Michele Vettorazzo

Finance · 2006

A researcher in the Science corpus: 1 paper; trusts 3 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

• Finance — 16 citations into it
• Economics and Econometrics — 15 citations into it

Whom Michele Vettorazzo trusts

Their strongest outbound trust, strongest first, inferred from their citations.

1. Ananth Madhavan (in Economics and Econometrics)
2. Marc Potters (in Economics and Econometrics)
3. Jean-Philippe Bouchaud (in Economics and Econometrics)

Papers from Michele Vettorazzo's perspective

Ordered by how strongly the researchers Michele Vettorazzo trusts endorse each paper. Same corpus, a different order for every researcher.

1. Statistical properties of stock order books: empirical results and models
2. The Long Memory of the Efficient Market
3. Is Information Risk a Determinant of Asset Returns
4. Market Microstructure: A Survey
5. A Dynamic Model of the Limit Order Book
6. Statistical theory of the continuous double auction
7. Presidential Address: Friction
8. Random walks, liquidity molasses and critical response in financial markets
9. Direct Estimation of Equity Market Impact
10. Liquidity and Market Efficiency

Their papers

• Relation between bid–ask spread, impact and volatility in order-driven markets (2006) — 143 citations