313 citations · 2.3k across the 31 of their papers we have counts for
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q-fin.TR2011
Models for the impact of all order book events
Zoltan Eisler, Jean-Philippe Bouchaud, Julien Kockelkoren
We propose a general framework to describe the impact of different events in the order book, that generalizes previous work on the impact of market orders. Two different modeling r…
q-fin.PR2011
Erratum for: Smile dynamics -- a theory of the implied leverage effect
Stefano Ciliberti, Jean-Philippe Bouchaud, Marc Potters
We correct a mistake in the published version of our paper. Our new conclusion is that the "implied leverage effect" for single stocks is underestimated by option markets for short…