73 citations · 121 across the 5 of their papers we have counts for
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q-fin.TR2008★ 30 cited
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…
q-fin.TR2007★ 11 cited
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…