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Damian Taranto

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

  • Scuola Normale Superiore

SCHOLARLY PAPERS

3

DOWNLOADS

512

TOTAL CITATIONS

20

Scholarly Papers (3)

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1.

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, Scuola Normale Superiore and Capital Fund Management
Downloads 238 (320,573)
Citation 12

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Financial markets, market microstructure, market impact, liquidity

2.

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, Scuola Normale Superiore and Capital Fund Management
Downloads 164 (459,428)
Citation 4

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

3.

The Adaptive Nature of Liquidity Taking in Limit Order Books

Number of pages: 40 Posted: 05 Mar 2014 Last Revised: 26 Apr 2016
Damian Taranto, Giacomo Bormetti and Fabrizio Lillo
Scuola Normale Superiore, University of Pavia - Department of Economics and Management and Scuola Normale Superiore
Downloads 110 (640,165)
Citation 4

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Financial markets, market microstructure, limit order book, liquidity