Bence Toth
Bence Toth
Postdoctoral researcher at CFM
Verified email at santafe.edu
Title
Cited by
Cited by
Year
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
2182011
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
1022006
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
812015
Agent-based models for latent liquidity and concave price impact
I Mastromatteo, B Toth, JP Bouchaud
Physical Review E 89 (4), 042805, 2014
752014
The Epps effect revisited
B Tóth, J Kertész
Quantitative Finance 9 (7), 793-802, 2009
652009
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
412012
Segmentation algorithm for non-stationary compound Poisson processes
B Toth, F Lillo, JD Farmer
The European Physical Journal B 78 (2), 235-243, 2010
382010
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
332009
Anomalous impact in reaction-diffusion financial models
I Mastromatteo, B Toth, JP Bouchaud
Physical review letters 113 (26), 268701, 2014
312014
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
312007
On the origin of the Epps effect
B Tóth, J Kertész
Physica A: Statistical Mechanics and its Applications 383 (1), 54-58, 2007
282007
The Square‐Root Impace Law Also Holds for Option Markets
B Tóth, Z Eisler, JP Bouchaud
Wilmott 2016 (85), 70-73, 2016
252016
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
22*2018
Accurate estimator of correlations between asynchronous signals
B Tóth, J Kertész
Physica A: Statistical Mechanics and its Applications 388 (8), 1696-1705, 2009
162009
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
152007
The value of information in financial markets: An agent-based simulation
B Toth, E Scalas
arXiv preprint arXiv:0712.2687, 2007
142007
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
112018
The short-term price impact of trades is universal
B Toth, Z Eisler, JP Bouchaud
Market Microstructure and Liquidity 3 (02), 1850002, 2017
82017
Zooming in on equity factor crowding
V Volpati, M Benzaquen, Z Eisler, I Mastromatteo, B Tóth, JP Bouchaud
Available at SSRN 3518404, 2020
52020
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
52006
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Articles 1–20