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person:"Lauterbach, Beni"
~person:"Lillo, Fabrizio"
~person:"Westerhoff, Frank H."
~type_genre:"Article in journal"
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Search: subject_exact:"Marktmikrostrukturtheorie"
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16
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Lauterbach, Beni
Lillo, Fabrizio
Westerhoff, Frank H.
O'Hara, Maureen
22
Frino, Alex
14
Easley, David
13
Chung, Kee H.
10
Gradojevic, Nikola
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Hung, Pi-Hsia
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ECONIS (ZBW)
16
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1
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:
2
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
3
Co-impact : crowding effects in institutional trading activity
Bucci, Frederic
;
Mastromatteo, Iacopo
;
Eisler, Zoltan
; …
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 193-205
Persistent link: https://www.econbiz.de/10012194861
Saved in:
4
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:
5
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
Saved in:
6
Why is equity order flow so persistent?
Tóth, Bence
;
Palit, Imon
;
Lillo, Fabrizio
;
Farmer, J. Doyne
- In:
Journal of economic dynamics & control
51
(
2015
),
pp. 218-239
Persistent link: https://www.econbiz.de/10011474393
Saved in:
7
On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders
Tramontana, Fabio
;
Westerhoff, Frank H.
;
Gardini, Laura
- In:
Journal of economic behavior & organization : JEBO
74
(
2010
)
3
,
pp. 187-205
Persistent link: https://www.econbiz.de/10008661167
Saved in:
8
Some effects of transaction taxes under different microstructures
Pellizzari, Paolo
;
Westerhoff, Frank H.
- In:
Journal of economic behavior & organization : JEBO
72
(
2009
)
3
,
pp. 850-863
Persistent link: https://www.econbiz.de/10003932865
Saved in:
9
Speculative dynamics, feedback traders and transaction taxes : a note
Westerhoff, Frank H.
- In:
Review of economics
55
(
2004
)
2
,
pp. 190-195
Persistent link: https://www.econbiz.de/10002709509
Saved in:
10
Multiasset market dynamics
Westerhoff, Frank H.
- In:
Macroeconomic dynamics
8
(
2004
)
5
,
pp. 596-616
Persistent link: https://www.econbiz.de/10002450191
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