30 citations · 64 across the 4 of their papers we have counts for
Showing q-fin.TRShow all
2 papers · 1 filter
q-fin.TR2009★ 29 cited
Studies of the limit order book around large price changes
Bence Toth, Janos Kertesz, J. Doyne Farmer
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measu…
q-fin.TR2008★ 30 cited
How markets slowly digest changes in supply and demand
Jean-Philippe Bouchaud, J. Doyne Farmer, Fabrizio Lillo
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work expl…