463 citations · 3.2k across the 92 of their papers we have counts for
4 papers · 1 filter
What really causes large price changes?
J. Doyne Farmer, Laszlo Gillemot, Fabrizio Lillo +2
We study the cause of large fluctuations in prices in the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or canc…
The long memory of the efficient market
Fabrizio Lillo, J. Doyne Farmer
For the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation function decays roughly as with , corre…
On the origin of power law tails in price fluctuations
J. Doyne Farmer, Fabrizio Lillo
In a recent Nature paper, Gabaix et al. \cite{Gabaix03} presented a theory to explain the power law tail of price fluctuations. The main points of their theory are that volume fluc…
Noise dressing of the correlation matrix of factor models
Fabrizio Lillo, Rosario N. Mantegna
We study the spectral density of factor models of multivariate time series. By making use of the Random Matrix Theory we analytically quantify the effect of noise dressing on the s…