Damian Eduardo Taranto
Damian Eduardo Taranto
Verified email at sns.it
Title
Cited by
Cited by
Year
The adaptive nature of liquidity taking in limit order books
DE Taranto, G Bormetti, F Lillo
arXiv preprint arXiv:1403.0842, 2014
242014
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
122018
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
102018
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
102016
The system can't perform the operation now. Try again later.
Articles 1–4