Publications:
Gerig, A., A. Hubler. "Chaos in a 1-Dimensional Compressible Flow." 2007, Phys. Rev. E, 75, 045202(R). [ PDF ]
Farmer, J. D., A. Gerig, F. Lillo, and S. Mike. "Market Efficiency and the Long-Memory of Supply and Demand: Is Price Impact Variable and Permanent or Fixed and Temporary." 2006, Quant. Finance, 6(2), 107-112. [ PDF ]
Thesis:
Gerig, A., "A Theory for Market Impact: How Order Flow Affects Stock Price." 2007, PhD Dissertation, University of Illinois. [ PDF ]
In Preparation:
Farmer, J. D., A. Gerig, F. Lillo. "Theory for Market Impact of Large Trading Orders in Stock Markets."
Farmer, J. D., A. Gerig, F. Lillo. "A Theory of Aggregate Market Impact."
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Talks:
"A Theory for Market Impact: How Order Flow Affects Stock Price" 2007, Santa Fe Institute
"The Influence of Signed Order Volume on Stock Prices" 2007, APS March Meeting in Denver, CO
"Reconciling Market Efficiency with the Long-Memory of Supply and Demand" 2006, APS March Meeting in Baltimore, MD
"Was Alfred Marshall Right: Does Supply and Demand Determine Prices?" 2005, Santa Fe Institute
"Irregular Dynamics of an Open One-Dimensional Mechanical System." 2003, APS March Meeting in Austin, TX
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