Zoltan Eisler

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

  • Capital Fund Management

SCHOLARLY PAPERS

11

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Top 17,906

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4,620

SSRN CITATIONS
Rank 15,876

SSRN RANKINGS

Top 15,876

in Total Papers Citations

46

CROSSREF CITATIONS

31

Scholarly Papers (11)

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1.

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

Number of pages: 29 Posted: 06 Apr 2009
Zoltan Eisler, Jean-Philippe Bouchaud and Julien Kockelkoren
Capital Fund Management, Capital Fund Management and affiliation not provided to SSRN
Downloads 1,313 (24,853)
Citation 29

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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
Valerio Volpati, Michael Benzaquen, Michael Benzaquen, Zoltan Eisler, Iacopo Mastromatteo, Bence Toth and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 1,206 (28,164)
Citation 1

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3.

How Does the Market React to Your Order Flow?

Number of pages: 12 Posted: 06 Apr 2011
Bence Toth, Zoltan Eisler, Fabrizio Lillo, Jean-Philippe Bouchaud, Julien Kockelkoren and J. Doyne Farmer
Capital Fund Management, 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 358 (135,016)
Citation 8

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

4.

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 354 (136,671)
Citation 1

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random diffusion, hidden markov process, stochastic volatility

5.

Models for the Impact of All Order Book Events

Number of pages: 12 Posted: 18 Jul 2011
Zoltan Eisler, Jean-Philippe Bouchaud and Julien Kockelkoren
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 280 (175,241)
Citation 6

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

6.

Trading Lightly: Cross-Impact and Optimal Portfolio Execution

Number of pages: 7 Posted: 10 Apr 2017
Iacopo Mastromatteo, Michael Benzaquen, Michael Benzaquen, Zoltan Eisler and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Downloads 257 (191,014)
Citation 9

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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, Capital Fund Management and Capital Fund Management
Downloads 249 (197,096)

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

8.

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

Number of pages: 18 Posted: 01 Feb 2007
Zoltan Eisler, Janos Kertesz, Fabrizio Lillo and Rosario N. Mantegna
Capital Fund Management, Budapest University of Technology and Economics - Department of Theoretical Physics, Università di Bologna and University of Palermo
Downloads 189 (255,080)
Citation 4

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order books, double auction, random walk, econophysics

9.

Dissecting Cross-Impact on Stock Markets: An Empirical Analysis

Number of pages: 22 Posted: 10 Sep 2016 Last Revised: 03 Nov 2016
Michael Benzaquen, Michael Benzaquen, Iacopo Mastromatteo, Zoltan Eisler and Jean-Philippe Bouchaud
Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 158 (297,796)
Citation 14

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Market impact

10.

Co-Impact: Crowding Effects in Institutional Trading Activity

Number of pages: 29 Posted: 10 May 2018
Frederic Bucci, Iacopo Mastromatteo, Zoltan Eisler, Fabrizio Lillo, Jean-Philippe Bouchaud and Charles‐Albert Lehalle
Scuola Normale Superiore, Capital Fund Management, Capital Fund Management, Università di Bologna, Capital Fund Management and Capital Fund Management
Downloads 139 (330,329)
Citation 9

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11.

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 117 (375,906)
Citation 1

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Price Impact, Market Microstructure, Credit, Order Flow