Damian Taranto

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

  • Scuola Normale Superiore

SCHOLARLY PAPERS

3

DOWNLOADS

286

SSRN CITATIONS
Rank 45,309

SSRN RANKINGS

Top 45,309

in Total Papers Citations

4

CROSSREF CITATIONS

11

Scholarly Papers (3)

Actions:
Email selected abstracts
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 Bologna - Department of Mathematics, Capital Fund Management, Università di Bologna and Capital Fund Management
Downloads 138 (282,616)
Citation 10

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
Damian Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Toth
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Capital Fund Management, Università di Bologna and Capital Fund Management
Downloads 103 (348,485)
Citation 4

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 45 (537,033)
Citation 3

Abstract:

Loading...

Financial markets, market microstructure, limit order book, liquidity