Zoltán Eisler
Zoltán Eisler
Capital Fund Management
Verified email at cfm.fr
Title
Cited by
Cited by
Year
Fluctuation scaling in complex systems: Taylor's law and beyond
Z Eisler, I Bartos, J Kertész
Advances in Physics 57 (1), 89-142, 2008
2702008
The price impact of order book events: market orders, limit orders and cancellations
Z Eisler, JP Bouchaud, J Kockelkoren
Quantitative Finance 12 (9), 1395-1419, 2012
1552012
Size matters: some stylized facts of the stock market revisited
Z Eisler, J Kertesz
The European Physical Journal B-Condensed Matter and Complex Systems 51 (1 …, 2006
1072006
Multifractal model of asset returns with leverage effect
Z Eisler, J Kertész
Physica A: Statistical Mechanics and its Applications 343, 603-622, 2004
852004
Scaling theory of temporal correlations and size-dependent fluctuations in the traded value of stocks
Z Eisler, J Kertész
Physical Review E 73 (4), 046109, 2006
782006
Multiscaling and non-universality in fluctuations of driven complex systems
Z Eisler, J Kertesz, SH Yook, AL Barabási
EPL (Europhysics Letters) 69 (4), 664, 2005
772005
Random walks on complex networks with inhomogeneous impact
Z Eisler, J Kertész
Physical Review E 71 (5), 057104, 2005
632005
Liquidity and the multiscaling properties of the volume traded on the stock market
Z Eisler, J Kertész
EPL (Europhysics Letters) 77 (2), 28001, 2007
522007
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
382012
Dissecting cross-impact on stock markets: An empirical analysis
M Benzaquen, I Mastromatteo, Z Eisler, JP Bouchaud
Journal of Statistical Mechanics: Theory and Experiment 2017 (2), 023406, 2017
372017
Econophysics of Stock and Other Markets: Proceedings of the Econophys-Kolkata II
A Chatterjee, BK Chakrabarti
Springer Science & Business Media, 2007
372007
Volatility: a hidden Markov process in financial time series
Z Eisler, J Perelló, J Masoliver
Physical Review E 76 (5), 056105, 2007
302007
Diffusive behavior and the modeling of characteristic times in limit order executions
Z Eisler, J Kertesz, F Lillo, RN Mantegna
Quantitative Finance 9 (5), 547-563, 2009
252009
Comment on “Tests of scaling and universality of the distributions of trade size and share volume: evidence from three distinct markets”
É Rácz, Z Eisler, J Kertész
Physical Review E 79 (6), 068101, 2009
242009
The Square‐Root Impace Law Also Holds for Option Markets
B Tóth, Z Eisler, JP Bouchaud
Wilmott 2016 (85), 70-73, 2016
232016
The limit order book on different time scales
Z Eisler, J Kertesz, F Lillo
Noise and Stochastics in Complex Systems and Finance 6601, 66010G, 2007
232007
The dynamics of traded value revisited
Z Eisler, J Kertész
Physica A: Statistical Mechanics and its Applications 382 (1), 66-72, 2007
212007
Co-impact: Crowding effects in institutional trading activity
F Bucci, I Mastromatteo, Z Eisler, F Lillo, JP Bouchaud, CA Lehalle
Quantitative Finance 20 (2), 193-205, 2020
162020
Models for the impact of all order book events
Z Eisler, JP Bouchaud, J Kockelkoren
arXiv preprint arXiv:1107.3364, 2011
162011
Trading lightly: Cross-impact and optimal portfolio execution
I Mastromatteo, M Benzaquen, Z Eisler, JP Bouchaud
Available at SSRN 2949748, 2017
122017
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