3 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
Jul 2003
Statistical Theory of the Continuous Double Auction
J. Doyne Farmer , Laszlo Gillemot , Eric Smith , Supriya Krishnamurthy
J. Doyne Farmer , Laszlo Gillemot , 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