44 citations · 55 across the 2 of their papers we have counts for
4 papers
The limit order book on different time scales
Zoltan Eisler, Janos Kertesz, Fabrizio Lillo
Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microst…
Liquidity and the multiscaling properties of the volume traded on the stock market
Zoltan Eisler, Janos Kertesz
We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger…
Dynamics of market correlations: Taxonomy and portfolio analysis
J. -P. Onnela, A. Chakraborti, K. Kaski +2
The time dependence of the recently introduced minimum spanning tree description of correlations between stocks, called the ``asset tree'' have been studied to reflect the economic…
Dynamic asset trees and Black Monday
J. -P. Onnela, A. Chakraborti, K. Kaski +1
The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns. The dynamics of this asset tree can be characterised…