73 citations · 121 across the 5 of their papers we have counts for
5 papers
How markets slowly digest changes in supply and demand
Jean-Philippe Bouchaud, J. Doyne Farmer, Fabrizio Lillo
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work expl…
Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance
M. Tumminello, F. Lillo, R. N. Mantegna
The problem of filtering information from large correlation matrices is of great importance in many applications. We have recently proposed the use of the Kullback-Leibler distance…
Kullback-Leibler distance as a measure of the information filtered from multivariate data
Michele Tumminello, Fabrizio Lillo, Rosario Nunzio Mantegna
We show that the Kullback-Leibler distance is a good measure of the statistical uncertainty of correlation matrices estimated by using a finite set of data. For correlation matrice…
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…
Diffusive behavior and the modeling of characteristic times in limit order executions
Zoltan Eisler, Janos Kertesz, Fabrizio Lillo +1
We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orde…