Jeremy Houston Large : Citation Profile

Oxford University

7

H index

4

i10 index

242

Citations

RESEARCH PRODUCTION:

4

Articles

12

Papers

RESEARCH ACTIVITY:

   18 years (2004 - 2022). See details.
   Cites by year: 13
   Journals where Jeremy Houston Large has often published
   Relations with other researchers
   Recent citing documents: 11.    Total self citations: 6 (2.42 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla212
   Updated: 2025-12-20    RAS profile: 2025-03-15    
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Relations with other researchers

Works with:

Quah, John (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jeremy Houston Large.

Is cited by:

Medeiros, Marcelo (16)

Shephard, Neil (13)

Asai, Manabu (10)

Hansen, Peter (10)

Hautsch, Nikolaus (7)

Xiu, Dacheng (6)

Christensen, Kim (4)

Lee, Kyungsub (4)

Podolskij, Mark (4)

Degryse, Hans (4)

LEHALLE, Charles-Albert (4)

Cites to:

Foucault, Thierry (16)

Shephard, Neil (15)

Kandel, Eugene (10)

Andersen, Torben (9)

Lunde, Asger (9)

Bollerslev, Tim (9)

Engle, Robert (8)

Hansen, Peter (8)

Diebold, Francis (7)

Ghysels, Eric (6)

Blundell, Richard (6)

Main data

Where Jeremy Houston Large has published?

Working Papers Series with more than one paper published# docs
Economics Series Working Papers / University of Oxford, Department of Economics5
OFRC Working Papers Series / Oxford Financial Research Centre2

Recent works citing Jeremy Houston Large (2025 and 2024)

YearTitle of citing document
2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2024Functional Limit Theorems for Hawkes Processes. (2024). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2401.11495.

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2025Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach. (2025). Luwang, SR ; Petroni, F ; Nurujjaman, MD ; Rai, A. In: Papers. RePEc:arx:papers:2502.07625.

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2025ARL-Based Multi-Action Market Making with Hawkes Processes and Variable Volatility. (2025). Ventre, Carmine ; Wang, Ziyi ; Polukarov, Maria. In: Papers. RePEc:arx:papers:2508.16589.

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2024New insights into liquidity resiliency. (2024). Wafula, Ronald ; Papavassiliou, Vassilios ; Boubaker, Sabri ; Osullivan, Conall. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001609.

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2024The short-term predictability of returns in order book markets: A deep learning perspective. (2024). Veraart, Almut ; Pakkanen, Mikko S ; Lucchese, Lorenzo. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1587-1621.

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2025Order Book Liquidity on Crypto Exchanges. (2025). Hanke, Michael ; Gramlich, Marius ; Angerer, Martin. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:3:p:124-:d:1601444.

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2024New Insights into Liquidity Resiliency. (2024). Wafula, Ronald ; Papavassiliou, Vassilios ; Boubaker, Sabri ; O'Sullivan, Conall. In: Post-Print. RePEc:hal:journl:hal-04432411.

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2024Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies. (2024). Horst, Ulrich ; Kivman, Evgueni. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:3:d:10.1007_s00780-024-00536-2.

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2025Editorial A Tribute to Professor Geoffrey Alan Hawkes (19 September 1938–9 November 2023). (2025). Chen, Jing. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:30:y:2025:i:1:d:10.1007_s13253-024-00661-7.

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2025Self and Mutually Exciting Point Process Embedding Flexible Residuals and Intensity with Discretely Markovian Dynamics. (2025). Lee, Kyungsub. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10159-5.

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Works by Jeremy Houston Large:

YearTitleTypeCited
2022Estimating Very Large Demand Systems In: INET Oxford Working Papers.
[Full Text][Citation analysis]		paper0
2022Estimating very large demand systems.(2022) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2011Estimating quadratic variation when quoted prices change by a constant increment In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
2007Estimating 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
2007Measuring the resiliency of an electronic limit order book In: Journal of Financial Markets.
[Full Text][Citation analysis]		article137
2009A market-clearing role for inefficiency on a limit order book In: Journal of Financial Economics.
[Full Text][Citation analysis]		article7
2006A 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: 7		paper
2004Cancellation and Uncertainty Aversion on Limit Order Books In: Economics Papers.
[Full Text][Citation analysis]		paper9
2004Cancellation and uncertainty aversion on limit order books.(2004) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2004Cancellation and uncertainty aversion on limit order books.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2005Estimating quadratic variation when quoted prices jump by a constant increment In: Economics Papers.
[Full Text][Citation analysis]		paper16
2005Estimating 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
2005Estimating 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
2008Ergodic Equilibria in Stochastic Sequential Games In: Economics Series Working Papers.
[Full Text][Citation analysis]		paper0
2008Moving Average-Based Estimators of Integrated Variance In: Econometric Reviews.
[Full Text][Citation analysis]		article52
2008Pro-rata matching and one-tick futures markets In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper8

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