247 citations · 490 across the 10 of their papers we have counts for
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q-fin.TR2008★ 40 cited
A model for interevent times with long tails and multifractality in human communications: An application to financial trading
J. Perello, J. Masoliver, A. Kasprzak +1
Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the inter…
q-fin.TR2007★ 247 cited
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
Carl Chiarella, Giulia Iori, Josep Perello
In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed…