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1
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84993843493
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An empirical analysis of the limit order book and the order flow in the Paris bourse
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December
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B. Biais, P. Hillion, and C. Spatt, "An empirical analysis of the limit order book and the order flow in the Paris bourse," J Financ, vol. 50, no. 5, pp. 1655-1689, December 1995.
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Biais, B.1
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Statistical properties of stock order books: Empirical results and models
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August
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J.-P. Bouchaud, M. Mezard, and M. Potters, "Statistical properties of stock order books: empirical results and models," Quantitative Finance, vol. 2, no. 4, pp. 251-256, August 2002.
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Quantitative Finance
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Bouchaud, J.-P.1
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3
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53749083258
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Analysis and simulation of a double auction artificial financial market
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6-10 July
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S. Cincotti, C. Dose, S. M. Focardi, M. Marchesi, and M. Raberto, "Analysis and simulation of a double auction artificial financial market," 6-10 July 2003, Istanbul, Turkey, EURO/INFORM 2003.
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(2003)
Istanbul, Turkey, EURO/INFORM 2003
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Cincotti, S.1
Dose, C.2
Focardi, S.M.3
Marchesi, M.4
Raberto, M.5
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4
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0037562154
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Who wins? study of long-run trader survival in an artificial stock market
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June
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S. Cincotti, S. M. Focardi, M. Marchesi, and M. Raberto, "Who wins? study of long-run trader survival in an artificial stock market," Physica A, vol. 324, no. 1-2, pp. 227-233, June 2003.
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Physica A
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Cincotti, S.1
Focardi, S.M.2
Marchesi, M.3
Raberto, M.4
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6
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0003856552
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Academic Press
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M. M. Dacorogna, R. Gencay, U. Muller, R. B. Olsen, and O. V. Pictet, An Introduction to High Frequency Finance. Academic Press, 2001.
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(2001)
An Introduction to High Frequency Finance
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Dacorogna, M.M.1
Gencay, R.2
Muller, U.3
Olsen, R.B.4
Pictet, O.V.5
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7
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0038576444
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An analysis of price impact function in order-driven markets
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June
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G. Iori, M. G. Daniels, J. D. Farmer, L. Gillemot, S. Krishnamurthy, and E. Smith, "An analysis of price impact function in order-driven markets," Physica A, vol. 324, no. 1-2, pp. 146-151, June 2003.
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Physica A
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Iori, G.1
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Farmer, J.D.3
Gillemot, L.4
Krishnamurthy, S.5
Smith, E.6
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8
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0036335159
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Econometric models of limit-order executions
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July
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A. W. Lo, A. C. MacKinlay, and J. Zhang, "Econometric models of limit-order executions," J Financ Econ, vol. 65, no. 1, pp. 31-71, July 2002.
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J Financ Econ
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Lo, A.W.1
MacKinlay, A.C.2
Zhang, J.3
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9
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0034502929
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Fractional calculus and continuous-time finance ii: The waiting-time distribution
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December
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F. Mainardi, M. Raberto, R. Gorenflo, and E. Scalas, "Fractional calculus and continuous-time finance ii: the waiting-time distribution," Physica A, vol. 287, no. 3-4, pp. 468-481, December 2000.
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Physica A
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Mainardi, F.1
Raberto, M.2
Gorenflo, R.3
Scalas, E.4
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10
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21444456704
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The Genoa artificial stock market: Micro structure and simulation, ser. Lecture notes in economics and mathematical systems
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February
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M. Marchesi, S. Cincotti, S. M. Focardi, and M. Raberto, The Genoa artificial stock market: micro structure and simulation, ser. Lecture notes in economics and mathematical systems. Springer, February 2003, vol. 521, pp. 277-289.
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(2003)
Springer
, vol.521
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Marchesi, M.1
Cincotti, S.2
Focardi, S.M.3
Raberto, M.4
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11
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0035471810
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Price fluctuations from the order book perspective: Empirical facts and a simple model
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October
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S. Maslov and M. Mills, "Price fluctuations from the order book perspective: empirical facts and a simple model," Physica A, vol. 299, no. 1-2, pp. 234-246, October 2001.
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(2001)
Physica A
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Maslov, S.1
Mills, M.2
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12
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21444442961
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Modelling and implementation of an artificial financial market using object oriented technology: The Genoa artificial stock market,
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Ph.D. dissertation, University of Genoa, Italy
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M. Raberto, "Modelling and implementation of an artificial financial market using object oriented technology: the Genoa artificial stock market," Ph.D. dissertation, University of Genoa, Italy, 2003.
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(2003)
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Raberto, M.1
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13
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53749097432
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Price formation in an artificial market: Limit order book versus matching of supply and demand
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Springer
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M. Raberto, S. Cincotti, C. Dose, S. M. Focardi, and M. Marchesi, "Price formation in an artificial market: limit order book versus matching of supply and demand," in Proceedings WEHIA 2003. Springer, 2004.
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(2004)
Proceedings WEHIA 2003
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Raberto, M.1
Cincotti, S.2
Dose, C.3
Focardi, S.M.4
Marchesi, M.5
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14
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0035471558
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Agent-based simulation of a financial market
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October
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M. Raberto, S. Cincotti, S. M. Focardi, and M. Marchesi, "Agent-based simulation of a financial market," Physica A, vol. 219, pp. 319-327, October 2001.
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(2001)
Physica A
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Raberto, M.1
Cincotti, S.2
Focardi, S.M.3
Marchesi, M.4
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15
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19944389075
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Traders' long-run wealth in an artificial financial market
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October-December
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M. Raberto, S. Cincotti, S. Focardi, and M. Marchesi, "Traders' long-run wealth in an artificial financial market," Computational Economics, vol. 22, no. 2-3, pp. 255-272, October-December 2003.
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(2003)
Computational Economics
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Raberto, M.1
Cincotti, S.2
Focardi, S.3
Marchesi, M.4
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16
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0036949980
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Waiting-times and returns in high-frequency financial data: An empirical study
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November
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M. Raberto, E. Scalas, and F. Mainardi, "Waiting-times and returns in high-frequency financial data: an empirical study," Physica A, vol. 314, no. 1-4, pp. 749-755, November 2002.
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Physica A
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Raberto, M.1
Scalas, E.2
Mainardi, F.3
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17
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1642611449
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submitted to Quantitative Finance
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E. Scalas, R. Gorenflo, F. Mainardi, M. Mantelli, and M. Raberto, "Anomalous waiting times in high-frequency financial data," 2003, submitted to Quantitative Finance, http://xxx.lanl.gov/abs/cond-mat/0310305.
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(2003)
Anomalous waiting times in high-frequency financial data
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Scalas, E.1
Gorenflo, R.2
Mainardi, F.3
Mantelli, M.4
Raberto, M.5
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