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Models of financial stability and their application in stress tests
Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2018
Persistent link: https://www.econbiz.de/10011871938
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Price impact function of a single transaction
Lillo, Fabrizio; Farmer, J. Doyne; Mantegna, Rosario N. - In: The complex dynamics of economic interaction : essays …, (pp. 153-160). 2004
Persistent link: https://www.econbiz.de/10002415112
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Tick size and price diffusion
La Spada, Gabriele; Farmer, J. Doyne; Lillo, Fabrizio - In: Econophysics of Order-driven Markets : proceedings of …, (pp. 173-187). 2011
Persistent link: https://www.econbiz.de/10009349706
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A random order placement model of price formation in the continuous double auction
Farmer, J. Doyne; Gillemot, László; Iori, Giulia; … - 2006
Persistent link: https://www.econbiz.de/10009674147
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How markets slowly digest changes in supply and demand
Bouchaud, Jean-Philippe; Farmer, J. Doyne; Lillo, Fabrizio - In: Handbook of financial markets : dynamics and evolution, (pp. 57-160). 2009
Persistent link: https://www.econbiz.de/10003820628
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Stress testing the financial macrocosm
Farmer, J. Doyne; Kleinnijenhuis, Alissa M.; Wetzer, Thomas - In: Handbook of financial stress testing, (pp. 661-696). 2022
Persistent link: https://www.econbiz.de/10013343652