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Damian Eduardo Taranto
Damian Eduardo Taranto
Scuola Normale Superiore
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Titolo
Citata da
Citata da
Anno
The adaptive nature of liquidity taking in limit order books
DE Taranto, G Bormetti, F Lillo
arXiv preprint arXiv:1403.0842, 2014
312014
Linear models for the impact of order flow on prices. I. History dependent impact models
DE Taranto, G Bormetti, JP Bouchaud, F Lillo, B Tóth
Quantitative Finance 18 (6), 903-915, 2018
232018
Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model
DE Taranto, G Bormetti, JP Bouchaud, F Lillo, B Tóth
Quantitative Finance 18 (6), 917-931, 2018
132018
Linear models for the impact of order flow on prices i. propagators: Transient vs. history dependent impact
DE Taranto, G Bormetti, JP Bouchaud, F Lillo, B Toth
arXiv preprint arXiv:1602.02735, 2016
122016
Linear models for the impact of order flow on prices I. Propagators: Transient vs
DE Taranto, G Bormetti, JP Bouchaud, F Lillo, B Toth
History Dependent Impact, Quantitative Finance 18 (6), 903-915, 2018
52018
Price formation and liquidity modeling in high frequency finance
DE Taranto
Scuola Normale Superiore, 2017
2017
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
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