Publications
Filtered Results: 17 found
Apr 2019 |
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 |
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 |
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 |
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 |
How Efficiency Shapes Market Impact.
Austin Gerig, J. Doyne Farmer, Fabrizio Lillo, Henri Waelbroeck |
Oct 2010 |
Segmentation Algorithm for Non-Stationary Compound Poisson Processes.
J. Doyne Farmer, Fabrizio Lillo, B. Tóth |
Dec 2009 |
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 |
The Non-Random Walk of Stock Prices: The Long-Term Correlation between Signs and Sizes
J. Doyne Farmer, Fabrizio Lillo, G. LaSpada |
Jan 2008 |
A theory of aggregate market impact
Austin Gerig, J. Doyne Farmer, Fabrizio Lillo |
Jan 2008 |
How Markets Slowly Digest Changes in Supply and Demand
J. Doyne Farmer, Fabrizio Lillo, Jean-Philippe Bouchaud |
Jan 2007 |
There's More to Volatility than Volume
J. Doyne Farmer, Fabrizio Lillo, Laszlo Gillemot |
May 2005 |
The Key Role of Liquidity Fluctuations in Determining Large Price Fluctuations
J. Doyne Farmer, Fabrizio Lillo |
Jan 2005 |
Theory for Long Memory in Supply and Demand
J. Doyne Farmer, Fabrizio Lillo, Szabolcs Mike |
Aug 2004 |
What Really Causes Large Price Changes?
J. Doyne Farmer, Fabrizio Lillo, Szabolcs Mike, Laszlo Gillemot, Anindya Sen |
Jan 2004 |
The Long Memory of the Efficient Market
J. Doyne Farmer, Fabrizio Lillo |
Sep 2003 |
On the Origin of Power Law Tails in Price Fluctuations
J. Doyne Farmer, Fabrizio Lillo |