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- Politecnico di TorinoIT21 papers
- University of SalernoIT19 papers
- Istituto Nazionale di Fisica Nucleare, Sezione di NapoliIT18 papers
- National Interuniversity Consortium for the Physical Sciences of MatterIT18 papers
- Centre National de la Recherche ScientifiqueFR16 papers
- University of MilanIT16 papers
- Sapienza University of RomeIT14 papers
- University of Southern CaliforniaUS14 papers
- Istituto Nazionale di Fisica Nucleare, Gruppo Collegato di Salerno13 papers
- Indiana University BloomingtonUS12 papers
- Université Paris-SudFR8 papers
- Centre de Physique ThéoriqueFR7 papers
4 papers · 1 filter
Studies of the limit order book around large price changes
Bence Toth, Janos Kertesz, J. Doyne Farmer
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measu…
Emergence of product differentiation from consumer heterogeneity and asymmetric information
Linyuan Lü, Matus Medo, Yi-Cheng Zhang +1
We introduce a fully probabilistic framework of consumer product choice based on quality assessment. It allows us to capture many aspects of marketing such as partial information a…
Waiting Times in Simulated Stock Markets
Alessandro Cappellini, Gianluigi Ferraris
Exploiting a precise reproduction of a stock exchange, the robustness of the Continuous Double Auction (CDA) mechanism, evaluated by means of the waiting time distributions, has be…
Feedback and efficiency in limit order markets
Damien Challet
A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of seque…