		the tagger's words
limitations	Instantaneous prices are stated not to be equilibrium prices reflecting all known information, because much of the information is withheld. Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. what this limits: an instantaneous price as an efficient price reflecting known information: the review states there is no reason to believe that, because much information is latent and withheld	`limitations[4]`	1.0	the tagger's words
limitations	Equilibrium is said to hold at best over long time scales; high-frequency prices are described as necessarily noisy. Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. what this limits: high-frequency prices as equilibrium values: the review states equilibrium can make sense at best over a long time scale	`limitations[5]`	1.0	the tagger's words
transfers	the scale of elementary transactions is named by borrowing physics' own word for its smallest level of description Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`transfers[0]`	0.95	the tagger's words
transfers	the Hurst exponent and the diffusion picture are carried into order-flow analysis, so that a market's memory is measured the way an anomalous diffusion process is Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`transfers[1]`	0.95	the tagger's words
controls	the order series reduced to its SIGN (+/-1) instead of the signed order sizes Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. eliminates: the heavy tail of order size dominating the statistic - a handful of very large orders would otherwise set the correlation almost by themselves, so the measured impact would describe those orders rather than the market · outcome (stated by the tagger, no quotation): held	`controls[0]`	0.9	the tagger's words
concepts	revealed liquidity Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: revealed liquidity	`concepts[5]`		the paper's words
concepts	latent liquidity Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: latent liquidity	`concepts[6]`		the paper's words
concepts	effective market order Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: effective market order	`concepts[7]`		the paper's words
concepts	off-book market Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: off-book market	`concepts[8]`	1.0	the paper's words
concepts	upstairs market Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: upstairs market	`concepts[9]`	1.0	the paper's words
concepts	Marketable limit orders Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: Marketable limit orders	`concepts[10]`	1.0	the paper's words
concepts	crossing limit orders Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: crossing limit orders	`concepts[11]`	1.0	the paper's words
concepts	market impact Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: market impact	`concepts[12]`	0.95	the paper's words
concepts	liquidity Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: liquidity	`concepts[13]`	0.95	the paper's words
concepts	long-memory processes Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: long-memory processes	`concepts[14]`	0.95	the paper's words
concepts	quotes Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: quotes	`concepts[15]`	0.85	the paper's words
concepts	orders Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: orders	`concepts[16]`	0.85	the paper's words
unhoused_relations	urgency → informativeness Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. THE INDEXING / PROXY RELATION - 'from' STANDS IN FOR 'to'. We have no type for it: 'causes' asserts production, and 'operationalised-as' says the authors CHOSE a measure, whereas a proxy claim says THIS STANDS IN FOR WHAT WE ACTUALLY CARE ABOUT AND WE KNOW IT IS NOT THE SAME THING. Measured at 8% of papers. A proxy held UNDER A THEORY, not asserted: 'under the theory that urgency is a proxy for informativeness, empirical work on the subject has often defined an informed trade as one that is executed by a market order'. The whole downstream definition depends on a substitution the sentence flags as theoretical.	`unhoused_relations[0]`		the tagger's words
unhoused_relations	liquidity → market impact Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. IS-AN-ASPECT-OF / IS-DEFINED-IN-TERMS-OF, AND NONE OF THE EIGHT TYPES HOLDS IT. 'liquidity REFERS…' - the paper gives 'liquidity' no content of its own; it is the size parameter of the other quantity. 'operationalised-as' is the nearest type and the gate refused it correctly: the cue vocabulary wants 'measured / defined as / quantified / computed as', and 'refers to the scale of' is a definitional gloss, not a measurement procedure. 'part-of' is wrong because a scale is not a component. 'same-as' is wrong because the two are not interchangeable - one is a response, the other is how big that response is. Filed rather than forced: typing this as 'operationalised-as' would put a measurement claim in the corpus that the paper does not make. Reached 2026-08-26 by the project during the schema 0.3 pass.	`unhoused_relations[1]`	0.9	the tagger's words
senses	liquidity - REVEALED: the liquidity a market actually shows, which the review says is vanishing Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`senses[0]`	1.0	the tagger's words
senses	liquidity - LATENT: the large volume that exists but is deliberately not shown, which is why revealed liquidity is small Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`senses[1]`	1.0	the tagger's words
senses	information - mostly generated by supply and demand itself rather than arriving from outside the market Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`senses[2]`	1.0	the tagger's words
senses	effective market order - a stipulated classification by OUTCOME rather than by order type: whether it results in an immediate transaction Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`senses[3]`	1.0	the tagger's words
senses	`off-book market` / `upstairs market` - ONE INSTITUTION, TWO EXCHANGE-LOCAL NAMES, AND THE REVIEW GIVES THE SHARED DEFINITION IMMEDIATELY AFTER: `the London Stock Exchange has what is called the off-book market and the New York Stock Exchange has what is called the upstairs market. These are both bilateral exchanges, in which members of the exchange can interact in person or via telephone.` THE AXIS IS THE VENUE, NOT THE DISCIPLINE. This corpus already carries naming split by field (`newman2003`), by language of publication (`buck2011`, tenside/surfactant) and by profession (`bishop2017`); an exchange is a fourth kind of community that names things its own way, and the two names are not even metaphorically related - one is about the order book, the other about a floor of a building. Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`senses[4]`	1.0	the tagger's words
senses	`market impact` / `liquidity` - TWO TERMS STIPULATED IN ONE PARENTHESIS, AND THE SECOND IS DEFINED OUT OF THE FIRST. `(Quotation withheld).` `liquidity` is one of the most used words in finance and it is given here no independent content at all - it is the size parameter of the other term. A reader who imports `liquidity` from any neighbouring paper imports a different quantity. NO EDGE IS PROPOSED FOR THIS PAIR. `refers to the scale of` is a definitional gloss, and the gate correctly refuses it as `operationalised-as` (which wants measured / defined as / quantified / computed as). The relation the paper states is `is an aspect of` / `is defined in terms of`, and the eight edge types do not contain it - the same gap `NOTES/RELATION_TYPE_VOCABULARY_PROPOSAL.md` is open on. Forcing the nearest type would put a measurement claim in the corpus that the paper does not make. Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`senses[5]`	0.95	the tagger's words
senses	`quotes` / `orders` - AN ALIAS OFFERED IN PASSING BECAUSE THE PAPER IS EXPLAINING AN AUCTION TO PEOPLE WHO KNOW MARKETS. `participants may place quotes (also called orders)`. The auction vocabulary is the formal one and the market vocabulary is the working one; the parenthesis exists to let the reader carry their own word through the rest of the section. Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`senses[6]`	0.85	the tagger's words
claim_relations	contradicts → a rival explanation for concave market impact Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`claim_relations[0]`		the tagger's words
claim_relations	contradicts → the Kyle model of linear, permanent price impact (Kyle [1985]) Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`claim_relations[1]`		the tagger's words
claim_relations	builds-on → Hasbrouck [1988] on impact depending on the predictability of trades Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`claim_relations[2]`		the tagger's words
claim_relations	builds-on → the long-memory order-flow discovery of Bouchaud et al. [2004] and Lillo and Farmer [2004] Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`claim_relations[3]`		the tagger's words
concept_edges	revealed liquidity —distinct-from→ latent liquidity Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. strength of the relation: 1 also in: revealed liquidity · latent liquidity	`concept_edges[0]`		the tagger's words
concept_edges	off-book market —renamed-across-fields→ upstairs market Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. the relation itself is separately evidenced · strength of the relation: 1 · note: FILED AS 'renamed-across-fields' BECAUSE THE GATE'S TEST IS THE RIGHT ONE - both names present, a naming cue ('what is called'), and a shared definition in the next sentence. But the axis is INSTITUTIONAL rather than disciplinary, and the type name says 'fields'. Recording the mismatch rather than forcing a different type: the vocabulary has one label for what are at least four axes of renaming - discipline, language, profession, and venue. · the relation stated: the two exchanges call the same bilateral venue by different local names also in: off-book market · upstairs market	`concept_edges[1]`	1.0	the tagger's words
concept_edges	Marketable limit orders —same-as→ crossing limit orders Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. the relation itself is separately evidenced · strength of the relation: 1 · note: 'Marketable limit orders (also called crossing limit orders)' - a bare parenthetical synonym, no hedge. · the relation stated: the review gives the second name parenthetically as an alternative for the first also in: Marketable limit orders · crossing limit orders	`concept_edges[2]`	1.0	the tagger's words
concept_edges	quotes —same-as→ orders Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. the relation itself is separately evidenced · strength of the relation: 1 · note: 'also called' - an explicit alias with both names inside the span. Confidence 0.85 rather than higher because both words are ordinary English and only this parenthesis ties them. · the relation stated: quotes (also called orders) also in: quotes · orders	`concept_edges[3]`	0.85	the tagger's words
content_tags	months — period over which large orders are traded incrementally Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`content_tags.quantities[0]`		the tagger's words
content_tags	revealed liquidity is so low that large orders must trade incrementally Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`content_tags.findings[0]`		the tagger's words
content_tags	Quotation withheld Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`content_tags.findings[1]`		the tagger's words
content_tags	most processed information comes from supply and demand, not external news Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`content_tags.findings[2]`		the tagger's words
content_tags	agents are at best weakly informed with noisy price impact Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above.	`content_tags.findings[3]`		the tagger's words
content_tags	market impact Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: market impact	`content_tags.variables[0]`		the tagger's words
content_tags	order flow Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: order flow	`content_tags.variables[1]`		the tagger's words
content_tags	bid-ask spread Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: bid-ask spread	`content_tags.variables[2]`		the tagger's words
content_tags	liquidity Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: liquidity	`content_tags.variables[3]`		the tagger's words
content_tags	tatonnement Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: tatonnement	`content_tags.definitions[0]`		the tagger's words
content_tags	long-memory of order flow Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: long-memory of order flow	`content_tags.definitions[1]`		the tagger's words
content_tags	market efficiency Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. about this quote: QUOTE RECOVERED FROM THE PAPER'S OWN CHARACTERS. The recorded quote was LETTERS-ONLY IDENTICAL to this stretch of the staged text but not an exact substring of it - spaces, hyphens, ligature glyphs or mathematical operators differed, so it could never anchor. This is the file's own text between the same two letters: not produced by a rule about the damage, copied out of the file. Round-trip checked (the recovered span is letters-only equal to the original) and length-checked. The text as originally recorded is kept in evidence as extracted. also in: market efficiency	`content_tags.definitions[2]`		the tagger's words
content_tags	the liquidity paradox Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: the liquidity paradox	`content_tags.definitions[3]`		the tagger's words
content_tags	Bayesian Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: Bayesian	`content_tags.statistics[0]`		the tagger's words
content_tags	confidence-interval Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: confidence-interval	`content_tags.statistics[1]`		the tagger's words
content_tags	hypothesis-testing Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: hypothesis-testing	`content_tags.statistics[3]`		the tagger's words
content_tags	mean Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: mean	`content_tags.statistics[4]`		the tagger's words
content_tags	regression Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: regression	`content_tags.statistics[5]`		the tagger's words
content_tags	standard-deviation Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. about this quote: PAGE FURNITURE IS SPLICED INTO THE 'evidence' QUOTE - a running head and a page number: 'INFORMATION, LIQUIDITY & EFFICIENCY 13'. The words on either side of it were never continuous on the page; read the quote with it deleted. also in: standard-deviation	`content_tags.statistics[6]`		the tagger's words
content_tags	standard-error Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: standard-error	`content_tags.statistics[7]`		the tagger's words
content_tags	statistical-significance Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. also in: statistical-significance	`content_tags.statistics[8]`		the tagger's words
content_tags	variance Quotation withheld — this record is not cleared for redistribution. The sentence is in the paper at the link above. about this quote: DAMAGED GLYPHS IN THIS QUOTE: (cid:96). These are raw PDF font glyph indices that leaked out in place of the characters they stand for - usually a mathematical operator. The quote is verbatim to the staged text and its anchor is sound; the STAGED TEXT is what is damaged. NOT repaired: the cid-to-character mapping is defined by the font embedded in that particular PDF, so guessing it would produce a clean and unverifiable quote. Repair needs the source PDF and is a re-staging job. also in: variance	`content_tags.statistics[9]`		the tagger's words

Interpretive choices

Tags that could not be placed in the text:

none — every tag was located in the text

What was deliberately not tagged, and why, is recorded per paper by the tagger. Where a paper has no such record, this page says so rather than implying that nothing was declined.