Publications

Filtered Results: 3 found

Jan 2005
Journal
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
Jul 2003
Journal
Statistical Theory of the Continuous Double Auction
J. Doyne Farmer, Laszlo Gillemot, Eric Smith, Supriya Krishnamurthy
Jan 2003
Journal
An Analysis of Price Impact Function in Order-Driven Markets
J. Doyne Farmer, Laszlo Gillemot, Giulia Iori, Eric Smith, Supriya Krishnamurthy, M.G. Daniels