Publications
Filtered Results: 6 found
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Jan 2007 |
There's More to Volatility than Volume
J. Doyne Farmer, Fabrizio Lillo, Laszlo Gillemot |
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Jan 2005 |
A Random Order Placement Model of Price Formation in the Continuous Double Auction
J. Doyne Farmer, Laszlo Gillemot, Marcus G. Daniels, Giulia Iori, Eric Smith, Supriya Krishnamurthy |
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Aug 2004 |
What Really Causes Large Price Changes?
J. Doyne Farmer, Fabrizio Lillo, Szabolcs Mike, Laszlo Gillemot, Anindya Sen |
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Jul 2003 |
Statistical Theory of the Continuous Double Auction
J. Doyne Farmer, Laszlo Gillemot, Eric Smith, Supriya Krishnamurthy |
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Jan 2003 |
An Analysis of Price Impact Function in Order-Driven Markets
J. Doyne Farmer, Laszlo Gillemot, Giulia Iori, Eric Smith, Supriya Krishnamurthy, M.G. Daniels |
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Jan 2002 |
Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process
J. Doyne Farmer, Laszlo Gillemot, Marcus G. Daniels, Giulia Iori, Eric Smith |