186 citations · 635 across the 15 of their papers we have counts for
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physics.soc-ph2007★ 21 cited
On the origin of the Epps effect
Bence Toth, Janos Kertesz
The Epps effect, the decrease of correlations between stock returns for short time windows, was traced back to the trading asynchronicity and to the occasional lead-lag relation be…
physics.soc-ph2006★ 23 cited
The value of information in a multi-agent market model
Bence Toth, Enrico Scalas, Juergen Huber +1
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on t…
physics.soc-ph2005★ 77 cited
Increasing market efficiency: Evolution of cross-correlations of stock returns
Bence Toth, Janos Kertesz
We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in…