Publications

Filtered Results: 17 found

Apr 2019
Journal
Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
in Journal of Economic Dynamics and Control
J. Doyne Farmer, Fabrizio Lillo, François Lafond, Rupert Way, Valentyn Panchenko
Dec 2015
Paper
Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate
J. Doyne Farmer, Fabrizio Lillo, Elia Zarinelli, Michele Treccani
Dec 2014
Working Paper
Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate
J. Doyne Farmer, Fabrizio Lillo, Elia Zarinelli, Michele Treccani
Jul 2012
Journal
How Does The Market React to Your Order Flow?
J. Doyne Farmer, Fabrizio Lillo, Jean-Philippe Bouchaud, J. Kockelkoren, Z. Eisler, B. Tóth
Feb 2011
Journal
How Efficiency Shapes Market Impact.
Austin Gerig, J. Doyne Farmer, Fabrizio Lillo, Henri Waelbroeck
Oct 2010
Journal
Segmentation Algorithm for Non-Stationary Compound Poisson Processes.
J. Doyne Farmer, Fabrizio Lillo, B. Tóth
Dec 2009
Journal
Market Impact and Trading Profile of Hidden Orders in Stock Markets
Austin Gerig, Javier Vicente, Esteban Moro, Luis G. Moyano, J. Doyne Farmer, Gabriella Vaglica, Fabrizio Lillo, Rosario N. Mantegna
Apr 2008
Journal
The Non-Random Walk of Stock Prices: The Long-Term Correlation between Signs and Sizes
J. Doyne Farmer, Fabrizio Lillo, G. LaSpada
Jan 2008
Journal
A theory of aggregate market impact
Austin Gerig, J. Doyne Farmer, Fabrizio Lillo
Jan 2008
Book
How Markets Slowly Digest Changes in Supply and Demand
J. Doyne Farmer, Fabrizio Lillo, Jean-Philippe Bouchaud
Jan 2007
Journal
There's More to Volatility than Volume
J. Doyne Farmer, Fabrizio Lillo, Laszlo Gillemot
May 2005
Journal
The Key Role of Liquidity Fluctuations in Determining Large Price Fluctuations
J. Doyne Farmer, Fabrizio Lillo
Jan 2005
Journal
Theory for Long Memory in Supply and Demand
J. Doyne Farmer, Fabrizio Lillo, Szabolcs Mike
Aug 2004
Journal
What Really Causes Large Price Changes?
J. Doyne Farmer, Fabrizio Lillo, Szabolcs Mike, Laszlo Gillemot, Anindya Sen
Jan 2004
Journal
The Long Memory of the Efficient Market
J. Doyne Farmer, Fabrizio Lillo
Sep 2003
Journal
On the Origin of Power Law Tails in Price Fluctuations
J. Doyne Farmer, Fabrizio Lillo