106 citations · 136 across the 4 of their papers we have counts for
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q-fin.ST2014★ 28 cited
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…
q-fin.ST2010★ 1 cited
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…