Showing 1–20 of 21 results
/ Date/ Name
May 2, 2021Order flow and price formationJan 24, 2021Estimating the Total Volume of Queries to a Search EngineMay 19, 2020Temporal mixture ensemble models for intraday volume forecasting in cryptocurrency exchange marketsNov 5, 2018Better to stay apart: asset commonality, bipartite network centrality, and investment strategiesSep 2, 2015Assessing systemic risk due to fire sales spillover through maximum entropy network reconstructionDec 5, 2014Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rateMay 23, 2014Modeling FX market activity around macroeconomic news: a Hawkes process approachJun 17, 2013Multi-scale analysis of the European airspace using network community detectionFeb 27, 2013Modelling the Air Transport with Complex Networks: a short reviewJun 4, 2012Calibration of optimal execution of financial transactions in the presence of transient market impactAug 3, 2009Market impact and trading profile of large trading orders in stock marketsJul 3, 2007Specialization of strategies and herding behavior of trading firms in a financial marketApr 16, 2007Scaling laws of strategic behaviour and size heterogeneity in agent dynamicsDec 1, 2006Limit order placement as an utility maximization problem and the origin of power law distribution of limit order pricesFeb 2, 2006Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?Nov 4, 2003The long memory of the efficient marketMay 23, 2003Noise dressing of the correlation matrix of factor modelsSep 30, 2002Dynamics of a financial market index after a crashNov 14, 2001Power law relaxation in a complex system: Omori law after a financial market crashJul 12, 2001Ensemble properties of securities traded in the NASDAQ market