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publications

(7)

• Statistical theory of the continuous double auction
  Eric Smith and J. Doyne Farmer and L{\'A}szl{\'O} Gillemot and Supriya Krishnamurthy Quantitative Finance 3 481--514 (2003)
  to imported by smicha and 1 other person on 2008-04-23 19:09:19
  | URL | BibTeX  
• There's more to volatility than volume
  L{\'A}szl{\'O} Gillemot and J. Doyne Farmer and Fabrizio Lillo Quantitative Finance 6 371--384 (2006)
  to imported by smicha on 2008-04-23 19:09:19
  | URL | BibTeX  
• What really causes large price changes?
  J. Doyne Farmer and L{\'A}szl{\'O} Gillemot and Fabrizio Lillo and Szabolcs Mike and Anindya Sen Quantitative Finance 4 383--397 (2004)
  to imported by smicha on 2008-04-23 19:09:19
  | URL | BibTeX  
• An analysis of price impact function in order-driven markets
  G. Iori and M. G. Daniels and J. D. Farmer and L. Gillemot and S. Krishnamurthy and E. Smith Physica A: Statistical Mechanics and its Applications 324 146--151 (2003)
  to Limit order trading by smicha on 2008-04-22 10:36:30
  | URL | BibTeX  
• Time-independent models of asset returns revisited
  L. Gillemot and J. T{\"o}yli and J. Kertesz and K. Kaski Physica A: Statistical Mechanics and its Applications 282 304--324 (2000)
  to imported by smicha on 2008-04-22 10:36:30
  | URL | BibTeX  
• Statistical theory of the continuous double auction
  E. Smith and J. Doyne Farmer and L. Gillemot and S. Krishnamurthy Quantitative Finance 3 481--514 (2003)
  to imported by gilles.daniel and 1 other person on 2007-06-26 15:08:05
  | BibTeX  
• There's more to volatility than volume
  L. Gillemot and J. D. Farmer and F. Lillo (2005)
  to imported by gilles.daniel on 2007-06-26 15:08:05
  | BibTeX