2k citations · 2.4k across the 5 of their papers we have counts for
7 papers
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…
Analysis of a large-scale weighted network of one-to-one human communication
Jukka-Pekka Onnela, Jari Saramaki, Jorkki Hyvonen +5
We construct a connected network of 3.9 million nodes from mobile phone call records, which can be regarded as a proxy for the underlying human communication network at the societa…
Structure and tie strengths in mobile communication networks
J. -P. Onnela, J. Saramaki, J. Hyvonen +5
Electronic databases, from phone to emails logs, currently provide detailed records of human communication patterns, offering novel avenues to map and explore the structure of soci…
Spectrum, Intensity and Coherence in Weighted Networks of a Financial Market
G. Tibely, J. -P. Onnela, J. Saramaki +2
We construct a correlation matrix based financial network for a set of New York Stock Exchange (NYSE) traded stocks with stocks corresponding to nodes and the links between them ad…
Spatial snowdrift game with myopic agents
Marko Sysi-Aho, Jari Saramaki, Janos Kertesz +1
We have studied a spatially extended snowdrift game, in which the players are located on the sites of two-dimensional square lattices and repeatedly have to choose one of the two s…
Clustering and information in correlation based financial networks
J. -P. Onnela, K. Kaski, J. Kertesz
Networks of companies can be constructed by using return correlations. A crucial issue in this approach is to select the relevant correlations from the correlation matrix. In order…