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
2102011
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
972006
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
772015
Agent-based models for latent liquidity and concave price impact
I Mastromatteo, B Toth, JP Bouchaud
Physical Review E 89 (4), 042805, 2014
722014
The Epps effect revisited
B Tóth, J Kertész
Quantitative Finance 9 (7), 793-802, 2009
612009
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
372012
Segmentation algorithm for non-stationary compound Poisson processes
B Toth, F Lillo, JD Farmer
The European Physical Journal B 78 (2), 235-243, 2010
372010
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
322009
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
Anomalous impact in reaction-diffusion financial models
I Mastromatteo, B Toth, JP Bouchaud
Physical review letters 113 (26), 268701, 2014
282014
On the origin of the Epps effect
B Tóth, J Kertész
Physica A: Statistical Mechanics and its Applications 383 (1), 54-58, 2007
272007
The Square‐Root Impace Law Also Holds for Option Markets
B Tóth, Z Eisler, JP Bouchaud
Wilmott 2016 (85), 70-73, 2016
222016
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
172009
The value of information in financial markets: An agent-based simulation
B Toth, E Scalas
arXiv preprint arXiv:0712.2687, 2007
142007
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
122007
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
102018
The short-term price impact of trades is universal
B Toth, Z Eisler, JP Bouchaud
Market Microstructure and Liquidity 3 (02), 1850002, 2017
62017
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
Zooming in on equity factor crowding
V Volpati, M Benzaquen, Z Eisler, I Mastromatteo, B Tóth, JP Bouchaud
Available at SSRN 3518404, 2020
32020
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