Laszlo Gillemot

Santa Fe Institute

1399 Hyde Park Road

Santa Fe, NM 87501

United States

Budapest University of Technology and Economics

Muegyetem rkp. 3-9

H-1111 Budapest

Hungary

SCHOLARLY PAPERS

2

DOWNLOADS

286

CITATIONS

6

Scholarly Papers (2)

1.

There's More to Volatility than Volume

Number of pages: 26 Posted: 18 Oct 2005
Laszlo Gillemot, J. Doyne Farmer and Fabrizio Lillo
Santa Fe Institute, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Università di Bologna
Downloads 286 (105,557)
Citation 5

Abstract:

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Volatility clustering, transaction frequency, alternative time clocks

2.

Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process

Physical Review Letters, Vol. 90, No. 10, 2003
Posted: 08 Nov 2005
Giulia Iori, J. Doyne Farmer, Eric Smith and Laszlo Gillemot
City University London - Department of Economics, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Santa Fe Institute - Economics and Santa Fe Institute

Abstract:

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