Bence Toth

Santa Fe Institute

1399 Hyde Park Road

Santa Fe, NM 87501

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 45,721

SSRN RANKINGS

Top 45,721

in Total Papers Downloads

882

CITATIONS
Rank 6,810

SSRN RANKINGS

Top 6,810

in Total Papers Citations

82

Scholarly Papers (6)

1.

How Does the Market React to Your Order Flow?

Number of pages: 12 Posted: 06 Apr 2011
Santa Fe Institute, Capital Fund Management, Università di Bologna, Capital Fund Management, Capital Fund Management and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 291 (102,895)
Citation 9

Abstract:

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Financial markets, market microstructure, limit order book, order flow, behavioural economics

2.

Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

Number of pages: 13 Posted: 11 May 2011
Santa Fe Institute, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 156 (186,864)
Citation 50

Abstract:

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3.

Why Is Equity Order Flow so Persistent?

Number of pages: 42 Posted: 01 Jul 2014
Santa Fe Institute, Monash University, Università di Bologna and University of Oxford
Downloads 134 (211,527)
Citation 15

Abstract:

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Market microstructure, Order flow, Herding, Order splitting, Price impact, Behavioral finance

4.

The Short-Term Price Impact of Trades Is Universal

Number of pages: 9 Posted: 28 Feb 2017 Last Revised: 02 Jan 2018
Santa Fe Institute, Capital Fund Management and Capital Fund Management
Downloads 125 (223,327)

Abstract:

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financial markets, market microstructure, limit order book, order flow, behavioural economics

5.

Linear Models for the Impact of Order Flow on Prices I. Propagators: Transient vs. History Dependent Impact

Number of pages: 22 Posted: 28 Apr 2016
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Capital Fund Management, Università di Bologna and Santa Fe Institute
Downloads 95 (270,822)
Citation 7

Abstract:

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Financial markets, market microstructure, market impact, liquidity

6.

Linear Models for the Impact of Order Flow on Prices II. The Mixture Transition Distribution Model

Number of pages: 23 Posted: 28 Apr 2016
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Capital Fund Management, Università di Bologna and Santa Fe Institute
Downloads 81 (299,195)
Citation 1

Abstract:

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Financial markets, market microstructure, market impact, liquidity, markov chain