38 citations · 75 across the 8 of their papers we have counts for
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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.…
q-fin.TR2016
A continuous and efficient fundamental price on the discrete order book grid
Julius Bonart, Fabrizio Lillo
This paper develops a model of liquidity provision in financial markets by adapting the Madhavan, Richardson, and Roomans (1997) price formation model to realistic order books with…