1. Nonlinear analysis of Casablanca Stock Exchange, Dow Jones and S&P500 industrial sectors with a comparison. (2020). Bekiros, Stelios ; Lahmiri, Salim.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316577.

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2. A mathematical formulation of order cancellation for the agent-based modelling of financial markets. (2020). Yoshimura, Yushi ; Chen, YU ; Okuda, Hiroshi.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:538:y:2020:i:c:s0378437119314372.

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3. Price Dynamics in an Order-Driven Market with Bayesian Learning. (2018). Wang, Jiahua ; Zhu, Hongliang ; Li, Dongxin.
   In: Complexity.
   RePEc:hin:complx:8254068.

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4. Simple stochastic order-book model of swarm behavior in continuous double auction. (2015). Ichiki, Shingo ; Nishinari, Katsuhiro.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:420:y:2015:i:c:p:304-314.

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5. Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction. (2014). Ichiki, Shingo ; Nishinari, Katsuhiro.
   In: Papers.
   RePEc:arx:papers:1411.2215.

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6. Empirical properties of inter-cancellation durations in the Chinese stock market. (2014). Zhou, Wei-Xing ; Zhang, Yong-Jie ; Xiong, Xiong ; Gu, Gao-Feng.
   In: Papers.
   RePEc:arx:papers:1403.3478.

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7. Limit order books. (2013). Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark ; Fenn, Daniel J. ; Williams, Stacy.
   In: Quantitative Finance.
   RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742.

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8. Limit Order Books. (2013). Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark ; Fenn, Daniel J..
   In: Papers.
   RePEc:arx:papers:1012.0349.

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9. 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.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:389:y:2010:i:14:p:2751-2761.

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10. 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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11. 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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1. Cont, R., Empirical properties of asset returns: stylized facts and statistical issues, Quantitative Finance 1 (2001) 223.

2. London Stock Exchange, Guide to Trading Services, 2006, available at http://www.londonstockexchange.com/.
   Paper not yet in RePEc: Add citation now
   
3. The exponent of the power-law tail of price fluctuations generated by Maslov's model is inside the Levy stable region, while the observed value in actual markets is close to-3 [1,2]. In addition, the Hurst exponent of the price diffusion is H = 1/4 (under diffusive) , regardless of the range of time window. In actual markets, we have H = 1/2 for long-term, which is the value for free diffusion.
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1. Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks. (2020). Roncalli, Thierry ; Roche, Jules ; Xu, Jiali ; Lezmi, Edmond.
   In: Papers.
   RePEc:arx:papers:2007.04838.

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2. Get Real: Realism Metrics for Robust Limit Order Book Market Simulations. (2019). Balch, Tucker Hybinette ; Vyetrenko, Svitlana ; Petosa, Nick ; Veloso, Manuela ; Mahfouz, Mahmoud ; Byrd, David ; Dervovic, Danial.
   In: Papers.
   RePEc:arx:papers:1912.04941.

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3. Clustering Financial Time Series: How Long is Enough?. (2016). Nielsen, Frank ; Andler, Sebastien ; Donnat, Philippe ; Marti, Gautier.
   In: Post-Print.
   RePEc:hal:journl:hal-01400395.

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4. Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk. (2015). Trucíos, Carlos ; Ruiz, Esther ; Hotta, Luiz ; Trucos, Carlos.
   In: DES - Working Papers. Statistics and Econometrics. WS.
   RePEc:cte:wsrepe:ws1523.

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5. Phase Transition in the S&P Stock Market. (2015). Raddant, Matthias ; Wagner, Friedrich.
   In: Papers.
   RePEc:arx:papers:1306.2508.

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6. TVICA—Time varying independent component analysis and its application to financial data. (2014). Chen, Ying ; Hardle, Wolfgang K..
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:74:y:2014:i:c:p:95-109.

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7. EARLY WARNING SYSTEMS: ANÁLISE DE UMMODELO PROBIT DE CONTÁGIO DE CRISE DOS ESTADOS UNIDOS PARA O BRASIL(2000-2010). (2014). Couto, Joaquim Miguel ; MURILLO, HUGO AGUDELO ; da Silva, Claudeci.
   In: Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting].
   RePEc:anp:en2012:110.

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8. Are crude oil spot and futures prices cointegrated? Not always!. (2013). Wang, Yudong ; Wu, Chongfeng.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:33:y:2013:i:c:p:641-650.

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9. Multifractality and long memory of a financial index. (2013). Pablo Su'arez-Garc'ia, ; David G'omez-Ullate, .
   In: Papers.
   RePEc:arx:papers:1306.0490.

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10. THE STYLIZED FACTS OF ASSET RETURNS AND THEIR IMPACT ON VALUE-AT-RISK MODELS. (2012). Iorgulescu, Filip ; Filip, IORGULESCU .
    In: Revista Economica.
    RePEc:blg:reveco:v:supplement:y:2012:i:4:p:360-368.

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11. A simple microstructure return model explaining microstructure noise and Epps effects. (2012). Sornette, D. ; Saichev, A..
    In: Papers.
    RePEc:arx:papers:1202.3915.

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12. A Note on institutional hierarchy and volatility in financial markets. (2011). Raddant, Matthias ; Milaković, Mishael ; Alfarano, Simone.
    In: MPRA Paper.
    RePEc:pra:mprapa:30902.

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13. Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach. (2010). Necula, Ciprian.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2010:i:3:p:93-106.

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14. On the impossibility of fair risk allocation. (2010). Pintér, Miklós ; Csóka, Péter ; Csoka, Peter ; Pinter, Miklos.
    In: MPRA Paper.
    RePEc:pra:mprapa:26515.

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15. Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?. (2010). Kerbl, Stefan.
    In: Papers.
    RePEc:arx:papers:1011.6284.

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16. 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..
    In: Papers.
    RePEc:arx:papers:0906.1387.

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17. Different risk-adjusted fund performance measures: a comparison. (2009). Sainz, Jorge ; Grau, Pilar ; Grau-Carles, Pilar ; Doncel, Luis Miguel ; Otamendi, Javier .
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:200954.

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18. R/S analysis and DFA: finite sample properties and confidence intervals. (2009). Krištoufek, Ladislav.
    In: MPRA Paper.
    RePEc:pra:mprapa:16446.

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19. Procesy s dlouhou pamětí a jejich vývoj ve výnosech indexu PX v letech 1999 – 2009. (2009). Krištoufek, Ladislav ; Kristoufek, Ladislav.
    In: MPRA Paper.
    RePEc:pra:mprapa:16435.

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20. Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range. (2009). Krištoufek, Ladislav.
    In: MPRA Paper.
    RePEc:pra:mprapa:16424.

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21. Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models. (2009). .
    In: Annals of Finance.
    RePEc:kap:annfin:v:5:y:2009:i:1:p:49-68.

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22. Heuristic Optimisation in Financial Modelling. (2009). Schumann, Enrico ; Gilli, Manfred.
    In: Working Papers.
    RePEc:com:wpaper:007.

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23. Value at Risk: A Comparative Analysis. (2009). Iorgulescu, Filip.
    In: Advances in Economic and Financial Research - DOFIN Working Paper Series.
    RePEc:cab:wpaefr:25.

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24. Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme. (2009). Takaishi, Tetsuya.
    In: Papers.
    RePEc:arx:papers:0909.1478.

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25. Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme. (2009). Takaishi, Tetsuya.
    In: Papers.
    RePEc:arx:papers:0907.5276.

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26. An Adaptive Markov Chain Monte Carlo Method for GARCH Model. (2009). Takaishi, Tetsuya.
    In: Papers.
    RePEc:arx:papers:0901.0992.

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27. Frankfurt Artificial Stock Market: a microscopic stock market model with heterogeneous interacting agents in small-world communication networks. (2008). Hein, Oliver ; Schwind, Michael ; Spiwoks, Markus.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:3:y:2008:i:1:p:59-71.

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28. The ups and downs of the renormalization group applied to financial time series. (2008). Peirano, Pier Paolo ; Challet, Damien.
    In: MPRA Paper.
    RePEc:pra:mprapa:9770.

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29. Volatility Effects on the Escape Time in Financial Market Models. (2008). Valenti, Davide ; Spagnolo, Bernardo.
    In: Papers.
    RePEc:arx:papers:0810.1625.

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30. Minimal Agent Based Model for Financial Markets II: Statistical Properties of the Linear and Multiplicative Dynamics. (2008). Cristelli, Matthieu ; Alfi, V. ; Pietronero, L. ; Zaccaria, A..
    In: Papers.
    RePEc:arx:papers:0808.3565.

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31. Financial Time Series Analysis of SV Model by Hybrid Monte Carlo. (2008). Takaishi, Tetsuya.
    In: Papers.
    RePEc:arx:papers:0807.4394.

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32. An introduction to L\{e}vy processes with applications in finance. (2008). Papapantoleon, Antonis.
    In: Papers.
    RePEc:arx:papers:0804.0482.

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33. Forecasting volatility: Evidence from the Macedonian stock exchange. (2007). Kovačić, Zlatko ; Kovai, Zlatko .
    In: MPRA Paper.
    RePEc:pra:mprapa:5319.

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34. The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance. (2007). Ferrari, Davide.
    In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance).
    RePEc:mod:wcefin:07071.

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35. The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance. (2007). Paterlini, Sandra ; Ferrari, Davide.
    In: Department of Economics.
    RePEc:mod:depeco:555.

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36. Three Minimal Market Institutions: Theory and Experimental Evidence. (2007). Sunder, Shyam ; Huber, Juergen.
    In: Working Papers.
    RePEc:ecl:yaleco:27.

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37. Correlation of coming limit price with order book in stock markets. (2007). Maskawa, Jun-Ichi.
    In: Papers.
    RePEc:arx:papers:physics/0702029.

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38. The value of information in financial markets: An agent-based simulation. (2007). Scalas, Enrico ; Toth, Bence.
    In: Papers.
    RePEc:arx:papers:0712.2687.

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39. Multifractality in the Random Parameters Model. (2007). Neto, Camilo Rodrigues ; Andr' e C. R. Martins, .
    In: Papers.
    RePEc:arx:papers:0710.5497.

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40. The Process of price formation and the skewness of asset returns. (2006). Reimann, Stefan.
    In: IEW - Working Papers.
    RePEc:zur:iewwpx:276.

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41. 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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42. The Process of price formation and the skewness of asset returns. (2006). Reimann, Stefan.
    In: Papers.
    RePEc:arx:papers:physics/0603012.

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43. Heterogeneous Agent Models in Economics and Finance. (2005). Hommes, Cars.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20050056.

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44. 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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45. The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach. (2004). Westerhoff, Frank.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:14.

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46. Multifractal model of asset returns with leverage effect. (2004). Eisler, Zoltan ; Kertesz, Janos.
    In: Papers.
    RePEc:arx:papers:cond-mat/0403767.

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47. 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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48. Statistical analysis of financial time series under the assuption of local stationarity. (2003). Skander, S. ; Stephan, C..
    In: THEMA Working Papers.
    RePEc:ema:worpap:2003-23.

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49. More statistical properties of order books and price impact. (2002). Potters, Marc ; Bouchaud, Jean-Philippe.
    In: Science & Finance (CFM) working paper archive.
    RePEc:sfi:sfiwpa:0210710.

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50. On the distribution of stock-market returns - Implications of Evolutionary Finance. (). Reimann, Stefan.
    In: IEW - Working Papers.
    RePEc:zur:iewwpx:232.

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