output
20072026
most citedMarket impact and trading profile of large trading orders in stock markets

228 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2007Show all

2 papers · 1 filter

q-fin.ST2007★ 18 cited

The non-random walk of stock prices: The long-term correlation between signs and sizes

Gabriele La Spada, J. Doyne Farmer, Fabrizio Lillo

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (vo…

math.OC2007

On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects

Fausto Gozzi, Carlo Marinelli, Sergei Savin

We consider a class of dynamic advertising problems under uncertainty in the presence of carryover and distributed forgetting effects, generalizing a classical model of Nerlove and…