1. Continuous time trading of a small investor in a limit order market. (2013). Stroh, Maximilian ; Kuhn, Christoph.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:123:y:2013:i:6:p:2011-2053.

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1. KALLENBERG, O. (2002). Foundations of Modern Probability. New York : Springer, 2002. KARATZAS, I.; SHREVE, S. E. (1998). Methods of Mathematical Finance. New York : Springer, 1998.
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2. LUCKOCK, H. (2003). A steady-state model of the continuous double auction. Quantitative Finance, 2003, 3, pp. 385-404.

3. SMID, M. (2007). Dynamic decision problem at limit order market (2007).
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1. A mathematical framework for modelling order book dynamics. (2025). Degond, Pierre ; Cont, Rama ; Lifan, Xuan.
   In: Post-Print.
   RePEc:hal:journl:hal-03968767.

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2. Limit Order Book Simulations: A Review. (2024). Firoozye, Nikan ; Treleaven, Philip ; Jain, Konark ; Kochems, Jonathan.
   In: Papers.
   RePEc:arx:papers:2402.17359.

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3. A cross-border market model with limited transmission capacities. (2024). Milbradt, Cassandra.
   In: Papers.
   RePEc:arx:papers:2207.01939.

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4. A mathematical framework for modelling order book dynamics. (2023). Lifan, Xuan ; Cont, Rama ; Degond, Pierre.
   In: Working Papers.
   RePEc:hal:wpaper:hal-03968767.

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5. A mathematical framework for modelling order book dynamics. (2023). Cont, Rama ; Degond, Pierre ; Xuan, Lifan.
   In: Papers.
   RePEc:arx:papers:2302.01169.

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6. An Agent‐Based model for Limit Order Book: Estimation and simulation. (2021). Arjmand, Omid Naghshineh ; Zare, Mohammad ; Salavati, Erfan ; Mohammadpour, Adel.
   In: International Journal of Finance & Economics.
   RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1112-1121.

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7. An agent-based model and detect price manipulation based on intraday transaction data with simulation. (2021). Naghshineh, Omid ; Zare, Mohammad ; Salavati, Erfan ; Mohammadpour, Adel.
   In: Applied Economics.
   RePEc:taf:applec:v:53:y:2021:i:43:p:4931-4949.

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8. A stochastic partial differential equation model for limit order book dynamics. (2021). Cont, Rama ; Mueller, Marvin S.
   In: Papers.
   RePEc:arx:papers:1904.03058.

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9. A STOCHASTIC PDE MODEL FOR LIMIT ORDER BOOK DYNAMICS. (2019). Cont, Rama ; Muller, Marvin.
   In: Working Papers.
   RePEc:hal:wpaper:hal-02090449.

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10. Modeling non-stationarities in high-frequency financial time series. (2019). Scalas, Enrico ; Raberto, Marco ; Cincotti, Silvano ; Trinh, Mailan ; Ponta, Linda.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:521:y:2019:i:c:p:173-196.

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11. Clearing price distributions in call auctions. (2019). Derksen, M ; Kleijn, B.
    In: Papers.
    RePEc:arx:papers:1904.07583.

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12. A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies. (2018). Kelly, Frank ; Yudovina, Elena.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:43:y:2018:i:1:p:181-203.

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13. How much market making does a market need?. (2018). Pervzina, V'It ; Swart, Jan M.
    In: Papers.
    RePEc:arx:papers:1612.00981.

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14. A one-level limit order book model with memory and variable spread. (2017). Figueroa-Lopez, Jose E ; Chavez-Casillas, Jonathan A.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:127:y:2017:i:8:p:2447-2481.

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15. Estimation of zero-intelligence models by L1 data. (2016). Mid, Martin.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:16:y:2016:i:9:p:1423-1444.

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16. Rock around the clock: An agent-based model of low- and high-frequency trading. (2016). Roventini, Andrea ; Napoletano, Mauro ; Fagiolo, Giorgio ; Leal, Sandrine Jacob.
    In: Journal of Evolutionary Economics.
    RePEc:spr:joevec:v:26:y:2016:i:1:p:49-76.

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17. A Semi-Markovian Modeling of Limit Order Markets. (2016). Vadori, Nelson ; Swishchuk, Anatoliy.
    In: Papers.
    RePEc:arx:papers:1601.01710.

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18. Rock around the clock: an agent-based model of low- and high-frequency trading. (2014). Roventini, Andrea ; Napoletano, Mauro ; Fagiolo, Giorgio ; Leal, Sandrine Jacob.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k.

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19. 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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20. Continuous time trading of a small investor in a limit order market. (2013). Stroh, Maximilian ; Kuhn, Christoph.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:6:p:2011-2053.

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21. Large tick assets: implicit spread and optimal tick size. (2013). Rosenbaum, Mathieu ; Dayri, Khalil .
    In: Papers.
    RePEc:arx:papers:1207.6325.

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22. 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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23. Reduced form modeling of limit order markets. (2012). Pennanen, Teemu ; Malo, Pekka.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:7:p:1025-1036.

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24. A Stochastic Model for Order Book Dynamics. (2010). Stoikov, Sasha ; Talreja, Rishi ; Cont, Rama.
    In: Operations Research.
    RePEc:inm:oropre:v:58:y:2010:i:3:p:549-563.

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25. 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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26. The impact of heterogeneous trading rules on the limit order book and order flows. (2009). Iori, Giulia.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:3:p:525-537.

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27. Relation between bid-ask spread, impact and volatility in order-driven markets. (2008). Potters, Marc ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien ; Bouchaud, Jean-Philippe.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:8:y:2008:i:1:p:41-57.

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28. The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2008). Iori, Giulia ; Perello, J. ; Chiarella, C..
    In: Working Papers.
    RePEc:cty:dpaper:08/04.

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29. How markets slowly digest changes in supply and demand. (2008). Farmer, J. ; Bouchaud, Jean-Philippe ; Lillo, Fabrizio.
    In: Papers.
    RePEc:arx:papers:0809.0822.

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30. Are Limit Orders Rational?. (2007). Smid, Martin.
    In: Acta Oeconomica Pragensia.
    RePEc:prg:jnlaop:v:2007:y:2007:i:4:id:71:p:32-38.

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31. Limit theorems in financial market models. (2007). Kuroda, Koji ; Murai, Joshin.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:383:y:2007:i:1:p:28-34.

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32. Queueing Theoretic Approaches to Financial Price Fluctuations. (2007). Horst, Ulrich ; Bayraktar, Erhan ; Sircar, Ronnie.
    In: Papers.
    RePEc:arx:papers:math/0703832.

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33. The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2007). Perelló, Josep ; Iori, Giulia ; Perello, Josep.
    In: Papers.
    RePEc:arx:papers:0711.3581.

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34. Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets. (2006). Potters, Marc ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien ; Bouchaud, Jean-Philippe.
    In: Science & Finance (CFM) working paper archive.
    RePEc:sfi:sfiwpa:500067.

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35. Fat tails and multi-scaling in a simple model of limit order markets. (2006). Krause, Andreas.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:368:y:2006:i:1:p:183-190.

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36. The application of continuous-time random walks in finance and economics. (2006). Scalas, Enrico.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:362:y:2006:i:2:p:225-239.

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37. Five Years of Continuous-time Random Walks in Econophysics. (2005). Scalas, Enrico.
    In: Finance.
    RePEc:wpa:wuwpfi:0501005.

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38. The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2005). Iori, Giulia.
    In: Research Paper Series.
    RePEc:uts:rpaper:152.

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39. Five Years of Continuous-time Random Walks in Econophysics. (2005). Scalas, Enrico.
    In: Papers.
    RePEc:arx:papers:cond-mat/0501261.

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40. Anomalous waiting times in high-frequency financial data. (2004). Scalas, Enrico ; Raberto, Marco ; Mantelli, Maurizio ; Luckock, Hugh ; Mainardi, Francesco ; Gorenflo, Rudolf.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:4:y:2004:i:6:p:695-702.

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