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On the origin of power-law tails in price fluctuations
16 references·12 citing·38 second hop
On the origin of power-law tails in price fluctuations (2004)On the origin of power-law tails in price…The predictive power of zero intelligence in financial markets (2005)The predictive power of zero …What really causes large price changes? (2004)What really causes large pric…The Long Memory of the Efficient Market (2004)The Long Memory of the Effici…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Statistical theory of the continuous double auction (2003)Statistical theory of the con…More statistical properties of order books and price impact (2003)More statistical properties o…Master curve for price-impact function (2003)Master curve for price-impact…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…Quantifying stock-price response to demand fluctuations (2002)Quantifying stock-price respo…Statistical properties of share volume traded in financial markets (2000)Statistical properties of sha…Economic fluctuations and anomalous diffusion (2000)Economic fluctuations and ano…Scaling of the distribution of price fluctuations of individual companies (1999)Scaling of the distribution o…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Determinants of immediate price impacts at the trade level in an emerging order-driven market (2012)Determinants of immediate pri…Patterns in high-frequency FX data: discovery of 12 empirical scaling laws (2010)Patterns in high-frequency FX…The Price Impact of Order Book Events: Market Orders, Limit Orders and Cancellations (2009)The Price Impact of Order Boo…Applications of Statistical Physics in Finance and Economics (2009)Applications of Statistical P…A statistical physics view of financial fluctuations: Evidence for scaling and universality (2008)A statistical physics view of…Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets (2007)Tests of scaling and universa…There's more to volatility than volume (2006)There's more to volatility th…Size matters: some stylized facts of the stock market revisited (2006)Size matters: some stylized f…Scaling theory of temporal correlations and size-dependent fluctuations in the traded value of stocks (2006)Scaling theory of temporal co…Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary? 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this work references cited by second hop

References

  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1996Statistics for Long-Memory Processes.1,480 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 1999Scaling of the distribution of price fluctuations of individual companies539 cited
  • 2003Master curve for price-impact function453 cited
  • 2005The predictive power of zero intelligence in financial markets452 cited
  • 2004The Long Memory of the Efficient Market365 cited
  • 2003Statistical theory of the continuous double auction349 cited
  • 2000Statistical properties of share volume traded in financial markets320 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes295 cited
  • 2003More statistical properties of order books and price impact289 cited
  • 2004What really causes large price changes?276 cited
  • 2000Economic fluctuations and anomalous diffusion265 cited
  • 2002Quantifying stock-price response to demand fluctuations

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232 cited

Cited by

  • 2010Patterns in high-frequency FX data: discovery of 12 empirical scaling laws108 cited
  • 2006Size matters: some stylized facts of the stock market revisited101 cited
  • 2006Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?95 cited
  • 2008A statistical physics view of financial fluctuations: Evidence for scaling and universality92 cited
  • 2004On the origin of power-law fluctuations in stock prices90 cited
  • 2009Applications of Statistical Physics in Finance and Economics84 cited
  • 2006Scaling theory of temporal correlations and size-dependent fluctuations in the traded value of stocks84 cited
  • 2006There's more to volatility than volume81 cited
  • 2007Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets79 cited
  • 2005A learning market-maker in the Glosten–Milgrom model56 cited
  • 2009The Price Impact of Order Book Events: Market Orders, Limit Orders and Cancellations55 cited
  • 2012Determinants of immediate price impacts at the trade level in an emerging order-driven market32 cited