27 citations · 128 across the 17 of their papers we have counts for
19 papers
Informed trading, limit order book and implementation shortfall: equilibrium and asymptotics
Umut Çetin, Henri Waelbroeck
We propose a static equilibrium model for limit order book where profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute…
How efficiency shapes market impact
J. Doyne Farmer, Austin Gerig, Fabrizio Lillo +1
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market im…
Schemata as Building Blocks: Does Size Matter?
C. R. Stephens, H. Waelbroeck, R. Aguirre
We analyze the schema theorem and the building block hypothesis using a recently derived, exact schemata evolution equation. We derive a new schema theorem based on the concept of…
Schemata Evolution and Building Blocks
C. R. Stephens, H. Waelbroeck
In the light of a recently derived evolution equation for genetic algorithms we consider the schema theorem and the building block hypothesis. We derive a schema theorem based on t…
Causal Set Dynamics: A Toy Model
A. Criscuolo, H. Waelbroeck
We construct a quantum measure on the power set of non-cyclic oriented graphs of N points, drawing inspiration from 1-dimensional directed percolation. Quantum interference pattern…
Symmetry Breaking and Adaptation: Evidence from a Toy Model of a Virus
J. Mora, C. Stephens, H. Waelbroeck
We argue that the phenomenon of symmetry breaking in genetics can enhance the adaptability of a species to changes in the environment. In the case of a virus, the claim is that the…