The price impact of order book events: market orders, limit orders and cancellations (2009)
Eisler, Zoltan, Bouchaud, Jean-Philippe, Kockelkoren, Julien
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are...
Fluctuation scaling in complex systems: Taylor's law and beyond (2007)
Eisler, Zoltan, Bartos, Imre, Kertesz, Janos
Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the activity of an element...
The limit order book on different time scales (2007)
Eisler, Zoltan, Kertesz, Janos, Lillo, Fabrizio
Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses...
Fluctuation scaling versus gap scaling (2007)
Eisler, Zoltan, Kertesz, Janos
Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{\sigma^2|n}\propto...
Diffusive behavior and the modeling of characteristic times in limit order executions (2007)
Eisler, Zoltan, Kertesz, Janos, Lillo, Fabrizio, Mantegna, Rosario N.
We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to...
Volatility: a hidden Markov process in financial time series (2006)
Eisler, Zoltan, Perello, Josep, Masoliver, Jaume
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading...
The dynamics of traded value revisited (2006)
Eisler, Zoltan, Kertesz, Janos
We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $\sigma_i$ for the very large majority of stocks $i$, and...
Liquidity and the multiscaling properties of the volume traded on the stock market (2006)
Eisler, Zoltan, Kertesz, Janos
We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at...
Why do Hurst exponents of traded value increase as the logarithm of company size? (2006)
Eisler, Zoltan, Kertesz, Janos
The common assumption of universal behavior in stock market data can sometimes lead to false conclusions. In statistical physics, the Hurst exponents characterizing long-range correlations are often...
Limitations of scaling and universality in stock market data (2005)
Kertesz, Janos, Eisler, Zoltan
We present evidence, that if a large enough set of high resolution stock market data is analyzed, certain analogies with physics -- such as scaling and universality -- fail to capture the full...
Eisler, Zoltan, Kertesz, Janos
Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average : sigma(i) ~ f(i)^alpha, with a strong time scale...
Eisler, Zoltan, Kertesz, Janos
Records of the traded value f(i) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average : sigma(i) ~ f(i)^alpha, with a strong time scale...
Size matters: some stylized facts of the stock market revisited (2005)
Eisler, Zoltan, Kertesz, Janos
We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean...
Non-trivial scaling of fluctuations in the trading activity of NYSE (2005)
Kertesz, Janos, Eisler, Zoltan
Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical...
Random walks on complex networks with inhomogeneous impact (2005)
Eisler, Zoltan, Kertesz, Janos
In many complex systems, for the activity f(i) of the constituents or nodes i, a power-law relationship was discovered between the standard deviation sigma(i) and the average strength of the...
Multiscaling and non-universality in fluctuations of driven complex systems (2004)
Eisler, Zoltan, Kertesz, Janos, Yook, Soon-Hyung, Barabasi, Albert-Laszlo
For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large...
Multifractal model of asset returns with leverage effect (2004)
Eisler, Zoltan, Kertesz, Janos
Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of...
Diffusive behavior and the modeling of characteristic times in limit order executions
Zoltan Eisler, Janos Kertesz, Fabrizio Lillo, Rosario Mantegna
We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Δ, the time to fill (TTF) for executed limit orders and the time to...
Diffusive behavior and the modeling of characteristic times in limit order executions
Zoltan Eisler, Janos Kertesz, Fabrizio Lillo, Rosario N. Mantegna
We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to...
The limit order book on different time scales
Zoltan Eisler, Janos Kertesz, Fabrizio Lillo
Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses...
Why do Hurst exponents of traded value increase as the logarithm of company size?
The common assumption of universal behavior in stock market data can sometimes lead to false conclusions. In statistical physics, the Hurst exponents characterizing long-range correlations are often...
Liquidity and the multiscaling properties of the volume traded on the stock market
We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at...
Volatility: a hidden Markov process in financial time series
Zoltan Eisler, Josep Perello, Jaume Masoliver
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading...
Non-trivial scaling of fluctuations in the trading activity of NYSE
Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical...
Limitations of scaling and universality in stock market data
We present evidence, that if a large enough set of high resolution stock market data is analyzed, certain analogies with physics -- such as scaling and universality -- fail to capture the full...
Size matters: some stylized facts of the stock market revisited
We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean...
Fluctuation scaling versus gap scaling
Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{\sigma^2|n}\propto...
Multifractal model of asset returns with leverage effect
Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of...
The dynamics of traded value revisited
We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $\sigma_i$ for the very large majority of stocks $i$, and...
Multiscaling and non-universality in fluctuations of driven complex systems
Zoltan Eisler, Janos Kertesz, Soon-Hyung Yook, Albert-Laszlo Barabasi
For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large...
The price impact of order book events: market orders, limit orders and cancellations
Zoltan Eisler, Jean-Philippe Bouchaud, Julien Kockelkoren
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are...
Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average : sigma(i) ~ f(i)^alpha, with a strong time scale...