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2. Optimal trade execution and price manipulation in order books with time-varying liquidity. (2011). Schöneborn, Torsten ; Schoeneborn, Torsten ; Urusov, Mikhail ; Fruth, Antje.
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8. FBCHO6I Anton Bovier, JifI Cern5~, and Ostap Hryniv. The opinion game: Stock price evolution from microscopic market modeling. mt. 1. Theoretical Appl. Finance, 9(1):91-111, February 2006. FBGPWO4I Jean-Philippe Bouchaud, Yuval Gefen, Marc Potters, and Matthieu Wyart. Fluctuations and response in financial markets: the subtle nature of `random' price changes.

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1. Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Zhou, Wei-Xing ; Xiong, Xiong ; Zhang, Wei ; Chen, Wei ; Xu, Hai-Chuan.
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2. Limit order trading with a mean reverting reference price. (2016). Ren, Weiluo ; Yang, Tzu-Wei ; Ahuja, Saran ; Papanicolaou, George.
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   RePEc:arx:papers:1607.00454.

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3. On the usual misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Jovanovic, Franck ; Schinckus, Christophe.
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4. Latency and liquidity provision in a limit order book. (2016). Gould, Martin ; Bonart, Julius.
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5. Quasi-Centralized Limit Order Books. (2016). Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D..
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6. The effects of a financial transaction tax in an artificial financial market. (2015). Fricke, Daniel ; Lux, Thomas.
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   RePEc:spr:jeicoo:v:10:y:2015:i:1:p:119-150.

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7. On Optimal Pricing Model for Multiple Dealers in a Competitive Market. (2015). Siu, Tak Kuen ; Ching, Wai-Ki ; Yang, Qing-Qing ; Gu, Jia-Wen.
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8. Empirical properties of inter-cancellation durations in the Chinese stock market. (2014). Zhou, Wei-Xing ; Zhang, Yong-Jie ; Xiong, Xiong ; Gu, Gao-Feng.
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9. Limit order books. (2013). Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark ; Fenn, Daniel J. ; Williams, Stacy.
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10. Price jump prediction in a limit order book. (2013). Zheng, Ban ; Abergel, Frederic ; Moulines, Eric.
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11. Characterizing limit order prices. (2013). Crack, Timothy Falcon ; Withanawasam, R. M. ; Whigham, P. A..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:21:p:5346-5355.

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12. Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books. (2013). Chen, Xinyun ; Blanchet, Jose.
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13. Measuring and explaining the asymmetry of liquidity. (2012). Thomas, Susan ; Tayal, Rajat .
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14. Price jump detection in limit order book. (2012). Abergel, Frederic ; Moulines, Eric ; Zheng, Ban.
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15. High-frequency market-making with inventory constraints and directional bets. (2012). Fodra, Pietro ; Labadie, Mauricio.
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16. The market impact of a limit order. (2012). Hautsch, Nikolaus ; Huang, Ruihong.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:4:p:501-522.

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17. Agent-Based Modelling for Financial Markets. (2012). Iori, Giulia ; Porter, J..
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18. High-frequency market-making with inventory constraints and directional bets. (2012). Fodra, Pietro ; Labadie, Mauricio.
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19. Calibration of optimal execution of financial transactions in the presence of transient market impact. (2012). Lillo, Fabrizio ; Busseti, Enzo.
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20. Price Jump Prediction in Limit Order Book. (2012). Fr'ed'eric Abergel, ; Moulines, Eric ; Zheng, Ban.
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21. Econophysics review: I. Empirical facts. (2011). Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic ; Chakraborti, Anirban.
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22. Econophysics review: II. Agent-based models. (2011). Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic ; Chakraborti, Anirban.
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23. Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic.
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24. Memory effects in stock price dynamics: evidences of technical trading. (2011). Cristelli, Matthieu ; Pietronero, Luciano ; Garzarelli, Federico ; Zaccaria, Andrea.
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25. Optimal trade execution and absence of price manipulations in limit order book models. (2010). Schied, Alexander ; Alfonsi, Aurelien.
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26. Empirical regularities of opening call auction in Chinese stock market. (2010). Zhou, Wei-Xing ; Ni, Xiao-Hui ; Chen, Wei ; Gu, Gao-Feng ; Ren, Fei.
    In: Physica A: Statistical Mechanics and its Applications.
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27. Scaling and memory in the non-Poisson process of limit order cancelation. (2010). Zhou, Wei-Xing ; Ni, Xiao-Hui ; Chen, Wei ; Gu, Gao-Feng ; Ren, Fei ; Jiang, Zhi-Qiang.
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28. Numerical methods for an optimal order execution problem. (2010). Mnif, Mohamed ; Pham, Huyen ; Guilbaud, Fabien .
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29. Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement. (2010). Cristelli, Matthieu ; Alfi, V. ; Pietronero, L. ; Ciulla, F. ; Zaccaria, A..
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30. The market impact of a limit order. (2009). Hautsch, Nikolaus ; Huang, Ruihong.
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31. Diffusive behavior and the modeling of characteristic times in limit order executions. (2009). Mantegna, Rosario ; Eisler, Zoltan ; Kertesz, Janos ; Lillo, Fabrizio.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:5:p:547-563.

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32. Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204.

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33. Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2008). Schied, Alexander ; Schöneborn, Torsten ; Schoeneborn, Torsten .
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    RePEc:pra:mprapa:7105.

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34. Empirical shape function of limit-order books in the Chinese stock market. (2008). Zhou, Wei-Xing ; Chen, Wei ; Gu, Gao-Feng.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:21:p:5182-5188.

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35. Empirical regularities of order placement in the Chinese stock market. (2008). Zhou, Wei-Xing ; Chen, Wei ; Gu, Gao-Feng.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:13:p:3173-3182.

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36. An empirical behavioral model of liquidity and volatility. (2008). Farmer, J. ; Mike, Szabolcs .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:1:p:200-234.

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37. The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2008). Iori, Giulia ; Perello, J. ; Chiarella, C..
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38. Optimal Portfolio Liquidation for CARA Investors. (2007). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten.
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39. Self-referential behaviour, overreaction and conventions in financial markets. (2007). Wyart, Matthieu ; Bouchaud, Jean-Philippe.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:63:y:2007:i:1:p:1-24.

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40. The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2007). Perelló, Josep ; Iori, Giulia ; Perello, Josep.
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41. Short-term market reaction after extreme price changes of liquid stocks. (2006). Kertesz, Janos ; Andor, Gyorgy ; Zawadowski, dam G..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:6:y:2006:i:4:p:283-295.

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42. Random walks, liquidity molasses and critical response in financial markets. (2006). Potters, Marc ; Kockelkoren, Julien ; Bouchaud, Jean-Philippe.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:6:y:2006:i:2:p:115-123.

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43. Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets. (2006). Zhou, Wei-Xing ; Sornette, Didier.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:370:y:2006:i:2:p:704-726.

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44. Market reaction to temporary liquidity crises and the permanent market impact. (2006). Mantegna, Rosario ; Lillo, Fabrizio ; Ponzi, Adam.
    In: Papers.
    RePEc:arx:papers:physics/0608032.

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45. An empirical behavioral model of price formation. (2005). Farmer, J. ; Mike, Szabolcs .
    In: Papers.
    RePEc:arx:papers:physics/0509194.

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46. Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets. (2005). Zhou, Wei-Xing ; Sornette, Didier.
    In: Papers.
    RePEc:arx:papers:cond-mat/0503607.

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47. A piecewise linear model for trade sign inference. (2004). Coggins, Richard ; Blazejewski, Adam .
    In: Finance.
    RePEc:wpa:wuwpfi:0412012.

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48. A local non-parametric model for trade sign inference. (2004). Coggins, Richard ; Blazejewski, Adam .
    In: Finance.
    RePEc:wpa:wuwpfi:0408009.

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49. Random walks, liquidity molasses and critical response in financial markets. (2004). Potters, Marc ; Kockelkoren, Julien ; Bouchaud, Jean-Philippe.
    In: Science & Finance (CFM) working paper archive.
    RePEc:sfi:sfiwpa:500063.

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50. Fluctuations and response in financial markets: the subtle nature of `random price changes. (2003). Potters, Marc ; Gefen, Yuval ; Wyart, Matthieu ; Bouchaud, Jean-Philippe.
    In: Science & Finance (CFM) working paper archive.
    RePEc:sfi:sfiwpa:0307332.

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