30 citations · 64 across the 4 of their papers we have counts for
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q-fin.ST2010★ 1 cited
Tick size and price diffusion
Gabriele La Spada, J. Doyne Farmer, Fabrizio Lillo
A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which af…
q-fin.ST2007
An empirical behavioral model of liquidity and volatility
Szabolcs Mike, J. Doyne Farmer
We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple a…