Publications
Filtered Results: 4 found
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 |
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 |
Jan 2002 |
How storing supply and demand affects price diffusion
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 |