135 citations · 302 across the 5 of their papers we have counts for
5 papers
An empirical behavioral model of liquidity and volatility
Szabolcs Mike, J. Doyne Farmer
We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple a…
Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?
J. Doyne Farmer, Austin Gerig, Fabrizio Lillo +1
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that effi…
An empirical behavioral model of price formation
Szabolcs Mike, J. Doyne Farmer
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models o…
A theory for long-memory in supply and demand
F. Lillo, Szabolcs Mike, J. Doyne Farmer
Recent empirical studies have demonstrated long-memory in the signs of orders to buy or sell in financial markets [2, 19]. We show how this can be caused by delays in market cleari…
What really causes large price changes?
J. Doyne Farmer, Laszlo Gillemot, Fabrizio Lillo +2
We study the cause of large fluctuations in prices in the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or canc…