Papers

24. M. Vodret, I. Mastromatteo, B. Tóth, M. Benzaquen, "Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents", Journal of Economic Interaction and Coordination 18, 599–625 (2023) [link] arXiv

23. M. Vodret, I. Mastromatteo, B. Tóth, M. Benzaquen, "Do fundamentals shape the price response? A critical assessment of linear impact models", Quantitative Finance, 22:12, 2139-2150 (2022) [link] arXiv

22. M. Vodret, I. Mastromatteo, B. Tóth, M. Benzaquen, "A stationary Kyle setup: microfounding propagator models", J. Stat. Mech. 033410 (2021) [link]  arXiv

21. V. Volpati, M. Benzaquen, Z. Eisler, I. Mastromatteo, B. Tóth, J.-P. Bouchaud, "Zooming In on Equity Factor Crowding", Risk magazine, December (2020) [link]  arXiv

20. B. Tóth, Z. Eisler, J.-P. Bouchaud, "The short-term price impact of trades is universal", Mark. Microstructure Liq. 03, 1850002 (2017) [link]  arXiv

19. D.E. Taranto, G. Bormetti, J.-P. Bouchaud, F. Lillo, B. Tóth, "Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model", Quantitative Finance, 18(6), 917-931 (2018) [link]  arXiv

18. B. Tóth, Z. Eisler, J.-P. Bouchaud, "The square-root impact law also holds for option markets", Wilmott, 85, 70-73 (2016), [link]  arXiv

17. D.E. Taranto, G. Bormetti, J.-P. Bouchaud, F. Lillo, B. Tóth, "Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact", Quantitative Finance, 18(6), 903-915 (2018) [link]  arXiv

16. I. Mastromatteo, B. Tóth, J.-P. Bouchaud, "Anomalous impact in reaction-diffusion financial models", Phys. Rev. Lett. 113, 268701 (2014), [link]  arXiv  Synopsis

15. I. Mastromatteo, B. Tóth, J.-P. Bouchaud, "Agent-based models for latent liquidity and concave price impact", Phys. Rev. E. 89, 042805 (2014), [link]  arXiv

14. B. Tóth, I. Palit, F. Lillo, J.D. Farmer, "Why is equity order flow so persistent?", Journal of Economic Dynamics and Control 51, 218-239 (2015), [link]  arXiv

13. B. Tóth, Y. Lempérière, C. Deremble, J. de Lataillade, J. Kockelkoren, J.-P. Bouchaud, "Anomalous price impact and the critical nature of liquidity in financial markets", Phys. Rev. X 1, 021006 (2011) [link]  arXiv

12. B. Tóth, Z. Eisler, F. Lillo, J.-P. Bouchaud, J. Kockelkoren, J.D. Farmer, "How does the market react to your order flow?", Quantitative Finance, 12(7), 1015-1024 (2012) [link]  arXiv

11. B. Tóth, F. Lillo, J.D. Farmer, "Segmentation algorithm for non-stationary compound Poisson processes", Eur. Phys. J. B 78, 235-243 (2010)  [link]  arXiv

10. B. Tóth, J. Kertész, J.D. Farmer, "Studies of the limit order book around large price changes", Eur. Phys. J. B 71, 499-510 (2009)  [link]  arXiv (Santa Fe Institute Working Paper #09-12-046 2009)

9. B. Tóth, J. Kertész, "Accurate estimator of correlations between asynchronous signals", Physica A 388, 1696-1705 (2009) [link]  arXiv

8. B. Tóth, E. Scalas, "The value of information in financial markets:An agent-based simulation", invited paper to "Information, Interaction, and (In)Efficiency in Financial Markets" edited by Juergen Huber and Michael Hanke, Linde Verlag (2008)  arXiv

7. B. Tóth, E. Scalas, J. Huber, M. Kirchler " Is it worth being an informed trader?", Periodicals of Implicit Cognition (2007)2, 10-11  [link]

6. B. Tóth, B. Tóth, J. Kertész, "Modeling the Epps effect of cross-correlations in asset prices", Proceedings of SPIE Vol. 6601 (Fluctuations and Noise 2007)  [link]  arXiv

5. B. Tóth, J. Kertész, "The Epps effect revisited", Quantitative Finance, 9(7), 793 (2009)  [link]  arXiv

4. B. Tóth, J. Kertész, "On the origin of the Epps effect", Physica A 383(1), 54-58 (2007)  [link]  arXiv

3. B. Tóth, E. Scalas, J. Huber, M. Kirchler, "The value of information in a multi-agent market model", Eur. Phys. J. B 55, 115-120 (2007)  [link]  arXiv

2. B. Tóth, E. Scalas, J. Huber, M. Kirchler, "Agent-based simulation of a double-auction market with heterogeneously informed agents", PROCEEDINGS of Potentials of Complexity Science for Business, Governments, and the Media 2006 conference; (July 2006.)  pdf

1. B. Tóth, J. Kertész, "Increasing market efficiency: Evolution of cross-correlations of stock returns", Physica A 360, 505-515 (2006) [link]  arXiv