Browsing by Author "Vicente J"

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Browsing by Author "Vicente J"

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  • Market impact and trading profile of large trading orders in stock markets 
    Moro E; Vicente J; Moyano L; Gerig Austin; Farmer J; Vaglica G; Lillo Fabrizio; Mantegna R (American Physical Society, 2009)
    We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information ...
  • Model for non-Gaussian intraday stock returns 
    Gerig Austin; Vicente J; Fuentes M (American Physical Society, 2009)
    Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday ...
  • Universal behavior of extreme price movements in stock markets 
    Fuentes M; Gerig Austin; Vicente J (Public library of Science, 2009)
    Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock ...