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Quantitative Finance Volume 9, 2009 - Issue 5
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Research Papers

Diffusive behavior and the modeling of characteristic times in limit order executions

Zoltán Eisler Science and Finance, Capital Fund Management, Paris, France; Department of Theoretical Physics, Budapest University of Technology and Economics, Budapest, HungaryCorrespondence[email protected]
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János Kertész Department of Theoretical Physics, Budapest University of Technology and Economics, Budapest, Hungary; Laboratory of Computational Engineering, Helsinki University of Technology, Espoo, Finland
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Fabrizio Lillo Dipartimento di Fisica e Tecnologie Relative, Università di Palermo, Viale delle Scienze, I-90128, Palermo, Italy; Santa Fe Institute, 1399 Hyde Park Road, Santa Fe, NM 87501, USA; CNR-INFM, Unità Operativa di Roma, Centro di Ricerca e Sviluppo SOFT, Roma, Italy
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Rosario N. Mantegna Dipartimento di Fisica e Tecnologie Relative, Università di Palermo, Viale delle Scienze, I-90128, Palermo, Italy; CNR-INFM, Unità Operativa di Roma, Centro di Ricerca e Sviluppo SOFT, Roma, Italy
Pages 547-563 | Received 30 Jan 2007, Accepted 24 Jul 2008, Published online: 18 Jun 2009

Citations (16)

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Read on this site (3)

Damien Challet. (2017) Sharper asset ranking from total drawdown durations. Applied Mathematical Finance 24:1, pages 1-22.
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I. Muni Toke. (2015) The order book as a queueing system: average depth and influence of the size of limit orders. Quantitative Finance 15:5, pages 795-808.
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Boris Podobnik, Duan Wang & H. Eugene Stanley. (2012) High-frequency trading model for a complex trading hierarchy. Quantitative Finance 12:4, pages 559-566.
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Articles from other publishers (13)

Timothée Fabre & Vincent Ragel. (2023) Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement. SSRN Electronic Journal.
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Aritra Pan & Arun Kumar Misra. (2022) Carry Forward Modeling for High-Frequency Limit-Order Executions: An Emerging Market Perspective. American Business Review 25:1, pages 92-119.
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Sebastian M Krause, Edgar Jungblut & Thomas Guhr. (2022) Two price regimes in limit order books: liquidity cushion and fragmented distant field. Journal of Statistical Mechanics: Theory and Experiment 2022:2, pages 023401.
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Zhi-Qiang Jiang, Wen-Jie Xie, Wei-Xing Zhou & Didier Sornette. (2019) Multifractal analysis of financial markets: a review. Reports on Progress in Physics 82:12, pages 125901.
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Frédéric Bucci, Michael Benzaquen, Fabrizio Lillo & Jean-Philippe Bouchaud. (2019) Crossover from Linear to Square-Root Market Impact. Physical Review Letters 122:10.
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Chia-Hsuan Yeh & Chun-Yi Yang. (2015) Social Networks and Asset Price Dynamics. IEEE Transactions on Evolutionary Computation 19:3, pages 387-399.
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Anatoly B. Schmidt. 2011. Financial Markets and Trading. Financial Markets and Trading 180 189 .
Anatoly B. Schmidt. (2010) Optimal Execution in the Global FX Market. The Journal of Trading 5:3, pages 68-77.
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Anatoly B. Schmidt. 2010. Econophysics Approaches to Large-Scale Business Data and Financial Crisis. Econophysics Approaches to Large-Scale Business Data and Financial Crisis 49 63 .
B. Tóth, J. Kertész & J. D. Farmer. (2009) Studies of the limit order book around large price changes. The European Physical Journal B 71:4, pages 499-510.
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Adam Ponzi, Fabrizio Lillo & Rosario N. Mantegna. (2009) Market reaction to a bid-ask spread change: A power-law relaxation dynamics. Physical Review E 80:1.
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Frederic Bucci, Michael Benzaquen, Fabrizio Lillo & Jean-Philippe Bouchaud. (2018) Crossover from Linear to Square-Root Market Impact. SSRN Electronic Journal.
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Damien Challet. (2015) A Robust and Efficient Estimator of Sharpe Ratios Based on Price Records. SSRN Electronic Journal.
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