Items which include Fabrizio Lillo

Title Date
No. 2017-09 - Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate
Why is Order Flow So Persistent?
Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate
How Does The Market React to Your Order Flow?
How Efficiency Shapes Market Impact.
Segmentation Algorithm for Non-Stationary Compound Poisson Processes.
Market Impact and Trading Profile of Hidden Orders in Stock Markets
The Non-Random Walk of Stock Prices: The Long-Term Correlation between Signs and Sizes
A theory of aggregate market impact
How Markets Slowly Digest Changes in Supply and Demand
There's More to Volatility than Volume
Market Efficiency and the Long-Memory of Supply and Demand: Is Price Impact Variable and Permanent or Fixed and Temporary
The Key Role of Liquidity Fluctuations in Determining Large Price Fluctuations
Theory for Long Memory in Supply and Demand
What Really Causes Large Price Changes?
The Long Memory of the Efficient Market
On the Origin of Power Law Tails in Price Fluctuations
Single Curve Collapse of the Price Impact Function for the New York Stock Exchange