| Anomalous price impact and the critical nature of liquidity in financial markets B Tóth, Y Lemperiere, C Deremble, J De Lataillade, J Kockelkoren, ... Physical Review X 1 (2), 021006, 2011 | 279 | 2011 |
| Why is equity order flow so persistent? B Toth, I Palit, F Lillo, JD Farmer Journal of Economic Dynamics and Control 51, 218-239, 2015 | 117 | 2015 |
| Increasing market efficiency: Evolution of cross-correlations of stock returns B Tóth, J Kertész Physica A: Statistical Mechanics and its Applications 360 (2), 505-515, 2006 | 112 | 2006 |
| Agent-based models for latent liquidity and concave price impact I Mastromatteo, B Toth, JP Bouchaud Physical Review E 89 (4), 042805, 2014 | 91 | 2014 |
| The Epps effect revisited B Tóth, J Kertész Quantitative Finance 9 (7), 793-802, 2009 | 76 | 2009 |
| 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 | 48 | 2012 |
| Segmentation algorithm for non-stationary compound Poisson processes: With an application to inventory time series of market members in a financial market B Toth, F Lillo, JD Farmer The European Physical Journal B 78, 235-243, 2010 | 44 | 2010 |
| Anomalous impact in reaction-diffusion financial models I Mastromatteo, B Toth, JP Bouchaud Physical review letters 113 (26), 268701, 2014 | 42 | 2014 |
| Studies of the limit order book around large price changes B Tóth, J Kertész, JD Farmer The European Physical Journal B 71, 499-510, 2009 | 37 | 2009 |
| Linear models for the impact of order flow on prices. I. History dependent impact models DE Taranto, G Bormetti, JP Bouchaud, F Lillo, B Tóth Quantitative Finance 18 (6), 903-915, 2018 | 35* | 2018 |
| The value of information in a multi-agent market model: The luck of the uninformed B Toth, E Scalas, J Huber, M Kirchler The European physical journal B 55, 115-120, 2007 | 34 | 2007 |
| The Square‐Root Impace Law Also Holds for Option Markets B Tóth, Z Eisler, JP Bouchaud Wilmott 2016 (85), 70-73, 2016 | 33 | 2016 |
| On the origin of the Epps effect B Tóth, J Kertész Physica A: Statistical Mechanics and its Applications 383 (1), 54-58, 2007 | 29 | 2007 |
| The short-term price impact of trades is universal B Toth, Z Eisler, JP Bouchaud Market Microstructure and Liquidity 3 (02), 1850002, 2017 | 18 | 2017 |
| Accurate estimator of correlations between asynchronous signals B Tóth, J Kertész Physica A: Statistical Mechanics and its Applications 388 (8), 1696-1705, 2009 | 18 | 2009 |
| Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model DE Taranto, G Bormetti, JP Bouchaud, F Lillo, B Toth Quantitative Finance 18 (6), 917-931, 2018 | 16 | 2018 |
| The value of information in financial markets: An agent-based simulation B Tóth, E Scalas arXiv preprint arXiv:0712.2687, 2007 | 16 | 2007 |
| Modeling the Epps effect of cross correlations in asset prices B Tóth, J Kertész Noise and Stochastics in Complex Systems and Finance 6601, 89-97, 2007 | 16 | 2007 |
| Zooming in on equity factor crowding V Volpati, M Benzaquen, Z Eisler, I Mastromatteo, B Tóth, JP Bouchaud arXiv preprint arXiv:2001.04185, 2020 | 10 | 2020 |
| A stationary kyle setup: microfounding propagator models M Vodret, I Mastromatteo, B Tóth, M Benzaquen Journal of Statistical Mechanics: Theory and Experiment 2021 (3), 033410, 2021 | 8 | 2021 |
Jean-Philippe BouchaudHead of Research, CFMVerified email at cfm.fr
