228 citations · 322 across the 3 of their papers we have counts for
4 papers
Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
Angelo Carollo, Gabriella Vaglica, Fabrizio Lillo +1
We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the tradin…
Statistical identification with hidden Markov models of large order splitting strategies in an equity market
Gabriella Vaglica, Fabrizio Lillo, Rosario N. Mantegna
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In o…
Market impact and trading profile of large trading orders in stock markets
Esteban Moro, Javier Vicente, Luis G. Moyano +5
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These…
Scaling laws of strategic behaviour and size heterogeneity in agent dynamics
Gabriella Vaglica, Fabrizio Lillo, Esteban Moro +1
The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent's characteristics, such as preferences, ris…