Multiple-limit trades: empirical facts and application to lead–lag measures

Direct Estimation of Equity Market Impact

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Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes

Jean‐Philippe Bouchaud, Yuval Gefen, Marc Potters et al. · Quantitative Finance · 2004 · 366 citations

Social Sciences, Economics, Finance +13

The Long Memory of the Efficient Market

Fabrizio Lillo, J. Doyne Farmer · Studies in Nonlinear Dynamics and Econometrics · 2004 · 356 citations

Social Sciences, Economics, Finance +13

What really causes large price changes?

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

Business, Economics, Finance +17

More statistical properties of order books and price impact

Marc Potters, Jean‐Philippe Bouchaud · Physica A Statistical Mechanics and its Applications · 2003 · 274 citations

Social Sciences, Economics, Finance +13