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

Sept 2003
Journal

On the Origin of Power Law Tails in Price Fluctuations
J. Doyne Farmer , Fabrizio Lillo

Jul 2002
Journal

Single Curve Collapse of the Price Impact Function for the New York Stock Exchange
J. Doyne Farmer , Fabrizio Lillo , Rosario N. Mantegna

Publications