Damian Taranto

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

SCHOLARLY PAPERS

3

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215

CITATIONS

11

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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 Bologna - Department of Mathematics, Capital Fund Management, Università di Bologna and Santa Fe Institute

Downloads 95 (270,822)

Citation 7

Abstract:

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 Santa Fe Institute

Downloads 81 (299,195)

Citation 1

Abstract:

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:

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