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Behind the price: on the role of agent's reflexivity in financial market microstructure
Barucca, Paolo; Lillo, Fabrizio - In: Methods and finance : a unifying view on finance, …, (pp. 51-61). 2017
Persistent link: https://www.econbiz.de/10011695431
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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
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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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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
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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