Adrien de Larrard

Economics and Econometrics · 2011–2016

A researcher in the Science corpus: 3 papers; trusts 16 researchers and is trusted by 10 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 24 citations into it; #6,027 of 23,481 by trust here, #10,872 by citations
• Finance — 24 citations into it; #6,470 of 10,518 by trust here, #7,920 by citations
• Management Science and Operations Research — 10 citations into it

Whom Adrien de Larrard trusts overall

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

1. Rama Cont
2. Ioanid Rosu
3. Sidney I. Resnick
4. Alexander Lipton
5. Sasha Stoikov
6. Jean-Philippe Bouchaud
7. A. Kukanov
8. Emmanuel Bacry
9. Rishi Talreja
10. Eric Smith

Who trusts Adrien de Larrard overall

1. Rama Cont
2. Jonathan A. Chávez-Casillas
3. Justin A. Sirignano
4. Yueyang Zhong
5. Matthew F. Dixon
6. José E. Figueroa-López
7. B. Tóth

Papers from Adrien de Larrard's perspective

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

1. Statistical properties of stock order books: empirical results and models
2. A Dynamic Model of the Limit Order Book
3. How Markets Slowly Digest Changes in Supply and Demand
4. Review: P. Billingsley, Convergence of probability measures
5. The Price Impact of Order Book Events
6. An Analysis of Default Correlations and Multiple Defaults
7. A Stochastic Model for Order Book Dynamics
8. Scaling limits for Hawkes processes and application to financial statistics
9. Empirical properties of asset returns: stylized facts and statistical issues
10. Heavy-Tail Phenomena: Probabilistic and Statistical Modeling

Their papers

• Price Dynamics in a Markovian Limit Order Market (2011) — 306 citations
• Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations (2012) — 92 citations
• Optimal placement in a limit order book: an analytical approach (2016) — 26 citations