Zoltan Eisler

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

  • Imperial College London - Department of Mathematics

SCHOLARLY PAPERS

13

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6,119

TOTAL CITATIONS
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SSRN RANKINGS

Top 15,219

in Total Papers Citations

101

Scholarly Papers (13)

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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
Imperial College London - Department of Mathematics, Capital Fund Management and affiliation not provided to SSRN
Downloads 1,451 (29,028)
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, Zoltan Eisler, Iacopo Mastromatteo, Bence Toth and Jean-Philippe Bouchaud
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

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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)

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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
Bence Toth, Zoltan Eisler, Fabrizio Lillo, Jean-Philippe Bouchaud, Julien Kockelkoren and J. Doyne Farmer
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

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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

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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
Iacopo Mastromatteo, Michael Benzaquen, Zoltan Eisler and Jean-Philippe Bouchaud
Capital Fund Management, Ecole Polytechnique, PalaiseauCapital Fund Management, Imperial College London - Department of Mathematics and Capital Fund Management
Downloads 345 (188,656)
Citation 12

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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

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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
Zoltan Eisler, Jean-Philippe Bouchaud and Julien Kockelkoren
Imperial College London - Department of Mathematics, Capital Fund Management and Capital Fund Management
Downloads 308 (213,283)
Citation 6

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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
Michael Benzaquen, Iacopo Mastromatteo, Zoltan Eisler and Jean-Philippe Bouchaud
Ecole Polytechnique, PalaiseauCapital Fund Management, Capital Fund Management, Imperial College London - Department of Mathematics and Capital Fund Management
Downloads 224 (294,579)
Citation 23

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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
Zoltan Eisler, Janos Kertesz, Fabrizio Lillo and Rosario N. Mantegna
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

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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
Frederic Bucci, Iacopo Mastromatteo, Zoltan Eisler, Fabrizio Lillo, Jean-Philippe Bouchaud and Charles‐Albert Lehalle
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

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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

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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