Zoltan Eisler

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 17,737

SSRN RANKINGS

Top 17,737

in Total Papers Downloads

2,653

CITATIONS
Rank 8,168

SSRN RANKINGS

Top 8,168

in Total Papers Citations

68

Scholarly Papers (10)

1.

The Price Impact of Order Book Events: Market Orders, Limit Orders and Cancellations

Number of pages: 29 Posted: 06 Apr 2009
Capital Fund Management, Capital Fund Management and affiliation not provided to SSRN
Downloads 1,150 (17,270)
Citation 31

Abstract:

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price impact, market orders, limit orders, cancellations, market microstructure, order flow

2.

Volatility: A Hidden Markov Process in Financial Time Series

Number of pages: 17 Posted: 27 Jul 2007
Zoltan Eisler, Josep Perelló and Jaume Masoliver
Capital Fund Management, University of Barcelona - Department of Physics and University of Barcelona - Department of Physics
Downloads 320 (92,676)
Citation 1

Abstract:

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random diffusion, hidden markov process, stochastic volatility

3.

How Does the Market React to Your Order Flow?

Number of pages: 12 Posted: 06 Apr 2011
Santa Fe Institute, Capital Fund Management, Università di Bologna, Capital Fund Management, Capital Fund Management and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 291 (102,754)
Citation 9

Abstract:

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Financial markets, market microstructure, limit order book, order flow, behavioural economics

4.

Models for the Impact of All Order Book Events

Number of pages: 12 Posted: 18 Jul 2011
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 231 (130,585)
Citation 8

Abstract:

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price impact, market orders, limit orders, cancellations, market microstructure, order flow

5.

Diffusive Behavior and the Modeling of Characteristic Times in Limit Order Executions

Number of pages: 18 Posted: 01 Feb 2007
Capital Fund Management, Budapest University of Technology and Economics - Department of Theoretical Physics, Università di Bologna and University of Palermo
Downloads 169 (174,403)
Citation 2

Abstract:

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order books, double auction, random walk, econophysics

6.

Trading Lightly: Cross-Impact and Optimal Portfolio Execution

Number of pages: 7 Posted: 10 Apr 2017
Capital Fund Management, Ecole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Downloads 129 (217,732)
Citation 4

Abstract:

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7.

The Short-Term Price Impact of Trades Is Universal

Number of pages: 9 Posted: 28 Feb 2017 Last Revised: 02 Jan 2018
Bence Toth, Zoltan Eisler and Jean-Philippe Bouchaud
Santa Fe Institute, Capital Fund Management and Capital Fund Management
Downloads 125 (223,052)

Abstract:

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financial markets, market microstructure, limit order book, order flow, behavioural economics

8.

Dissecting Cross-Impact on Stock Markets: An Empirical Analysis

Number of pages: 22 Posted: 10 Sep 2016 Last Revised: 03 Nov 2016
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 121 (228,582)
Citation 5

Abstract:

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Market impact

9.

Price Impact Without Order Book: A Study of the OTC Credit Index Market

Number of pages: 15 Posted: 19 Sep 2016
Zoltan Eisler and Jean-Philippe Bouchaud
Capital Fund Management and Capital Fund Management
Downloads 73 (317,507)
Citation 5

Abstract:

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Price Impact, Market Microstructure, Credit, Order Flow

10.

Co-Impact: Crowding Effects in Institutional Trading Activity

Number of pages: 29 Posted: 10 May 2018
Scuola Normale Superiore, Capital Fund Management, Capital Fund Management, Università di Bologna, Capital Fund Management and Capital Fund Management
Downloads 44 (403,784)
Citation 4

Abstract:

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