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Austin Gerig

Personal Details

First Name:Austin
Middle Name:
Last Name:Gerig
Suffix:
RePEc Short-ID:pge162
[This author has chosen not to make the email address public]

Affiliation

Saïd Business School
Oxford University

Oxford, United Kingdom
http://www.sbs.ox.ac.uk/

: +44 (0)1865 288800
+44 (0)1865 288805
Park End Street, Oxford OX1 1HP UK
RePEc:edi:sbsoxuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Raoul Golan & Austin Gerig, 2013. "A Stochastic Feedback Model for Volatility," Papers 1306.4975, arXiv.org, revised Nov 2013.
  2. Benjamin Myers & Austin Gerig, 2013. "Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets," Papers 1311.4160, arXiv.org.
  3. Austin Gerig, 2012. "High-Frequency Trading Synchronizes Prices in Financial Markets," Papers 1211.1919, arXiv.org.
  4. J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck, 2011. "How efficiency shapes market impact," Papers 1102.5457, arXiv.org, revised Sep 2013.
  5. Austin Gerig & David Michayluk, 2010. "Automated Liquidity Provision and the Demise of Traditional Market Making," Papers 1007.2352, arXiv.org.
  6. Austin Gerig, 2010. "Universal Laws and Economic Phenomena," Papers 1002.0377, arXiv.org, revised Jul 2010.
  7. Austin Gerig & Javier Vicente & Miguel A. Fuentes, 2009. "Model for Non-Gaussian Intraday Stock Returns," Papers 0906.3841, arXiv.org, revised Dec 2009.
  8. Miguel A. Fuentes & Austin Gerig & Javier Vicente, 2009. "Universal Behavior of Extreme Price Movements in Stock Markets," Papers 0912.5448, arXiv.org.
  9. Esteban Moro & Javier Vicente & Luis G. Moyano & Austin Gerig & J. Doyne Farmer & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2009. "Market impact and trading profile of large trading orders in stock markets," Papers 0908.0202, arXiv.org.
  10. Austin Gerig, 2008. "A Theory for Market Impact: How Order Flow Affects Stock Price," Papers 0804.3818, arXiv.org, revised Jul 2008.
  11. J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Szabolcs Mike, 2006. "Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?," Papers physics/0602015, arXiv.org.

Articles

  1. J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Szabolcs Mike, 2006. "Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 107-112.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Austin Gerig, 2010. "Universal Laws and Economic Phenomena," Papers 1002.0377, arXiv.org, revised Jul 2010.

    Mentioned in:

    1. Should Economics adopt methods from Physics?
      by Economic Logician in Economic Logic on 2010-03-08 20:34:00

Working papers

  1. Benjamin Myers & Austin Gerig, 2013. "Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets," Papers 1311.4160, arXiv.org.

    Cited by:

    1. Fricke, Daniel & Gerig, Austin, 2014. "Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100402, Verein für Socialpolitik / German Economic Association.

  2. Austin Gerig, 2012. "High-Frequency Trading Synchronizes Prices in Financial Markets," Papers 1211.1919, arXiv.org.

    Cited by:

    1. Austin Gerig & David Michayluk, 2014. "Automated Liquidity Provision," Research Paper Series 345, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Benjamin Myers & Austin Gerig, 2013. "Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets," Papers 1311.4160, arXiv.org.
    3. Donovan Platt & Tim Gebbie, 2016. "The Problem of Calibrating an Agent-Based Model of High-Frequency Trading," Papers 1606.01495, arXiv.org, revised Mar 2017.
    4. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised May 2018.
    5. Fricke, Daniel & Gerig, Austin, 2014. "Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100402, Verein für Socialpolitik / German Economic Association.
    6. Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo, 2015. "Collective synchronization and high frequency systemic instabilities in financial markets," Papers 1505.00704, arXiv.org.

  3. J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck, 2011. "How efficiency shapes market impact," Papers 1102.5457, arXiv.org, revised Sep 2013.

    Cited by:

    1. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2014. "$L_p$ regularized portfolio optimization," Papers 1404.4040, arXiv.org.
    2. Damian Eduardo Taranto & Giacomo Bormetti & Fabrizio Lillo, 2014. "The adaptive nature of liquidity taking in limit order books," Papers 1403.0842, arXiv.org, revised Apr 2014.
    3. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
    4. Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud, 2013. "Agent-based models for latent liquidity and concave price impact," Papers 1311.6262, arXiv.org, revised Dec 2014.
    5. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
    6. Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights," Post-Print hal-01277584, HAL.
    7. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
    8. Fabio Caccioli & Jean-Philippe Bouchaud & J. Doyne Farmer, 2012. "A proposal for impact-adjusted valuation: Critical leverage and execution risk," Papers 1204.0922, arXiv.org, revised Aug 2012.
    9. Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer, 2011. "Why is order flow so persistent?," Papers 1108.1632, arXiv.org, revised Nov 2014.
    10. Elia Zarinelli & Michele Treccani & J. Doyne Farmer & Fabrizio Lillo, 2014. "Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate," Papers 1412.2152, arXiv.org.
    11. Brunovský, Pavol & Černý, Aleš & Komadel, Ján, 2018. "Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1159-1171.
    12. Emilio Said & Ahmed Bel Hadj Ayed & Alexandre Husson & Frédéric Abergel, 2018. "Market Impact: A systematic study of limit orders," Working Papers hal-01561128, HAL.
    13. Thibault Jaisson, 2015. "Liquidity and Impact in Fair Markets," Papers 1506.02507, arXiv.org.
    14. Emmanuel Bacry & Adrian Iuga & Matthieu Lasnier & Charles-Albert Lehalle, 2014. "Market impacts and the life cycle of investors orders," Papers 1412.0217, arXiv.org, revised Dec 2014.
    15. Paolo Barucca & Fabrizio Lillo, 2017. "Behind the price: on the role of agent's reflexivity in financial market microstructure," Papers 1708.07047, arXiv.org.
    16. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2016. "Liquidity Risk And Instabilities In Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-28, August.
    17. Nataliya Bershova & Dmitry Rakhlin, 2013. "The non-linear market impact of large trades: evidence from buy-side order flow," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1759-1778, November.
    18. Andre Cardoso Barato & Iacopo Mastromatteo & Marco Bardoscia & Matteo Marsili, 2011. "Impact of meta-order in the Minority Game," Papers 1112.3908, arXiv.org, revised Nov 2012.
    19. Kyle Bechler & Michael Ludkovski, 2017. "Order Flows and Limit Order Book Resiliency on the Meso-Scale," Papers 1708.02715, arXiv.org.
    20. Jonathan Donier & Julius Bonart, 2014. "A Million Metaorder Analysis of Market Impact on the Bitcoin," Papers 1412.4503, arXiv.org, revised Sep 2015.
    21. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
    22. Kyle Bechler & Mike Ludkovski, 2014. "Optimal Execution with Dynamic Order Flow Imbalance," Papers 1409.2618, arXiv.org, revised Oct 2014.
    23. Emilio Said & Ahmed Bel Hadj Ayed & Alexandre Husson & Frederic Abergel & Ahmed Bel & Hadj Ayed & Fr'ed'eric Abergel & Global Markets & Bnp Paribas, 2018. "Market Impact: A systematic study of limit orders," Papers 1802.08502, arXiv.org.
    24. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Post-Print hal-00971369, HAL.

  4. Austin Gerig & David Michayluk, 2010. "Automated Liquidity Provision and the Demise of Traditional Market Making," Papers 1007.2352, arXiv.org.

    Cited by:

    1. Benjamin Myers & Austin Gerig, 2013. "Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets," Papers 1311.4160, arXiv.org.
    2. Eun Jung Lee, 2015. "High Frequency Trading in the Korean Index Futures Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(1), pages 31-51, January.
    3. Hee Su Roh & Yinyu Ye, 2015. "Market Making with Model Uncertainty," Papers 1509.07155, arXiv.org, revised Nov 2015.
    4. Robert Litzenberger & Jeff Castura & Richard Gorelick, 2012. "The Impacts of Automation and High Frequency Trading on Market Quality," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 59-98, October.
    5. Austin Gerig, 2012. "High-Frequency Trading Synchronizes Prices in Financial Markets," Papers 1211.1919, arXiv.org.
    6. Hasbrouck, Joel & Saar, Gideon, 2013. "Low-latency trading," Journal of Financial Markets, Elsevier, vol. 16(4), pages 646-679.

  5. Austin Gerig, 2010. "Universal Laws and Economic Phenomena," Papers 1002.0377, arXiv.org, revised Jul 2010.

    Cited by:

    1. Martin Goldberg, 2011. "Anti-Robust and Tonsured Statistics," Papers 1110.4648, arXiv.org.

  6. Austin Gerig & Javier Vicente & Miguel A. Fuentes, 2009. "Model for Non-Gaussian Intraday Stock Returns," Papers 0906.3841, arXiv.org, revised Dec 2009.

    Cited by:

    1. Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "European option pricing under the Student’s t noise with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 848-858.
    2. Marian Gidea & Yuri Katz, 2017. "Topological Data Analysis of Financial Time Series: Landscapes of Crashes," Papers 1703.04385, arXiv.org, revised Apr 2017.
    3. Mauro Politi & Nicolas Millot & Anirban Chakraborti, 2011. "The near-extreme density of intraday log-returns," Post-Print hal-00827942, HAL.
    4. Cassidy, Daniel T., 2011. "Describing n-day returns with Student’s t-distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(15), pages 2794-2802.
    5. Xu, Dan & Beck, Christian, 2016. "Transition from lognormal to χ2-superstatistics for financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 173-183.
    6. Politi, Mauro & Millot, Nicolas & Chakraborti, Anirban, 2012. "The near-extreme density of intraday log-returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 147-155.
    7. Mauro Politi & Nicolas Millot & Anirban Chakraborti, 2011. "The near-extreme density of intraday log-returns," Papers 1106.0039, arXiv.org.

  7. Miguel A. Fuentes & Austin Gerig & Javier Vicente, 2009. "Universal Behavior of Extreme Price Movements in Stock Markets," Papers 0912.5448, arXiv.org.

    Cited by:

    1. M. Dashti Moghaddam & Zhiyuan Liu & R. A. Serota, 2018. "Distributions of Historic Market Data -- Implied and Realized Volatility," Papers 1804.05279, arXiv.org.
    2. Wei, J.R. & Huang, J.P. & Hui, P.M., 2013. "An agent-based model of stock markets incorporating momentum investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(12), pages 2728-2735.

  8. Esteban Moro & Javier Vicente & Luis G. Moyano & Austin Gerig & J. Doyne Farmer & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2009. "Market impact and trading profile of large trading orders in stock markets," Papers 0908.0202, arXiv.org.

    Cited by:

    1. Kantar, Ersin & Keskin, Mustafa, 2013. "The relationships between electricity consumption and GDP in Asian countries, using hierarchical structure methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5678-5684.
    2. Rama Cont & Lakshithe Wagalath, 2014. "Institutional Investors and the Dependence Structure of Asset Returns," Working Papers 2014-ACF-01, IESEG School of Management.
    3. Iacopo Mastromatteo, 2014. "Apparent impact: the hidden cost of one-shot trades," Papers 1409.8497, arXiv.org, revised Jun 2015.
    4. B. Tóth & Z. Eisler & F. Lillo & J. Kockelkoren & J.-P. Bouchaud & J.D. Farmer, 2012. "How does the market react to your order flow?," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1015-1024, May.
    5. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2014. "$L_p$ regularized portfolio optimization," Papers 1404.4040, arXiv.org.
    6. Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud, 2013. "Agent-based models for latent liquidity and concave price impact," Papers 1311.6262, arXiv.org, revised Dec 2014.
    7. Christopher Lorenz & Alexander Schied, 2013. "Drift dependence of optimal trade execution strategies under transient price impact," Finance and Stochastics, Springer, vol. 17(4), pages 743-770, October.
    8. R. Azencott & A. Beri & Y. Gadhyan & N. Joseph & C.-A. Lehalle & M. Rowley, 2014. "Real-time market microstructure analysis: online transaction cost analysis," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1167-1185, July.
    9. Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights," Post-Print hal-01277584, HAL.
    10. Rama Cont & Lakshithe Wagalath, 2016. "Institutional Investors And The Dependence Structure Of Asset Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-37, March.
    11. Aur'elien Alfonsi & Alexander Schied & Florian Klock, 2013. "Multivariate transient price impact and matrix-valued positive definite functions," Papers 1310.4471, arXiv.org, revised Sep 2015.
    12. Lakshithe Wagalath, 2017. "Lost In Contagion? Building A Liquidation Index From Covariance Dynamics," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-26, February.
    13. Bence Toth & Yves Lemperiere & Cyril Deremble & Joachim de Lataillade & Julien Kockelkoren & Jean-Philippe Bouchaud, 2011. "Anomalous price impact and the critical nature of liquidity in financial markets," Papers 1105.1694, arXiv.org, revised Nov 2011.
    14. Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2017. "The amazing power of dimensional analysis: Quantifying market impact," Papers 1702.05434, arXiv.org, revised Sep 2017.
    15. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2018. "An improved Least Squares Monte Carlo method for portfolio optimization with high dimensional control," Papers 1803.11467, arXiv.org.
    16. Yann Braouezec & Lakshithe Wagalath, 2016. "Risk-based capital requirements and optimal liquidation in a stress scenario," Working Papers 2016-ACF-01, IESEG School of Management.
    17. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
    18. Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer, 2011. "Why is order flow so persistent?," Papers 1108.1632, arXiv.org, revised Nov 2014.
    19. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2016. "Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach," Papers 1610.07694, arXiv.org, revised Oct 2017.
    20. Chen, Jingnan & Feng, Liming & Peng, Jiming, 2015. "Optimal deleveraging with nonlinear temporary price impact," European Journal of Operational Research, Elsevier, vol. 244(1), pages 240-247.
    21. E. Bacry & J. F Muzy, 2013. "Hawkes model for price and trades high-frequency dynamics," Papers 1301.1135, arXiv.org.
    22. Elia Zarinelli & Michele Treccani & J. Doyne Farmer & Fabrizio Lillo, 2014. "Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate," Papers 1412.2152, arXiv.org.
    23. Zura Kakushadze, 2014. "Combining Alpha Streams with Costs," Papers 1405.4716, arXiv.org, revised Jan 2015.
    24. Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Papers 1501.05381, arXiv.org, revised Oct 2015.
    25. Emilio Said & Ahmed Bel Hadj Ayed & Alexandre Husson & Frédéric Abergel, 2018. "Market Impact: A systematic study of limit orders," Working Papers hal-01561128, HAL.
    26. Thibault Jaisson, 2015. "Liquidity and Impact in Fair Markets," Papers 1506.02507, arXiv.org.
    27. Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2015. "Simulating and Analyzing Order Book Data: The Queue-Reactive Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 107-122, March.
    28. Zoltan Eisler & Jean-Philippe Bouchaud, 2016. "Price impact without order book: A study of the OTC credit index market," Papers 1609.04620, arXiv.org.
    29. Li-Xin Zhong & Wen-Juan Xu & Fei Ren & Yong-Dong Shi, 2012. "Coupled effects of market impact and asymmetric sensitivity in financial markets," Papers 1209.3399, arXiv.org, revised Jan 2013.
    30. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2016. "Liquidity Risk And Instabilities In Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-28, August.
    31. Michele Tumminello & Fabrizio Lillo & Jyrki Piilo & Rosario N. Mantegna, 2011. "Identification of clusters of investors from their real trading activity in a financial market," Papers 1107.3942, arXiv.org.
    32. Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Risks, MDPI, Open Access Journal, vol. 3(4), pages 1-17, November.
    33. Andre Cardoso Barato & Iacopo Mastromatteo & Marco Bardoscia & Matteo Marsili, 2011. "Impact of meta-order in the Minority Game," Papers 1112.3908, arXiv.org, revised Nov 2012.
    34. Serguei Saavedra & Luis J. Gilarranz & Rudolf P. Rohr & Michael Schnabel & Brian Uzzi & Jordi Bascompte, 2014. "Stock fluctuations are correlated and amplified across networks of interlocking directorates," Papers 1410.6646, arXiv.org.
    35. Jonathan Donier & Julius Bonart, 2014. "A Million Metaorder Analysis of Market Impact on the Bitcoin," Papers 1412.4503, arXiv.org, revised Sep 2015.
    36. Zura Kakushadze, 2014. "Notes on Alpha Stream Optimization," Papers 1406.1249, arXiv.org, revised Mar 2015.
    37. Federico Musciotto & Luca Marotta & Salvatore Miccich`e & Jyrki Piilo & Rosario N. Mantegna, 2015. "Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach," Papers 1511.06873, arXiv.org.
    38. Emilio Said & Ahmed Bel Hadj Ayed & Alexandre Husson & Frederic Abergel & Ahmed Bel & Hadj Ayed & Fr'ed'eric Abergel & Global Markets & Bnp Paribas, 2018. "Market Impact: A systematic study of limit orders," Papers 1802.08502, arXiv.org.
    39. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2016. "A new structural stochastic volatility model of asset pricing and its stylized facts," Papers 1604.08824, arXiv.org.
    40. Aurélien Alfonsi & Alexander Schied, 2013. "Capacitary measures for completely monotone kernels via singular control," Post-Print hal-00659421, HAL.
    41. Hai-Chuan Xu & Zhi-Qiang Jiang & Wei-Xing Zhou, 2016. "Immediate price impact of a stock and its warrant: Power-law or logarithmic model?," Papers 1611.04091, arXiv.org.

  9. Austin Gerig, 2008. "A Theory for Market Impact: How Order Flow Affects Stock Price," Papers 0804.3818, arXiv.org, revised Jul 2008.

    Cited by:

    1. Fabrizio Pomponio & Frédéric Abergel, 2013. "Multiple-limit trades : empirical facts and application to lead-lag measures," Post-Print hal-00745317, HAL.
    2. Karol Wawrzyniak & Wojciech Wi'slicki, 2013. "Grand canonical minority game as a sign predictor," Papers 1309.3399, arXiv.org.
    3. B. Tóth & F. Lillo & J. D. Farmer, 2010. "Segmentation algorithm for non-stationary compound Poisson processes," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 78(2), pages 235-243, November.
    4. Hevér, Judit, 2017. "A likviditás és a permanens árhatás szerepe a portfólióértékelésben
      [The role of liquidity policy and permanent price impact in portfolio valuation]
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 594-611.
    5. Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer, 2011. "Why is order flow so persistent?," Papers 1108.1632, arXiv.org, revised Nov 2014.
    6. Elia Zarinelli & Michele Treccani & J. Doyne Farmer & Fabrizio Lillo, 2014. "Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate," Papers 1412.2152, arXiv.org.
    7. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
    8. Tóth, Bence & Palit, Imon & Lillo, Fabrizio & Farmer, J. Doyne, 2015. "Why is equity order flow so persistent?," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 218-239.
    9. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "The Long Memory of Order Flow in the Foreign Exchange Spot Market," Papers 1504.04354, arXiv.org, revised Oct 2015.
    10. Igor Skachkov, 2013. "Market Impact Paradoxes," Papers 1312.3349, arXiv.org.
    11. Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 423-446, June.

  10. J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Szabolcs Mike, 2006. "Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?," Papers physics/0602015, arXiv.org.

    Cited by:

    1. Szabolcs Mike & J. Doyne Farmer, 2007. "An empirical behavioral model of liquidity and volatility," Papers 0709.0159, arXiv.org.
    2. B. Tóth & Z. Eisler & F. Lillo & J. Kockelkoren & J.-P. Bouchaud & J.D. Farmer, 2012. "How does the market react to your order flow?," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1015-1024, May.
    3. J. Doyne Farmer & John Geanakoplos, 2008. "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Levine's Working Paper Archive 122247000000002067, David K. Levine.
    4. Damian Eduardo Taranto & Giacomo Bormetti & Fabrizio Lillo, 2014. "The adaptive nature of liquidity taking in limit order books," Papers 1403.0842, arXiv.org, revised Apr 2014.
    5. Wang, Yougui & Stanley, H.E., 2009. "Statistical approach to partial equilibrium analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1173-1180.
    6. Frédéric Abergel & Aymen Jedidi, 2013. "A Mathematical Approach to Order Book Modelling," Post-Print hal-00621253, HAL.
    7. Martin D. Gould & Julius Bonart, 2015. "Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book," Papers 1512.03492, arXiv.org.
    8. Sorin Solomon & Natasa Golo, 2014. "Minsky Financial Instability, Interscale Feedback, Percolation and Marshall-Walras Disequilibrium," Papers 1402.0176, arXiv.org.
    9. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
    10. Emmanuel Bacry & Adrian Iuga & Matthieu Lasnier & Charles-Albert Lehalle, 2014. "Market impacts and the life cycle of investors orders," Papers 1412.0217, arXiv.org, revised Dec 2014.
    11. Julius Bonart & Fabrizio Lillo, 2016. "A continuous and efficient fundamental price on the discrete order book grid," Papers 1608.00756, arXiv.org, revised Aug 2016.
    12. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
    13. Aur'elien Alfonsi & Pierre Blanc, 2015. "Extension and calibration of a Hawkes-based optimal execution model," Papers 1506.08740, arXiv.org.
    14. Hai-Chuan Xu & Wei Chen & Xiong Xiong & Wei Zhang & Wei-Xing Zhou & H Eugene Stanley, 2016. "Limit-order book resiliency after effective market orders: Spread, depth and intensity," Papers 1602.00731, arXiv.org, revised Feb 2017.
    15. Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola, 2009. "A Computational View of Market Efficiency," Papers 0908.4580, arXiv.org.
    16. Khalil al Dayri & Emmanuel Bacry & Jean-Francois Muzy, 2010. "The nature of price returns during periods of high market activity," Papers 1010.4226, arXiv.org, revised Oct 2010.
    17. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "The Long Memory of Order Flow in the Foreign Exchange Spot Market," Papers 1504.04354, arXiv.org, revised Oct 2015.

Articles

  1. J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Szabolcs Mike, 2006. "Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 107-112.
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (6) 2009-09-26 2009-09-26 2010-07-24 2011-03-12 2012-11-17 2013-11-22. Author is listed
  2. NEP-FMK: Financial Markets (4) 2009-09-26 2010-01-16 2012-11-17 2013-11-22
  3. NEP-ECM: Econometrics (1) 2013-06-24
  4. NEP-ETS: Econometric Time Series (1) 2013-06-24
  5. NEP-HPE: History & Philosophy of Economics (1) 2010-02-13

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