J. Kockelkoren

Economics and Econometrics · 2004–2011

A researcher in the Science corpus: 4 papers; trusts 13 researchers and is trusted by 4 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 47 citations into it; #12,701 of 23,481 by trust here, #7,584 by citations
• Finance — 38 citations into it; #5,858 of 10,518 by trust here, #3,009 by citations
• Condensed Matter Physics — 9 citations into it
• Management Science and Operations Research — 8 citations into it

Whom J. Kockelkoren trusts overall

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

1. Jean-Philippe Bouchaud
2. Fabrizio Lillo
3. J. D. Farmer
4. Eric Smith
5. Marc Potters
6. Ananth Madhavan
7. Rama Cont
8. Y. Gefen
9. Philipp Weber

Who trusts J. Kockelkoren overall

1. Jean-Philippe Bouchaud
2. Rama Cont

Papers from J. Kockelkoren's perspective

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

1. The Long Memory of the Efficient Market
2. A theory of power-law distributions in financial market fluctuations (Nature)
3. More Statistical Properties of Order Books and Price Impact
4. A Dynamic Model of the Limit Order Book
5. Statistical theory of the continuous double auction
6. Random walks, liquidity molasses and critical response in financial markets
7. Market Microstructure: A Survey
8. Direct Estimation of Equity Market Impact
9. Is Information Risk a Determinant of Asset Returns
10. Presidential Address: Friction

Their papers

• Random walks, liquidity molasses and critical response in financial markets (2004) — 154 citations
• Anomalous price impact and the critical nature of liquidity in financial markets (2011) — 259 citations
• The price impact of order book events: market orders, limit orders and cancellations (2009) — 200 citations
• Relation between bid–ask spread, impact and volatility in order-driven markets (2006) — 143 citations