6
H index
4
i10 index
228
Citations
Oxford University | 6 H index 4 i10 index 228 Citations RESEARCH PRODUCTION: 4 Articles 10 Papers RESEARCH ACTIVITY: 7 years (2004 - 2011). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pla212 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jeremy Houston Large. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Economics Series Working Papers / University of Oxford, Department of Economics | 4 |
OFRC Working Papers Series / Oxford Financial Research Centre | 2 |
Year | Title of citing document |
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2023 | Small impact analysis in stochastically illiquid markets. (2021). Kivman, Evgueni ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2103.05957. Full description at Econpapers || Download paper |
2023 | Multi-kernel property in high-frequency price dynamics under Hawkes model. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2302.11822. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2011 | Estimating quadratic variation when quoted prices change by a constant increment In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
2007 | Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment.(2007) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2007 | Measuring the resiliency of an electronic limit order book In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 127 |
2009 | A market-clearing role for inefficiency on a limit order book In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 6 |
2006 | A Market-Clearing Role for Inefficiency on a Limit Order Book.(2006) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2004 | Cancellation and Uncertainty Aversion on Limit Order Books In: Economics Papers. [Full Text][Citation analysis] | paper | 8 |
2004 | Cancellation and uncertainty aversion on limit order books.(2004) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2004 | Cancellation and uncertainty aversion on limit order books.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2005 | Estimating quadratic variation when quoted prices jump by a constant increment In: Economics Papers. [Full Text][Citation analysis] | paper | 16 |
2005 | Estimating Quadratic Variation When Quoted Prices Jump by a Constant Increment.(2005) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2005 | Estimating quadratic variation when quoted prices jump by a constant increment.(2005) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2008 | Ergodic Equilibria in Stochastic Sequential Games In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Moving Average-Based Estimators of Integrated Variance In: Econometric Reviews. [Full Text][Citation analysis] | article | 50 |
2008 | Pro-rata matching and one-tick futures markets In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 8 |
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