28 citations · 29 across the 2 of their papers we have counts for
3 papers
Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud +2
Modeling the impact of the order flow on asset prices is of primary importance to understand the behavior of financial markets. Part I of this paper reported the remarkable improve…
Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud +2
Market impact is a key concept in the study of financial markets and several models have been proposed in the literature so far. The Transient Impact Model (TIM) posits that the pr…
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…