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Damian Eduardo Taranto
Damian Eduardo Taranto
Scuola Normale Superiore
Verified email at sns.it
Title
Cited by
Cited by
Year
The adaptive nature of liquidity taking in limit order books
DE Taranto, G Bormetti, F Lillo
arXiv preprint arXiv:1403.0842, 2014
312014
Linear models for the impact of order flow on prices. I. History dependent impact models
DE Taranto, G Bormetti, JP Bouchaud, F Lillo, B Tóth
Quantitative Finance 18 (6), 903-915, 2018
232018
Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model
DE Taranto, G Bormetti, JP Bouchaud, F Lillo, B Tóth
Quantitative Finance 18 (6), 917-931, 2018
132018
Linear models for the impact of order flow on prices i. propagators: Transient vs. history dependent impact
DE Taranto, G Bormetti, JP Bouchaud, F Lillo, B Toth
arXiv preprint arXiv:1602.02735, 2016
122016
Linear models for the impact of order flow on prices I. Propagators: Transient vs
DE Taranto, G Bormetti, JP Bouchaud, F Lillo, B Toth
History Dependent Impact, Quantitative Finance 18 (6), 903-915, 2018
52018
Price formation and liquidity modeling in high frequency finance
DE Taranto
Scuola Normale Superiore, 2017
2017
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Articles 1–6