Publications (18)
How does the market react to your order flow?
Bence Toth, Zoltan Eisler, Fabrizio Lillo +3
The value of information in a multi-agent market model
Bence Toth, Enrico Scalas, Juergen Huber +1
Anomalous price impact and the critical nature of liquidity in financial markets
Bence Toth, Yves Lemperiere, Cyril Deremble +3
The short-term price impact of trades is universal
Bence Toth, Zoltan Eisler, Jean-Philippe Bouchaud
Agent-based models for latent liquidity and concave price impact
Iacopo Mastromatteo, Bence Toth, Jean-Philippe Bouchaud
Studies of the limit order book around large price changes
Bence Toth, Janos Kertesz, J. Doyne Farmer
Modeling the Epps effect of cross correlations in asset prices
Bence Toth, Balint Toth, Janos Kertesz
The square-root impact law also holds for option markets
Bence Toth, Zoltan Eisler, Jean-Philippe Bouchaud
On the origin of the Epps effect
Bence Toth, Janos Kertesz
Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud +2
Why is order flow so persistent?
Bence Toth, Imon Palit, Fabrizio Lillo +1
Increasing market efficiency: Evolution of cross-correlations of stock returns
Bence Toth, Janos Kertesz
The Epps effect revisited
Bence Toth, Janos Kertesz
The value of information in financial markets: An agent-based simulation
Bence Toth, Enrico Scalas
Segmentation algorithm for non-stationary compound Poisson processes
Bence Toth, Fabrizio Lillo, J. Doyne Farmer
Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud +2
Accurate estimator of correlations between asynchronous signals
Bence Toth, Janos Kertesz
Anomalous impact in reaction-diffusion models
Iacopo Mastromatteo, Bence Toth, Jean-Philippe Bouchaud