8 citations · 10 across the 3 of their papers we have counts for
3 papers
physics.soc-ph2006★ 8 cited
Market reaction to temporary liquidity crises and the permanent market impact
Adam Ponzi, Fabrizio Lillo, Rosario N. Mantegna
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden, large variation of the spread, corresponding to a temporary crisis of liquidity in a doub…
cond-mat2000★ 1 cited
The Volatility in a Multi-share Financial Market Model
Adam Ponzi
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model a…
cond-mat1999★ 1 cited
The Values Distribution in a Competing Shares Financial Market Model
A. Ponzi, Y. Aizawa
We present our competing shares financial market model and describe its behaviour by numerical simulation. We show that in the critical region the distribution avalanches of the ma…