375 citations · 938 across the 22 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.TR2011
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…