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3. Statistical inference for the doubly stochastic self-exciting process. (2017). Potiron, Yoann ; Clinet, Simon.
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4. Hawkes processes in finance. (2015). Muzy, Jean-Franccois ; Mastromatteo, Iacopo ; Bacry, Emmanuel.
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1. The effect of currency risk on crypto asset utilization in Türkiye. (2025). Smales, Lee ; Baur, Dirk G ; Oefele, Nico.
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2. Estimation of an Order Book Dependent Hawkes Process for Large Datasets. (2023). Mucciante, Luca ; Sancetta, Alessio.
   In: Papers.
   RePEc:arx:papers:2307.09077.

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3. High-Frequency Quote Volatility Measurement Using a Change-Point Intensity Model. (2022). Li, Zhicheng ; Xing, Haipeng.
   In: Mathematics.
   RePEc:gam:jmathe:v:10:y:2022:i:4:p:634-:d:752532.

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4. Predator–prey model for stock market fluctuations. (2021). Montero, Miquel.
   In: Journal of Economic Interaction and Coordination.
   RePEc:spr:jeicoo:v:16:y:2021:i:1:d:10.1007_s11403-020-00284-4.

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5. A marked point process model for intraday financial returns: modeling extreme risk. (2020). Herrera, Rodrigo ; Clements, Adam.
   In: Empirical Economics.
   RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1600-y.

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6. Do aggressive orders affect liquidity? An evidence from an emerging market. (2020). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920303780.

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7. Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data. (2019). Stenfors, Alexis ; Susai, Masayuki.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:59:y:2019:i:c:p:36-57.

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8. Liquidity Withdrawal in the FX Spot Market: A Cross-Country Study Using High-Frequency Data. (2017). Stenfors, Alexis ; Susai, Masayuki.
   In: Working Papers in Economics & Finance.
   RePEc:pbs:ecofin:2017-06.

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9. Algorithmic Trading Behaviour and High-Frequency Liquidity Withdrawal in the FX Spot Market. (2017). Stenfors, Alexis ; Susai, Masayuki.
   In: Working Papers in Economics & Finance.
   RePEc:pbs:ecofin:2017-04.

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10. Foreign Institutional Investors, Shareholding Change, and Corporate Governance. (2017). Liao, Yulu ; Ni, Yensen ; Huang, Paoyu.
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:53:y:2017:i:4:p:764-775.

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11. Anchoring effect on first passage process in Taiwan financial market. (2017). Ko, Jing-Yuan ; Lih, Jiann-Shing ; Liu, Hsing ; Liao, Chi-Yo .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:477:y:2017:i:c:p:114-127.

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12. Estimation for the Prediction of Point Processes with Many Covariates. (2017). Sancetta, Alessio.
    In: Papers.
    RePEc:arx:papers:1702.05315.

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13. Kernel estimation of hazard functions when observations have dependent and common covariates. (2016). Wolter, James Lewis.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:193:y:2016:i:1:p:1-16.

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14. Multivariate dynamic intensity peaks-over-threshold models. (2015). Herrera, Rodrigo ; Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:516.

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15. A dynamic optimal execution strategy under stochastic price recovery. (2015). Ieda, Masashi.
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:02:y:2015:i:04:n:s2424786315500255.

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16. Information disclosure and price manipulation during the pre-closing session: evidence from an order-driven market. (2015). Hsieh, Tsung-Yu.
    In: Applied Economics.
    RePEc:taf:applec:v:47:y:2015:i:43:p:4670-4684.

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17. Public news flow in intraday component models for trading activity and volatility. (2015). Clements, Adam ; Papalexiou, Vasilios ; Fuller, Joanne.
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2015_04.

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18. Kernel Estimation Of Hazard Functions When Observations Have Dependent and Common Covariates. (2015). Wolter, James .
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:761.

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19. Information revelation in the Greek exchange opening call: Daily and intraday evidence. (2015). Papachristou, George ; Kanas, Angelos ; Anagnostidis, Panagiotis.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:167-184.

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20. A dynamic optimal execution strategy under stochastic price recovery. (2015). Ieda, Masashi.
    In: Papers.
    RePEc:arx:papers:1502.04521.

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21. “Every move you make, every step you take, I’ll be watching you” – the quest for hidden orders in the interbank FX spot market. (2014). Bień-Barkowska, Katarzyna.
    In: Bank i Kredyt.
    RePEc:nbp:nbpbik:v:45:y:2014:i:3:p:197-224.

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22. Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market. (2014). Bień-Barkowska, Katarzyna.
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:50:y:2014:i:1:p:93-117.

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23. Rebuilding the limit order book: sequential Bayesian inference on hidden states. (2013). Godsill, Simon J. ; Hill, Simon I. ; Turner, Richard E. ; Christensen, Hugh L..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2013:i:11:p:1779-1799.

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24. Informativeness and Influence of Limit Order Books on Order Submissions in Electronic Continuous Auction Markets. (2013). Chang, Matthew C..
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:49:y:2013:i:s3:p:70-97.

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25. Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID. (2012). von Wyss, Rico ; Kohler, Alexander.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2012:09.

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26. Liquidity determination in an order-driven market. (2012). Payne, Richard ; Danielsson, Jon.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:18:y:2012:i:9:p:799-821.

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27. Overnight public information, order placement, and price discovery during the pre-opening period. (2012). Nguyen, Lily ; Pham, Peter Kien ; Moshirian, Fariborz.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:10:p:2837-2851.

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28. Modelling and forecasting liquidity supply using semiparametric factor dynamics. (2012). Mihoci, Andrija ; Hautsch, Nikolaus ; Hardle, Wolfgang Karl.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:4:p:610-625.

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29. Market making behaviour in an order book model and its impact on the bid-ask spread. (2011). Toke, Ioane Muni.
    In: Post-Print.
    RePEc:hal:journl:hal-01705266.

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30. Market microstructure: A review from down under. (2011). berkman, henk ; Comertonforde, Carole.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:51:y:2011:i:1:p:50-78.

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31. Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market. (2011). Lo, Ingrid ; Sapp, Stephen.
    In: Staff Working Papers.
    RePEc:bca:bocawp:11-8.

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32. Does the Open Limit Order Book Matter in Explaining Informational Volatility?. (2010). Veredas, David ; PASCUAL, ROBERTO.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:8:y:2010:i:1:p:57-87.

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33. Order aggressiveness and quantity: How are they determined in a limit order market?. (2010). Lo, Ingrid ; Sapp, Stephen G..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:3:p:213-237.

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34. Market making behaviour in an order book model and its impact on the bid-ask spread. (2010). Toke, Ioane Muni.
    In: Papers.
    RePEc:arx:papers:1003.3796.

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35. What pieces of limit order book information matter in explaining order choice by patient and impatient traders?. (2009). Veredas, David ; PASCUAL, ROBERTO.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:5:p:527-545.

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36. Do stylised facts of order book markets need strategic behaviour?. (2009). Schenk-Hoppé, Klaus ; Ladley, Daniel ; Schenk-Hoppe, Klaus Reiner.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:4:p:817-831.

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37. Liquidity cycles and make/take fees in electronic markets. (2009). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0920.

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38. GAS STORAGE VALUATION UNDER LIMITED MARKET LIQUIDITY: AN APPLICATION IN GERMANY. (2009). Woll, Oliver ; Weber, Christoph ; Felix, Bastian .
    In: EWL Working Papers.
    RePEc:dui:wpaper:0903.

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39. Liquidity cycles and make/take fees in electronic markets. (2009). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7551.

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40. Predator-Prey Model for Stock Market Fluctuations. (2009). Montero, Miquel.
    In: Papers.
    RePEc:arx:papers:0810.4844.

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41. Modelling high-frequency volatility and liquidity using multiplicative error models. (2008). Hautsch, Nikolaus ; Jeleskovic, Vahidin.
    In: SFB 649 Discussion Papers.
    RePEc:zbw:sfb649:sfb649dp2008-047.

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42. Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models. (2008). Hautsch, Nikolaus ; Jeleskovic, Vahidin.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2008-047.

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43. Modelling security market events in continuous time: Intensity based, multivariate point process models. (2007). Bowsher, Clive.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:876-912.

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44. Modelling Financial High Frequency Data Using Point Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc ; Nikolaus, HAUTSCH ; Luc, Bauwens.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2006039.

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45. Modelling financial high frequency data using point processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2006080.

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