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Agnelli, Lorenzo
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3 results: page 1 of 1
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
Oct 2010
Journal
Segmentation Algorithm for Non-Stationary Compound Poisson Processes.
J. Doyne Farmer , Fabrizio Lillo , B. Tóth
Jan 2009
Journal
Studies of the Limit Order Book around Large Price Changes
J. Doyne Farmer , B. Tóth , Janos Kertesz