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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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2
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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3
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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4
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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5
Models of financial stability and their application in stress tests
Aymanns, Christoph
;
Farmer, J. Doyne
;
Kleinnijenhuis, …
-
2018
Persistent link: https://www.econbiz.de/10011871938
Saved in:
6
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
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