Market impact and trading profile of hidden orders in stock markets E Moro, J Vicente, LG Moyano, A Gerig, JD Farmer, G Vaglica, F Lillo, ... Physical Review E 80 (6), 066102, 2009 | 212 | 2009 |
How efficiency shapes market impact JD Farmer, A Gerig, F Lillo, H Waelbroeck Quantitative Finance Papers, 2011 | 115 | 2011 |
Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary? JD Farmer, A Gerig, F Lillo, S Mike Quantitative Finance 6 (02), 107-112, 2006 | 110 | 2006 |
High-frequency trading synchronizes prices in financial markets A Gerig arXiv preprint arXiv:1211.1919, 2012 | 75 | 2012 |
Model for non-Gaussian intraday stock returns A Gerig, J Vicente, MA Fuentes Physical Review E 80 (6), 065102, 2009 | 49 | 2009 |
A theory for market impact: How order flow affects stock price A Gerig arXiv preprint arXiv:0804.3818, 2008 | 48 | 2008 |
Universal behavior of extreme price movements in stock markets MA Fuentes, A Gerig, J Vicente PLoS One 4 (12), e8243, 2009 | 30 | 2009 |
Automated liquidity provision A Gerig, D Michayluk Pacific-Basin Finance Journal 45, 1-13, 2017 | 27 | 2017 |
Too fast or too slow? Determining the optimal speed of financial markets D Fricke, A Gerig Quantitative Finance 18 (4), 519-532, 2018 | 24 | 2018 |
Automated liquidity provision and the demise of traditional market making A Gerig, D Michayluk arXiv preprint arXiv:1007.2352, 2010 | 23 | 2010 |
Simulating the synchronizing behavior of high-frequency trading in multiple markets B Myers, A Gerig Financial econometrics and empirical market microstructure, 207-213, 2014 | 15 | 2014 |
Universal doomsday: analyzing our prospects for survival A Gerig, KD Olum, A Vilenkin Journal of cosmology and astroparticle physics 2013 (05), 013, 2013 | 8 | 2013 |
Chaos in a one-dimensional compressible flow A Gerig, A Hübler Physical Review E 75 (4), 045202, 2007 | 7 | 2007 |
Too fast or too slow D Fricke, A Gerig Determining the optimal speed of financial markets, 2015 | 6 | 2015 |
Universal laws and economic phenomena A Gerig Complexity, 2010 | 5 | 2010 |
A new approach to understanding the market impact of large trading orders JD Farmer, A Gerig, F Lillo, H Waelbroeck Preprint, 2008 | 4 | 2008 |
The Doomsday Argument in Many Worlds A Gerig arXiv preprint arXiv:1209.6251, 2012 | 3 | 2012 |
How prices respond to worked orders A Gerig, JD Farmer, F Lillo Working paper, 2011 | 2 | 2011 |
Liquidity risk, speculative trade, and the optimal latency of financial markets D Fricke, A Gerig Kiel und Hamburg: ZBW-Deutsche Zentralbibliothek für …, 2014 | 1 | 2014 |
A stochastic feedback model for volatility R Golan, A Gerig arXiv preprint arXiv:1306.4975, 2013 | 1 | 2013 |