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2. Multivariate General Compound Point Processes in Limit Order Books. (2020). Guo, QI ; Remillard, Bruno ; Swishchuk, Anatoliy.
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3. General Compound Hawkes Processes in Limit Order Books. (2018). Swishchuk, Anatoliy ; Huffman, Aiden.
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4. General Compound Hawkes Processes in Limit Order Books. (2017). Swishchuk, Anatoliy.
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1. From Glosten-Milgrom to the whole limit order book and applications to financial regulation. (2025). Huang, Weibing ; Saliba, Pamela ; Rosenbaum, Mathieu.
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2. A stochastic partial differential equation model for limit order book dynamics. (2021). Cont, Rama ; Mueller, Marvin S.
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3. Optimal inventory management and order book modeling. (2019). Bouchard, Bruno ; Mounjid, Othmane ; Baradel, Nicolas ; Evangelista, David.
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4. Second order approximations for limit order books. (2018). Horst, Ulrich ; Kreher, Dorte.
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5. Optimal inventory management and order book modeling. (2018). Mounjid, Othmane ; Baradel, Nicolas ; Evangelista, David ; Bouchard, Bruno.
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6. Endogeneous Dynamics of Intraday Liquidity. (2018). LEHALLE, Charles-Albert ; Bi, Mikolaj.
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7. Optimal trading using signals. (2018). LEHALLE, Charles-Albert ; de March, Hadrien.
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8. No-arbitrage implies power-law market impact and rough volatility. (2018). Jusselin, Paul ; Rosenbaum, Mathieu.
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9. Universal features of price formation in financial markets: perspectives from Deep Learning. (2018). Cont, Rama ; Sirignano, Justin.
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10. Optimal liquidity-based trading tactics. (2018). LEHALLE, Charles-Albert ; Mounjid, Othmane ; Rosenbaum, Mathieu.
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11. Optimal inventory management and order book modeling. (2018). Mounjid, Othmane ; Baradel, Nicolas ; Evangelista, David ; Bouchard, Bruno.
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12. A Scaling Limit for Limit Order Books Driven by Hawkes Processes. (2018). Xu, Wei ; Horst, Ulrich.
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13. Hybrid marked point processes: characterisation, existence and uniqueness. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime.
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14. Stability for gains from large investors strategies in M1/J1 topologies. (2018). Bilarev, Todor ; Frentrup, Peter ; Becherer, Dirk.
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15. Latency and liquidity provision in a limit order book. (2017). Gould, Martin D ; Bonart, Julius.
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16. A one-level limit order book model with memory and variable spread. (2017). Figueroa-Lopez, Jose E ; Chavez-Casillas, Jonathan A.
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17. Statistical inference for ergodic point processes and application to Limit Order Book. (2017). Clinet, Simon ; Yoshida, Nakahiro.
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18. Low-traffic limit and first-passage times for a simple model of the continuous double auction. (2017). Scalas, Enrico ; Radivojevi, Tijana ; Rapallo, Fabio.
    In: Physica A: Statistical Mechanics and its Applications.
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19. Marked Hawkes process modeling of price dynamics and volatility estimation. (2017). Lee, Kyungsub ; Ki, Byoung.
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20. A High Frequency Trade Execution Model for Supervised Learning. (2017). Dixon, Matthew F.
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21. Instantaneous order impact and high-frequency strategy optimization in limit order books. (2017). Schervish, Mark ; Gonzalez, Federico.
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22. A level-1 Limit Order book with time dependent arrival rates. (2017). Elliott, Robert J ; Ch, Jonathan A ; Swishchuk, Anatoliy V.
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23. Brownian trading excursions and avalanches. (2017). Rheinlander, Thorsten ; Kruhner, Paul ; Hubalek, Friedrich.
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24. A diffusion approximation for limit order book models. (2017). Horst, Ulrich ; Kreher, Dorte.
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25. A Markov model of a limit order book: thresholds, recurrence, and trading strategies. (2017). Kelly, Frank ; Yudovina, Elena.
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26. Optimal Asset Liquidation with Multiplicative Transient Price Impact. (2017). Bilarev, Todor ; Frentrup, Peter ; Becherer, Dirk.
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27. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Blanc, Pierre ; Alfonsi, Aurelien.
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28. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Blanc, Pierre ; Alfonsi, Aurelien.
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29. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Alfonsi, Aurelien ; Blanc, Pierre.
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30. Low-traffic limit and first-passage times for a simple model of the continuous double auction. (2016). Scalas, Enrico ; Radivojevi, Tijana ; Rapallo, Fabio.
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31. A Semi-Markovian Modeling of Limit Order Markets. (2016). Vadori, Nelson ; Swishchuk, Anatoliy.
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    RePEc:arx:papers:1601.01710.

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32. Latency and liquidity provision in a limit order book. (2016). Gould, Martin ; Bonart, Julius.
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33. A reduced-form model for level-1 limit order books. (2016). Yang, Tzu-Wei ; Zhu, Lingjiong.
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34. A weak law of large numbers for a limit order book model with fully state dependent order dynamics. (2016). Horst, Ulrich ; Kreher, Dorte.
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35. One-level limit order book models with memory and variable spread. (2016). Jos'e E. Figueroa-L'opez, ; Jonathan A. Ch'avez-Casillas, .
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36. A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics. (2016). Horst, Ulrich ; Qiu, Jinniao ; Bayer, Christian.
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37. Simulating and Analyzing Order Book Data: The Queue-Reactive Model. (2015). LEHALLE, Charles-Albert ; Huang, Weibing ; Rosenbaum, Mathieu.
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38. LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK. (2015). Abergel, Frederic ; Jedidi, Aymen.
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39. Long-Time Behavior of a Hawkes Process--Based Limit Order Book. (2015). Jedidi, Aymen ; Abergel, Frederic.
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40. SMC-ABC methods for the estimation of stochastic simulation models of the limit order book. (2015). Peters, Gareth W. ; Septier, Francois ; Panayi, Efstathios.
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41. Stochastic simulation framework for the Limit Order Book using liquidity motivated agents. (2015). Peters, Gareth ; Panayi, Efstathios.
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42. Apparent impact: the hidden cost of one-shot trades. (2015). Mastromatteo, Iacopo.
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43. Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context. (2015). Li, Qinghua.
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44. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Blanc, Pierre ; Alfonsi, Aur'Elien.
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45. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Blanc, Pierre ; Alfonsi, Aurelien.
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46. Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (2014). Jaisson, Thibault ; Muzy, Jean-Francois ; Bacry, Emmanuel.
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47. Simulating and analyzing order book data: The queue-reactive model. (2014). LEHALLE, Charles-Albert ; Huang, Weibing ; Rosenbaum, Mathieu.
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48. The Self-Financing Equation in High Frequency Markets. (2013). Carmona, Rene ; Webster, Kevin.
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49. Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books. (2013). Chen, Xinyun ; Blanchet, Jose.
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50. Probabilistic aspects of finance. (2013). Follmer, Hans ; Schied, Alexander.
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