4 results: page 1 of 1
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
J. Doyne Farmer , Laszlo Gillemot , Marcus G. Daniels , Giulia Iori , Eric Smith , Supriya Krishnamurthy
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
J. Doyne Farmer , Laszlo Gillemot , Giulia Iori , Eric Smith , Supriya Krishnamurthy , M.G. Daniels
Jan 2002
How storing supply and demand affects price diffusion
J. Doyne Farmer , Marcus G. Daniels , Giulia Iori , Eric Smith
J. Doyne Farmer , Marcus G. Daniels , Giulia Iori , Eric Smith
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
J. Doyne Farmer , Laszlo Gillemot , Marcus G. Daniels , Giulia Iori , Eric Smith