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- Bence Tóth, János Kertész
- 2008

We analyse the dependence of stock return cross-correlations on the sampling frequency of the data known as the Epps effect: For high resolution data the cross-correlations are significantly smaller than their asymptotic value as observed on daily data. The former description implies that changing trading frequency should alter the characteristic time of… (More)

We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic relationship of net returns of traders as a function of information levels, both in the experiments and in the simulations.… (More)

- Bence Tóth, János Kertész
- 2005

We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in less than twenty years. We have found that even for high frequency data the asymmetry of time dependent cross-correlation functions has a decreasing tendency, the position of… (More)

- Iacopo Mastromatteo, Bence Tóth, Jean-Philippe Bouchaud
- Physical review. E, Statistical, nonlinear, and…
- 2014

We revisit the "ɛ-intelligence" model of Tóth et al. [Phys. Rev. X 1, 021006 (2011)], which was proposed as a minimal framework to understand the square-root dependence of the impact of meta-orders on volume in financial markets. The basic idea is that most of the daily liquidity is "latent" and furthermore vanishes linearly around the current price, as a… (More)

- Bence Tóth, János Kertész
- 2008

The Epps effect, the decrease of correlations between stock returns for short time windows, was traced back to the trading asynchronicity and to the occasional lead-lag relation between the prices. We study pairs of stocks where the latter is negligible and confirm the importance of asynchronicity but point out that alone these aspects are insufficient to… (More)

- Bence Tóth, János Kertész
- 2009

The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the statistics. We present a method to estimate correlations without applying long time windows. We decompose the correlations of data cumulated over a long window… (More)

- I Mastromatteo, B Tóth, J-P Bouchaud
- Physical review letters
- 2014

We generalize the reaction-diffusion model A+B→0 in order to study the impact of an excess of A (or B) at the reaction front. We provide an exact solution of the model, which shows that the linear response breaks down: the average displacement of the reaction front grows as the square root of the imbalance. We argue that this model provides a highly… (More)

Bence Tóth, Bálint Tóth, and János Kertész ISI Foundation Viale S. Severo, 65 I-10133 Torino, Italy Institute of Physics, Budapest University of Technology and Economics Budafoki út. 8. H-1111 Budapest, Hungary Institute of Mathematics, Budapest University of Technology and Economics Egry József u. 1. H-1111 Budapest, Hungary Laboratory of Computational… (More)

- Bence Tóth, János Kertész
- 2005

ew York vanished y of timeeir peaks ting in a reasingly We analyse the temporal changes in the cross-correlations of returns on the N Stock Exchange. We show that lead–lag relationships between daily returns of stocks in less than 20 years. We have found that even for high-frequency data the asymmetr dependent cross-correlation functions has a decreasing… (More)

- Bence Tóth, 2a, János Kertész
- 2009

We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask imbalance, the number of queuing limit orders, the activity (number and volume) of limit orders placed and canceled, etc.… (More)

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