Zoltán Eisler
Zoltán Eisler
Element Capital Management
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Fluctuation scaling in complex systems: Taylor's law and beyond
Z Eisler, I Bartos, J Kertész
Advances in Physics 57 (1), 89-142, 2008
The price impact of order book events: market orders, limit orders and cancellations
Z Eisler, JP Bouchaud, J Kockelkoren
Quantitative Finance 12 (9), 1395-1419, 2012
Size matters: some stylized facts of the stock market revisited
Z Eisler, J Kertesz
The European Physical Journal B-Condensed Matter and Complex Systems 51, 145-154, 2006
Scaling theory of temporal correlations and size-dependent fluctuations in the traded value of stocks
Z Eisler, J Kertész
Physical Review E 73 (4), 046109, 2006
Multifractal model of asset returns with leverage effect
Z Eisler, J Kertész
Physica A: Statistical Mechanics and its Applications 343, 603-622, 2004
Multiscaling and non-universality in fluctuations of driven complex systems
Z Eisler, J Kertesz, SH Yook, AL Barabási
Europhysics Letters 69 (4), 664, 2005
Random walks on complex networks with inhomogeneous impact
Z Eisler, J Kertész
Physical Review E 71 (5), 057104, 2005
Dissecting cross-impact on stock markets: An empirical analysis
M Benzaquen, I Mastromatteo, Z Eisler, JP Bouchaud
Journal of Statistical Mechanics: Theory and Experiment 2017 (2), 023406, 2017
Liquidity and the multiscaling properties of the volume traded on the stock market
Z Eisler, J Kertész
Europhysics Letters 77 (2), 28001, 2007
How does the market react to your order flow?
B Toth, Z Eisler, F Lillo, J Kockelkoren, JP Bouchaud, JD Farmer
Quantitative Finance 12 (7), 1015-1024, 2012
The Square‐Root Impace Law Also Holds for Option Markets
B Tóth, Z Eisler, JP Bouchaud
Wilmott 2016 (85), 70-73, 2016
Volatility: a hidden Markov process in financial time series
Z Eisler, J Perelló, J Masoliver
Physical Review E 76 (5), 056105, 2007
Diffusive behavior and the modeling of characteristic times in limit order executions
Z Eisler, J Kertesz, F Lillo, RN Mantegna
Quantitative Finance 9 (5), 547-563, 2009
Co-impact: Crowding effects in institutional trading activity
F Bucci, I Mastromatteo, Z Eisler, F Lillo, JP Bouchaud, CA Lehalle
Quantitative Finance 20 (2), 193-205, 2020
Trading lightly: Cross-impact and optimal portfolio execution
I Mastromatteo, M Benzaquen, Z Eisler, JP Bouchaud
arXiv preprint arXiv:1702.03838, 2017
Comment on “Tests of scaling and universality of the distributions of trade size and share volume: evidence from three distinct markets”
É Rácz, Z Eisler, J Kertész
Physical Review E 79 (6), 068101, 2009
The limit order book on different time scales
Z Eisler, J Kertesz, F Lillo
Noise and Stochastics in Complex Systems and Finance 6601, 71-81, 2007
The dynamics of traded value revisited
Z Eisler, J Kertész
Physica A: Statistical Mechanics and its Applications 382 (1), 66-72, 2007
Models for the impact of all order book events
Z Eisler, JP Bouchaud, J Kockelkoren
arXiv preprint arXiv:1107.3364, 2011
The short-term price impact of trades is universal
B Toth, Z Eisler, JP Bouchaud
Market Microstructure and Liquidity 3 (02), 1850002, 2017
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