38 citations · 75 across the 8 of their papers we have counts for
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q-fin.ST2024
"Microstructure Modes" -- Disentangling the Joint Dynamics of Prices & Order Flow
Salma Elomari-Kessab, Guillaume Maitrier, Julius Bonart +1
Understanding the micro-dynamics of asset prices in modern electronic order books is crucial for investors and regulators. In this paper, we use an order by order Eurostoxx databas…
q-fin.ST2016
Order statistics of horse racing and the randomly broken stick
Peter A. Bebbington, Julius Bonart
We find a remarkable agreement between the statistics of a randomly divided interval and the observed statistical patterns and distributions found in horse racing betting markets.…