Damian Taranto

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

SCHOLARLY PAPERS

3

DOWNLOADS

215

CITATIONS
Rank 33,400

SSRN RANKINGS

Top 33,400

in Total Papers Citations

11

Scholarly Papers (3)

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
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:

Loading...

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
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:

Loading...

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 Bologna - Department of Mathematics and Università di Bologna
Downloads 39 (423,037)
Citation 8

Abstract:

Loading...

Financial markets, market microstructure, limit order book, liquidity