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subject:"Risiko"
subject:"Share price"
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Lillo, Fabrizio
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Quantitative finance
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From zero-intelligence to queue-reactive : limit-order-book modeling for high-frequency volatility estimation and optimal execution
Mariotti, Tommaso
;
Lillo, Fabrizio
;
Toscano, Giacomo
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 367-388
Persistent link: https://www.econbiz.de/10014232657
Saved in:
2
Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe
;
Ciacci, Alberto
;
Lillo, Fabrizio
; …
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
Saved in:
3
Linear models for the impact of order flow on prices, I.: History dependent impact models
Taranto, Damian Eduardo
;
Bormetti, Giacomo
;
Bouchaud, …
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 903-915
Persistent link: https://www.econbiz.de/10011910928
Saved in:
4
Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model
Taranto, Damian Eduardo
;
Bormetti, Giacomo
;
Bouchaud, …
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 917-931
Persistent link: https://www.econbiz.de/10011910934
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