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Authors: Alex Bladon, Esteban Moro y Tobias Galla
Journal: Physical Review E 85, 036103 (2012) LINK | arXiv
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 time-dependent market response to trades by individual members.
Authors: Esteban Moro, Javier Vicente, Luis G. Moyano, Austin Gerig, J. Doyne Farmer, Gabriella Vaglica, Fabrizio Lillo and Rosario N. Mantegna
Journal: Phys. Rev. E 80, 066102 (2009) LINK | arXiv
Abstract: We empirically study the market impact of trading orders. We are speciﬁcally interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange.
Authors: Fabrizio Lillo, Esteban Moro, Gabriella Vaglica y Rosario Mantegna
Journal: New Journal of Physics 10 (2008) 043019 LINK arXiv
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 members of the Spanish Stock Exchange.
Authors: Gabriella Vaglica, Fabrizio Lillo, Esteban Moro y Rosario N. Mantegna
Journal: Physical Review E 77, 036110 (2008). LINK | arXiv
Abstract: The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent’s characteristics, such as preferences, risk aversion, behavioral biases, etc. In addition, in some systems the size of agents can be highly heterogeneous leading to very different impacts of agents on the system dynamics.
Authors: Esteban Moro
Book: Advances in Condensed Matter and __Statistical Physics, _E. Korutcheva and R. Cuerno eds. (Nova Science Publishers, New York 2004). LINK | arXiv
Abstract: The Minority Game is a simple model for the collective behavior of agents in an idealized situation where they have to compete through adaptation for a finite resource. This review summarizes the statistical mechanics community efforts to clear up and understand the behavior of this model.