Jan 2007
Journal

There's More to Volatility than Volume
J. Doyne Farmer , Fabrizio Lillo , Laszlo Gillemot

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

Aug 2004
Journal

What Really Causes Large Price Changes?
J. Doyne Farmer , Fabrizio Lillo , Szabolcs Mike , Laszlo Gillemot , Anindya Sen

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

Jan 2002
Journal

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

Publications