Tagged: stock market


Agent-specific impact of single trades in financial markets

Alex Bladon, Esteban Moro y Tobias Galla Physical Review E 85, 036103 (2012)  [pdf | link] Abstract We present an analysis of the price impact associated with single trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the...


Market impact and trading profile of large trading orders in stock markets

Esteban Moro, Javier Vicente, Luis G. Moyano, Austin Gerig, J. Doyne Farmer, Gabriella Vaglica, Fabrizio Lillo and Rosario N. Mantegna Phys. Rev. E 80, 066102 (2009) [link, pdf]

New section in the arXiv: Quantitative Finance 0

New section in the arXiv: Quantitative Finance

News from the arXiv: a new section has been created to host preprints about Quantitative Finance. The section (as stated in the press release) intends to fix a problem with existing pre-print repositories. One one hand, social sciences repositories like SSRN, RepEC/IDEAS and others are too academic for practitioners, while on the other hand sites like defaultrisk.com or wilmott.com have...


Specialization of strategies and herding behavior of trading firms in a financial market

Fabrizio Lillo, Esteban Moro, Gabriella Vaglica y Rosario Mantegna New Journal of Physics 10 (2008) 043019 [pdf] Abstract: Agent-based models of financial markets usually make assumptions  about agent’s preferred stylized strategies. Empirical validations of these assumptions have not been performed so far on a full-market scale. Here we present a comprehensive study of the resulting strategies followed by the firms which are...


Scaling laws of strategic behavior and size heterogeneity in agent dynamics

Gabriella Vaglica, Fabrizio Lillo, Esteban Moro y Rosario N. Mantegna Physical Review E 77, 036110 (2008). [link | ArXiv]