Large investor trading impacts on volatility
Annales de l'I.H.P. Analyse non linéaire, Tome 24 (2007) no. 2, pp. 311-323. 
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     author = {Lions, Pierre-Louis and Lasry, Jean-Michel},
     title = {Large investor trading impacts on volatility},
     journal = {Annales de l'I.H.P. Analyse non lin\'eaire},
     pages = {311--323},
     publisher = {Elsevier},
     volume = {24},
     number = {2},
     year = {2007},
     doi = {10.1016/j.anihpc.2005.12.006},
     mrnumber = {2310697},
     language = {en},
     url = {http://www.numdam.org/articles/10.1016/j.anihpc.2005.12.006/}
}
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Lions, Pierre-Louis; Lasry, Jean-Michel. Large investor trading impacts on volatility. Annales de l'I.H.P. Analyse non linéaire, Tome 24 (2007) no. 2, pp. 311-323. doi : 10.1016/j.anihpc.2005.12.006. http://www.numdam.org/articles/10.1016/j.anihpc.2005.12.006/

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