80 citations · 234 across the 12 of their papers we have counts for
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q-fin.TR2009★ 8 cited
Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement
A. Zaccaria, M. Cristelli, V. Alfi +2
We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis…
q-fin.TR2009★ 15 cited
Liquidity Crisis, Granularity of the Order Book and Price Fluctuations
M. Cristelli, V. Alfi, L. Pietronero +1
We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored order…