347 citations · 1.3k across the 32 of their papers we have counts for
4 papers · 1 filter
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…
Single Curve Collapse of the Price Impact Function for the New York Stock Exchange
Fabrizio Lillo, J. Doyne Farmer, Rosario N. Mantegna
We study the average price impact of a single trade executed in the NYSE. After appropriate averaging and rescaling, the data for the 1000 most highly capitalized stocks collapse o…
A quantitative model of trading and price formation in financial markets
Marcus G. Daniels, J. Doyne Farmer, Laszlo Gillemot +2
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This mod…
The price dynamics of common trading strategies
J. Doyne Farmer, Shareen Joshi
A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. T…