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Citation Analysis

Online Learning of Order Flow and Market Impact\\ with Bayesian Change-Point Detection Methods
Ioanna-Yvonni Tsaknaki, Fabrizio Lillo, Piero Mazzarisi
https://arxiv.org/abs/2307.02375
79
Citation mentions
46
Cited references
11
Sections
5,921
Words (approx)

References by Citation Intensity

Ordered by composite index (descending). Higher values indicate more intensive citation.

# Reference Year Mentions Breadth Sec. Wtd Share Composite Main %
1 Bouchaud, J.-P., Gefen, Y., Potters, M., and Wyart... 2004 5 4 8.0 0.063 1.000 100%
2 Lillo, F., Mike, S., and Farmer, J (self) 2005 5 4 8.0 0.063 1.000 100%
3 Bouchaud, J.-P., Farmer, J. D., and Lillo, F (self) 2009 4 4 7.0 0.051 0.928 100%
4 Adams, R. P., and MacKay, D. J 2007 4 3 7.0 0.051 0.928 100%
5 Zarinelli, E., Treccani, M., Farmer, J., and Lillo... (self) 2015 4 4 7.0 0.051 0.928 100%
6 Creal, D., Koopman, S. J., and Lucas, A 2013 3 3 5.0 0.038 0.843 100%
7 Tsaknaki, I.-Y., Lillo, F., and Mazzarisi, P (self) 2023 3 3 5.0 0.038 0.843 100%
8 Lillo, F. and Farmer, J. D (self) 2004 3 2 5.0 0.038 0.737 100%
9 Toth, B., Palit, I., Lillo, F., and Farmer, J. D (self) 2015 3 2 5.0 0.038 0.737 100%
10 Harvey, A 2013 2 2 3.0 0.025 0.644 100%
11 Moro, E., Vicente, J., Moyano, L. G., Gerig, A., F... (self) 2009 2 2 4.0 0.025 0.644 100%
12 Bershova, N. and Rakhlin, D 2013 2 2 4.0 0.025 0.644 100%
13 Sato, Y. and Kanazawa, K 2023a 2 2 3.0 0.025 0.644 100%
14 Diebold, F. X. and Inoue, A 2001 2 1 2.0 0.025 0.511 100%
15 Fan, Z. and Mackey, L 2017 2 1 2.0 0.025 0.511 100%
16 Vaglica, G., Lillo, F., Moro, E., and Mantegna, R.... (self) 2008 2 1 4.0 0.025 0.511 100%
17 Blasques, F., Koopman, S., and Lucas, A 2014 2 1 4.0 0.025 0.511 100%
18 Lillo, F (self) 2023 1 1 1.0 0.013 0.406 100%
19 C.W.J. Granger and N. Hyung 1999 1 1 1.0 0.013 0.406 100%
20 C. Mikosch and C. Starica 1999 1 1 1.0 0.013 0.406 100%
21 Ghahramani, Z 2015 1 1 1.0 0.013 0.406 100%
22 Fearnhead, P. and Liu, Z 2007 1 1 1.0 0.013 0.406 100%
23 Lleo, S., Ziemba, W. T., and Li, J 2020 1 1 1.0 0.013 0.406 100%
24 Zhao, Y., Landgrebe, E., Shekhtman, E., and Udell,... 2022 1 1 1.0 0.013 0.406 100%
25 Lleo, S., Zhitlukhin, M., and Ziemba, W. T 2022 1 1 1.0 0.013 0.406 100%
26 Sébastien Lleo, William T. Ziemba and Jessica Li 2023 1 1 1.0 0.013 0.406 100%
27 Xuan, X. and Murphy, K 2007 1 1 1.0 0.013 0.406 100%
28 Bouchaud, J.-P., Bonart, J., Donier, J., and Gould... 2018 1 1 2.0 0.013 0.406 100%
29 J.P. Bouchaud, J. Kockelkoren and M. Potters 2006 1 1 2.0 0.013 0.406 100%
30 R. Yamamoto and B. Lebaron 2010 1 1 2.0 0.013 0.406 100%
31 D.E. Taranto and G. Bormetti and J.P. Bouchaud and... (self) 2018 1 1 2.0 0.013 0.406 100%
32 D.E. Taranto and G. Bormetti and J.P. Bouchaud and... (self) 2018 1 1 2.0 0.013 0.406 100%
33 Sato, Y. and Kanazawa, K 2023b 1 1 2.0 0.013 0.406 100%
34 Vaglica, G., Lillo, F., and Mantegna, R. N (self) 2010 1 1 2.0 0.013 0.406 100%
35 Barry, D. and Hartigan, J. A 1992 1 1 2.0 0.013 0.406 100%
36 Diaconis, P. and Ylvisaker, D 1979 1 1 2.0 0.013 0.406 100%
37 Murphy, K. P 2007 1 1 2.0 0.013 0.406 100%
38 Wainwright, M. J. and Jordan, M. I 2008 1 1 2.0 0.013 0.406 100%
39 Cox, D 1981 1 1 2.0 0.013 0.406 100%
40 Bacry, E., Iuga, A., Lasnier, M., and Lehalle, C.-... 2015 1 1 2.0 0.013 0.406 100%
41 Patzelt, F. and Bouchaud, J.-P 2018 1 1 2.0 0.013 0.406 100%
42 Donier, J., Bonart, J., Mastromatteo, I., and Bouc... 2015 1 1 2.0 0.013 0.406 100%
43 Torre, N 1997 1 1 2.0 0.013 0.406 100%
44 Almgren, R., Thum, C., Hauptmann, E., and Li, H 2005 1 1 2.0 0.013 0.406 100%
45 To\'th, B., Eisler, Z., and Bouchaud, J.-P 2016 1 1 2.0 0.013 0.406 100%
46 Toth, B. and Lemperiere, Y. and Deremble, C. and d... 2011 1 1 2.0 0.013 0.406 100%
Measures: Mentions = total in-text citations; Breadth = distinct sections; Sec. Wtd = section-weighted count (body ×2, lit review/appendix ×0.5); Share = mentions / total citations in paper; Composite = geometric mean of normalised count, breadth, and main-text ratio; Main % = fraction of mentions in main text (excl. appendix). (self) = self-citation.

Citation intensity data generated from LaTeX source analysis.