Bence Toth

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

  • Capital Fund Management

SCHOLARLY PAPERS

10

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SSRN CITATIONS
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SSRN RANKINGS

Top 17,550

in Total Papers Citations

63

CROSSREF CITATIONS

19

Scholarly Papers (10)

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1.

Zooming In on Equity Factor Crowding

Number of pages: 7 Posted: 05 Feb 2020
Valerio Volpati, Michael Benzaquen, Zoltan Eisler, Iacopo Mastromatteo, Bence Toth and Jean-Philippe Bouchaud
Capital Fund Management, Ecole Polytechnique, PalaiseauCapital Fund Management, Imperial College London - Department of Mathematics, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 1,363 (28,466)
Citation 1

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2.

Why Is Equity Order Flow so Persistent?

Number of pages: 42 Posted: 01 Jul 2014
Bence Toth, Imon Palit, Fabrizio Lillo and J. Doyne Farmer
Capital Fund Management, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, Università di Bologna and University of Oxford
Downloads 610 (85,695)
Citation 15

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

3.

How Does the Market React to Your Order Flow?

Number of pages: 12 Posted: 06 Apr 2011
Bence Toth, Zoltan Eisler, Fabrizio Lillo, Jean-Philippe Bouchaud, Julien Kockelkoren and J. Doyne Farmer
Capital Fund Management, Imperial College London - Department of Mathematics, Università di Bologna, Capital Fund Management, Capital Fund Management and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 378 (152,144)
Citation 8

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

4.

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

Number of pages: 13 Posted: 11 May 2011
Bence Toth, Yves Lemperiere, Cyril Deremble, Joachim de Lataillade, Julien Kockelkoren and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 338 (171,941)
Citation 41

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5.

The Short-Term Price Impact of Trades Is Universal

Number of pages: 9 Posted: 28 Feb 2017 Last Revised: 02 Jan 2018
Bence Toth, Zoltan Eisler and Jean-Philippe Bouchaud
Capital Fund Management, Imperial College London - Department of Mathematics and Capital Fund Management
Downloads 306 (191,129)
Citation 3

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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
Damian Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Toth
Scuola Normale Superiore, University of Pavia - Department of Economics and Management, Capital Fund Management, Università di Bologna and Capital Fund Management
Downloads 206 (282,354)
Citation 12

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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
Damian Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Toth
Scuola Normale Superiore, University of Pavia - Department of Economics and Management, Capital Fund Management, Università di Bologna and Capital Fund Management
Downloads 133 (410,055)
Citation 4

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

8.

Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents

Number of pages: 20 Posted: 23 Jun 2022
Michele Vodret, Iacopo Mastromatteo, Bence Toth and Michael Benzaquen
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Ecole Polytechnique, PalaiseauCapital Fund Management
Downloads 100 (506,357)

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9.

Do fundamentals shape the price response? A critical assessment of linear impact models

Number of pages: 20 Posted: 14 Dec 2021
Michele Vodret, Iacopo Mastromatteo, Bence Toth and Michael Benzaquen
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Ecole Polytechnique, PalaiseauCapital Fund Management
Downloads 76 (599,149)
Citation 2

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Market microstructure, price impact, calibration, multi-scale analysis.

10.

A Stationary Kyle Setup: Microfounding Propagator Models

Number of pages: 25 Posted: 05 Jan 2021
Michele Vodret, Iacopo Mastromatteo, Bence Toth and Michael Benzaquen
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Ecole Polytechnique, PalaiseauCapital Fund Management
Downloads 62 (667,201)
Citation 2

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