Zoltan Eisler

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 17,544

SSRN RANKINGS

Top 17,544

in Total Papers Downloads

6,119

TOTAL CITATIONS
Rank 15,219

SSRN RANKINGS

Top 15,219

in Total Papers Citations

101

Scholarly Papers (13)

1.

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

Number of pages: 29 Posted: 06 Apr 2009
Imperial College London - Department of Mathematics, Capital Fund Management and affiliation not provided to SSRN
Downloads 1,451 (29,028)
Citation 29

Abstract:

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

2.

Zooming In on Equity Factor Crowding

Number of pages: 7 Posted: 05 Feb 2020
Capital Fund Management, Ecole Polytechnique, PalaiseauCapital Fund Management, Imperial College London - Department of Mathematics, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 1,414 (30,167)
Citation 1

Abstract:

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3.

Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost

Number of pages: 26 Posted: 27 Jun 2024
Zoltan Eisler and Johannes Muhle-Karbe
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 693 (81,837)

Abstract:

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market impact, optimal execution, trading cost estimation, broker selection

4.

How Does the Market React to Your Order Flow?

Number of pages: 12 Posted: 06 Apr 2011
Capital Fund Management, Imperial College London - Department of Mathematics, Università di Bologna, Capital Fund Management, Capital Fund Management and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 389 (165,609)
Citation 8

Abstract:

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

5.

Volatility: A Hidden Markov Process in Financial Time Series

Number of pages: 17 Posted: 27 Jul 2007
Zoltan Eisler, Josep Perelló and Jaume Masoliver
Imperial College London - Department of Mathematics, University of Barcelona - Department of Physics and University of Barcelona - Department of Physics
Downloads 378 (170,560)
Citation 1

Abstract:

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random diffusion, hidden markov process, stochastic volatility

6.

Trading Lightly: Cross-Impact and Optimal Portfolio Execution

Number of pages: 7 Posted: 10 Apr 2017
Capital Fund Management, Ecole Polytechnique, PalaiseauCapital Fund Management, Imperial College London - Department of Mathematics and Capital Fund Management
Downloads 345 (188,656)
Citation 12

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
Capital Fund Management, Imperial College London - Department of Mathematics and Capital Fund Management
Downloads 323 (202,566)
Citation 5

Abstract:

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

8.

Models for the Impact of All Order Book Events

Number of pages: 12 Posted: 18 Jul 2011
Imperial College London - Department of Mathematics, Capital Fund Management and Capital Fund Management
Downloads 308 (213,283)
Citation 6

Abstract:

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

9.

Dissecting Cross-Impact on Stock Markets: An Empirical Analysis

Number of pages: 22 Posted: 10 Sep 2016 Last Revised: 03 Nov 2016
Ecole Polytechnique, PalaiseauCapital Fund Management, Capital Fund Management, Imperial College London - Department of Mathematics and Capital Fund Management
Downloads 224 (294,579)
Citation 23

Abstract:

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Market impact

10.

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

Number of pages: 18 Posted: 01 Feb 2007
Imperial College London - Department of Mathematics, Budapest University of Technology and Economics - Department of Theoretical Physics, Università di Bologna and University of Palermo
Downloads 207 (317,613)
Citation 4

Abstract:

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order books, double auction, random walk, econophysics

11.

Co-Impact: Crowding Effects in Institutional Trading Activity

Number of pages: 29 Posted: 10 May 2018
Scuola Normale Superiore, Capital Fund Management, Imperial College London - Department of Mathematics, Università di Bologna, Capital Fund Management and Capital Fund Management
Downloads 178 (364,849)
Citation 11

Abstract:

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12.

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
Imperial College London - Department of Mathematics and Capital Fund Management
Downloads 173 (374,216)
Citation 1

Abstract:

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Price Impact, Market Microstructure, Credit, Order Flow

13.

Optimal execution with deterministically time varying liquidity: well posedness and price manipulation *

Number of pages: 33 Posted: 07 Nov 2024
Gianluca Palmari, Fabrizio Lillo and Zoltan Eisler
Scuola Normale Superiore, Università di Bologna and Imperial College London - Department of Mathematics
Downloads 36 (975,520)

Abstract:

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Market impact, Optimal execution, Price manipulation