106 citations · 136 across the 4 of their papers we have counts for
4 papers
The adaptive nature of liquidity taking in limit order books
Damian Eduardo Taranto, Giacomo Bormetti, Fabrizio Lillo
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorr…
Why is order flow so persistent?
Bence Toth, Imon Palit, Fabrizio Lillo +1
Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders,…
How does the market react to your order flow?
Bence Toth, Zoltan Eisler, Fabrizio Lillo +3
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identi…
Tick size and price diffusion
Gabriele La Spada, J. Doyne Farmer, Fabrizio Lillo
A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which af…