| The adaptive nature of liquidity taking in limit order books DE Taranto, G Bormetti, F Lillo arXiv preprint arXiv:1403.0842, 2014 | 31 | 2014 |
| 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 | 23 | 2018 |
| 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 | 13 | 2018 |
| 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 | 12 | 2016 |
| 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 | 5 | 2018 |
| Price formation and liquidity modeling in high frequency finance DE Taranto Scuola Normale Superiore, 2017 | | 2017 |
Fabrizio LilloUniversità di Bologna and Scuola Normale Superiore, PisaAdresse e-mail validée de sns.it
