Bence Toth

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 29,746

SSRN RANKINGS

Top 29,746

in Total Papers Downloads

1,718

SSRN CITATIONS
Rank 23,334

SSRN RANKINGS

Top 23,334

in Total Papers Citations

21

CROSSREF CITATIONS

16

Scholarly Papers (7)

1.

Zooming In on Equity Factor Crowding

Number of pages: 7 Posted: 05 Feb 2020
Capital Fund Management, Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 798 (33,084)
Citation 1

Abstract:

Loading...

2.

How Does the Market React to Your Order Flow?

Number of pages: 12 Posted: 06 Apr 2011
Capital Fund Management, 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 303 (109,537)
Citation 7

Abstract:

Loading...

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

3.

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

Number of pages: 13 Posted: 11 May 2011
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 158 (204,264)
Citation 22

Abstract:

Loading...

4.

Why Is Equity Order Flow so Persistent?

Number of pages: 42 Posted: 01 Jul 2014
Capital Fund Management, Monash University, Università di Bologna and University of Oxford
Downloads 139 (226,836)
Citation 4

Abstract:

Loading...

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

5.

The Short-Term Price Impact of Trades Is Universal

Number of pages: 9 Posted: 28 Feb 2017 Last Revised: 02 Jan 2018
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 138 (229,455)

Abstract:

Loading...

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

6.

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 Capital Fund Management
Downloads 101 (286,762)
Citation 8

Abstract:

Loading...

Financial markets, market microstructure, market impact, liquidity

7.

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 Capital Fund Management
Downloads 81 (329,642)
Citation 4

Abstract:

Loading...

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