Concepedia

László Gillemot

LG

Statistics

Publications

7

Citations

890

H-Index

7

Active since

2000

Affiliations

Santa Fe Institute(Current)

Budapest University of Technology and Economics

University of Chicago

Istituto Nazionale per la Fisica della Materia

King's College London

László Gillemot is an author at Santa Fe Institute specializing in economics, asset pricing, and finance.

Top concepts

FinanceBusinessEconomicsAsset PricingEconomic AnalysisFinancial EconomicsMarket MicrostructureHigh-frequency TradingPriceLiquidity

Publications per year

2000–2005

7

Publications

7

Statistical theory of the continuous double auction

Eric Smith, J. Doyne Farmer, László Gillemot et al. · Quantitative Finance · 2003 · 354 citations · Full text

What really causes large price changes?

J. Doyne Farmer, László Gillemot, Fabrizio Lillo et al. · Quantitative Finance · 2004 · 284 citations

Market Microstructure, Large Fluctuations, Economics +15

Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process

Marcus Daniels, J. Doyne Farmer, László Gillemot et al. · Physical Review Letters · 2003 · 166 citations · Full text

Price Diffusion, Mechanistic Random Process, Financial Mathematics +20

An analysis of price impact function in order-driven markets

Giulia Iori, Marcus Daniels, J. Doyne Farmer et al. · Physica A Statistical Mechanics and its Applications · 2003 · 33 citations

Market Microstructure, Economics, Asset Pricing +7

What really causes large price changes?

J. Doyne Farmer, László Gillemot, Fabrizio Lillo et al. · ArXiv.org · 2003 · 23 citations · Full text

Market Microstructure, Large Fluctuations, Economics +15

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