SCOPUS 정보 검색 플랫폼 - 논문 보기

메뉴 건너뛰기

European Physical Journal B

Volumn 71, Issue 4, 2009, Pages 499-510

Studies of the limit order book around large price changes

(3) Toth B a,b,c Kertesz J c Farmer, J D a

a SANTA FE INSTITUTE (United States)

b ISI FOUNDATION (Italy)

c BUDAPEST UNIVERSITY OF TECHNOLOGY AND ECONOMICS (Hungary)

Author keywords

[No Author keywords available]

Indexed keywords

BID-ASK SPREAD; DEPOSITION MODELS; LIMIT ORDER BOOK; ORDER FLOW; PRICE CHANGES; SLOW RELAXATIONS;

CONDENSED MATTER PHYSICS; PHYSICS;

CORRELATION THEORY;

EID: 77953456545 PISSN: 14346028 EISSN: 14346036 Source Type: Journal
DOI: 10.1140/epjb/e2009-00297-9 Document Type: Article

Times cited : (19)

References (25)

1
- 0001376999
- F. Omori, J. Coll. Sci. Imp. Univ. Tokyo 7, 111 (1894)
- (1894) J. Coll. Sci. Imp. Univ. Tokyo , vol.7 , pp. 111
- Omori, F.¹

2
- 0030555773
- R.V. Chamberlin, Europhys. Lett. 33, 545 (1996)
- (1996) Europhys. Lett. , vol.33 , pp. 545
- Chamberlin, R.V.¹

3
- 0001134242
- J.-P. Bouchaud, J. Phys. I 2, 1705 (1992)
- (1992) J. Phys. I , vol.2 , pp. 1705
- Bouchaud, J.-P.¹

4
- 0030857972
- S. Zapperi, A. Vespignani, H.E. Stanley, Nature 388, 658 (1997)
- (1997) Nature , vol.388 , pp. 658
- Zapperi, S.¹ Vespignani, A.² Stanley, H.E.³

5
- 0033874733
- A. Johansen, D. Sornette, Physica A 276, 338 (2000)
- (2000) Physica A , vol.276 , pp. 338
- Johansen, A.¹ Sornette, D.²

6
- 0037345450
- S. Abe, N. Suzuki, Europhys. Lett. 61, 852 (2003)
- (2003) Europhys. Lett. , vol.61 , pp. 852
- Abe, S.¹ Suzuki, N.²

7
- 18844481909
- F. Lillo, R.N. Mantegna, Phys. Rev. E 68, 016119 (2003)
- (2003) Phys. Rev. E , vol.68 , pp. 016119
- Lillo, F.¹ Mantegna, R.N.²

8
- 5444275963
- A.G. Zawadowski, J. Kertesz, G. Andor, Physica A 344, 221 (2004)
- (2004) Physica A , vol.344 , pp. 221
- Zawadowski, A.G.¹ Kertesz, J.² Andor, G.³

9
- 33747596932
- A.G. Zawadowski, G. Andor, J. Kertesz, Quantitative Finance 6, 283 (2006)
- (2006) Quantitative Finance , vol.6 , pp. 283
- Zawadowski, A.G.¹ Andor, G.² Kertesz, J.³

10
- 11344278911
- J.D. Farmer, L. Gillemot, F. Lillo, S. Mike, A. Sen, Quantitative Finance 4, 383 (2004)
- (2004) Quantitative Finance , vol.4 , pp. 383
- Farmer, J.D.¹ Gillemot, L.² Lillo, F.³ Mike, S.⁴ Sen, A.⁵

11
- 33646569681
- P. Weber, B. Rosenow, Quantitative Finance 6, 7 (2006)
- (2006) Quantitative Finance , vol.6 , pp. 7
- Weber, P.¹ Rosenow, B.²

12
- 68949113532
- A. Ponzi, F. Lillo, R.N. Mantegna, Phys. Rev. E 80, 016112 (2009)
- (2009) Phys. Rev. E , vol.80 , pp. 016112
- Ponzi, A.¹ Lillo, F.² Mantegna, R.N.³

13
- 76749126102
- preprint:
- A. Joulin, A. Lefevre, D. Grunberg, J.-P. Bouchaud, Stock price jumps: news and volume play a minor role, preprint: http://arxiv.org/abs/0803.1769 (2008)
- (2008) Stock Price Jumps: News and Volume Play a Minor Role
- Joulin, A.¹ Lefevre, A.² Grunberg, D.³ Bouchaud, J.-P.⁴

14
- 84870851857
- Z. Eisler, J. Kertesz, F. Lillo, R.N. Mantegna, Quantitative Finance 9, 5 (2009)
- (2009) Quantitative Finance , vol.9 , pp. 5
- Eisler, Z.¹ Kertesz, J.² Lillo, F.³ Mantegna, R.N.⁴

15
- 84870802390
- http://www.londonstockexchange.com

16
- 84871339177
- A.G. Zawadowski, private communication
- Private Communication
- Zawadowski, A.G.¹

17
- 34547190291
- P. Weber, F. Wang, I. Vodenska-Chitkushev, S. Havlin, H.E. Stanley, Phys. Rev. E 76, 016109 (2007)
- (2007) Phys. Rev. E , vol.76 , pp. 016109
- Weber, P.¹ Wang, F.² Vodenska-Chitkushev, I.³ Havlin, S.⁴ Stanley, H.E.⁵

18
- 0001650452
- G.J. Stigler, Journal of Business 37, 117 (1963)
- (1963) Journal of Business , vol.37 , pp. 117
- Stigler, G.J.¹

19
- 0031331704
- P. Bak, M. Paczuski, M. Shubik, Physics A 246, 430 (1997)
- (1997) Physics A , vol.246 , pp. 430
- Bak, P.¹ Paczuski, M.² Shubik, M.³

20
- 0033880410
- S. Maslov, Physica A 278, 571 (2000)
- (2000) Physica A , vol.278 , pp. 571
- Maslov, S.¹

21
- 0035498522
- D. Challet, R. Stinchcombe, Physica A 300, 285 (2001)
- (2001) Physica A , vol.300 , pp. 285
- Challet, D.¹ Stinchcombe, R.²

22
- 0037114517
- R.D. Willmann, G.M. Schütz, D. Challet, Physica A 316, 430 (2002)
- (2002) Physica A , vol.316 , pp. 430
- Willmann, R.D.¹ Schütz, G.M.² Challet, D.³

23
- 0344118194
- L. Muchnik, F. Slanina, S. Solomon, Physica A 330, 232 (2003)
- (2003) Physica A , vol.330 , pp. 232
- Muchnik, L.¹ Slanina, F.² Solomon, S.³

24
- 0038303122
- M.G. Daniels, J.D. Farmer, L. Gillemot, G. Iori, E. Smith, Phys. Rev. Lett. 90, 108102 (2003)
- (2003) Phys. Rev. Lett. , vol.90 , pp. 108102
- Daniels, M.G.¹ Farmer, J.D.² Gillemot, L.³ Iori, G.⁴ Smith, E.⁵

25
- 0348222509
- E. Smith, J.D. Farmer, L. Gillemot, S. Krishnamurthy, Quantitative Finance 3, 481 (2003)
- (2003) Quantitative Finance , vol.3 , pp. 481
- Smith, E.¹ Farmer, J.D.² Gillemot, L.³ Krishnamurthy, S.⁴

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.