186 citations · 635 across the 15 of their papers we have counts for
3 papers · 2 filters
Why is order flow so persistent?
Bence Toth, Imon Palit, Fabrizio Lillo +1
Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders,…
Anomalous price impact and the critical nature of liquidity in financial markets
Bence Toth, Yves Lemperiere, Cyril Deremble +3
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is gener…
How does the market react to your order flow?
Bence Toth, Zoltan Eisler, Fabrizio Lillo +3
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identi…