| Anomalous price impact and the critical nature of liquidity in financial markets B Tóth, Y Lemperiere, C Deremble, J De Lataillade, J Kockelkoren, ... Physical Review X 1 (2), 021006, 2011 | 210 | 2011 |
| Increasing market efficiency: Evolution of cross-correlations of stock returns B Tóth, J Kertész Physica A: Statistical Mechanics and its Applications 360 (2), 505-515, 2006 | 97 | 2006 |
| Why is equity order flow so persistent? B Toth, I Palit, F Lillo, JD Farmer Journal of Economic Dynamics and Control 51, 218-239, 2015 | 77 | 2015 |
| Agent-based models for latent liquidity and concave price impact I Mastromatteo, B Toth, JP Bouchaud Physical Review E 89 (4), 042805, 2014 | 72 | 2014 |
| The Epps effect revisited B Tóth, J Kertész Quantitative Finance 9 (7), 793-802, 2009 | 61 | 2009 |
| How does the market react to your order flow? B Toth, Z Eisler, F Lillo, J Kockelkoren, JP Bouchaud, JD Farmer Quantitative Finance 12 (7), 1015-1024, 2012 | 37 | 2012 |
| Segmentation algorithm for non-stationary compound Poisson processes B Toth, F Lillo, JD Farmer The European Physical Journal B 78 (2), 235-243, 2010 | 37 | 2010 |
| Studies of the limit order book around large price changes B Tóth, J Kertész, JD Farmer The European Physical Journal B 71 (4), 499-510, 2009 | 32 | 2009 |
| The value of information in a multi-agent market model B Toth, E Scalas, J Huber, M Kirchler The European physical journal B 55 (1), 115-120, 2007 | 31 | 2007 |
| Anomalous impact in reaction-diffusion financial models I Mastromatteo, B Toth, JP Bouchaud Physical review letters 113 (26), 268701, 2014 | 28 | 2014 |
| On the origin of the Epps effect B Tóth, J Kertész Physica A: Statistical Mechanics and its Applications 383 (1), 54-58, 2007 | 27 | 2007 |
| The Square‐Root Impace Law Also Holds for Option Markets B Tóth, Z Eisler, JP Bouchaud Wilmott 2016 (85), 70-73, 2016 | 22 | 2016 |
| 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 | 21* | 2018 |
| Accurate estimator of correlations between asynchronous signals B Tóth, J Kertész Physica A: Statistical Mechanics and its Applications 388 (8), 1696-1705, 2009 | 17 | 2009 |
| The value of information in financial markets: An agent-based simulation B Toth, E Scalas arXiv preprint arXiv:0712.2687, 2007 | 14 | 2007 |
| Modeling the Epps effect of cross correlations in asset prices B Tóth, J Kertész Noise and Stochastics in Complex Systems and Finance 6601, 66010J, 2007 | 12 | 2007 |
| 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 | 10 | 2018 |
| The short-term price impact of trades is universal B Toth, Z Eisler, JP Bouchaud Market Microstructure and Liquidity 3 (02), 1850002, 2017 | 6 | 2017 |
| Agent-based simulation of a double-auction market with heterogeneously informed agents B Tóth, E Scalas, J Huber, M Kirchler Potentials of Complexity Science for Business, Governments, and the Media 2006, 2006 | 5 | 2006 |
| Zooming in on equity factor crowding V Volpati, M Benzaquen, Z Eisler, I Mastromatteo, B Tóth, JP Bouchaud Available at SSRN 3518404, 2020 | 3 | 2020 |
Jean-Philippe BouchaudHead of Research, CFMVerified email at cfm.fr
