375 citations · 938 across the 22 of their papers we have counts for
11 papers · 1 filter
Fluctuation scaling in complex systems: Taylor's law and beyond
Zoltan Eisler, Imre Bartos, Janos Kertesz
Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the act…
Fluctuation scaling versus gap scaling
Zoltan Eisler, Janos Kertesz
Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{σ^2|…
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…
Volatility: a hidden Markov process in financial time series
Zoltan Eisler, Josep Perello, Jaume Masoliver
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its po…
The dynamics of traded value revisited
Zoltan Eisler, Janos Kertesz
We conclude from an analysis of high resolution NYSE data that the distribution of the traded value (or volume) has a finite variance for the very large majority of sto…
Liquidity and the multiscaling properties of the volume traded on the stock market
Zoltan Eisler, Janos Kertesz
We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger…