18 citations · 20 across the 3 of their papers we have counts for
2 papers
q-fin.ST2010★ 1 cited
Tick size and price diffusion
Gabriele La Spada, J. Doyne Farmer, Fabrizio Lillo
A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which af…
q-fin.ST2007★ 18 cited
The non-random walk of stock prices: The long-term correlation between signs and sizes
Gabriele La Spada, J. Doyne Farmer, Fabrizio Lillo
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (vo…