359 citations · 550 across the 3 of their papers we have counts for
4 papers
There's more to volatility than volume
Laszlo Gillemot, J. Doyne Farmer, Fabrizio Lillo
It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatil…
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…
Statistical theory of the continuous double auction
Eric Smith, J. Doyne Farmer, Laszlo Gillemot +1
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistic…
A quantitative model of trading and price formation in financial markets
Marcus G. Daniels, J. Doyne Farmer, Laszlo Gillemot +2
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This mod…