1. From Glosten-Milgrom to the whole limit order book and applications to financial regulation. (2025). Huang, Weibing ; Saliba, Pamela ; Rosenbaum, Mathieu.
   In: Papers.
   RePEc:arx:papers:1902.10743.

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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. Predictive Market Making via Machine Learning. (2022). Wang, Hui ; Hawe, Glenn ; Scotney, Bryan ; Haider, Abbas.
   In: SN Operations Research Forum.
   RePEc:spr:snopef:v:3:y:2022:i:1:d:10.1007_s43069-022-00124-0.

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4. Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2022). Schnaubelt, Matthias.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:296:y:2022:i:3:p:993-1006.

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5. Quant 4.0: Engineering Quantitative Investment with Automated, Explainable and Knowledge-driven Artificial Intelligence. (2022). Wang, Saizhuo ; Ni, Lionel M ; Guo, Jian ; Shum, Heung-Yeung.
   In: Papers.
   RePEc:arx:papers:2301.04020.

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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 Data Paradigm to Operationalise Expanded Filtration: Realized Volatilities and Kernels from Non-Synchronous NASDAQ Quotes and Trades. (2021). Pani, Sudhanshu ; Chakravarty, Ranjan R.
   In: Journal of Quantitative Economics.
   RePEc:spr:jqecon:v:19:y:2021:i:4:d:10.1007_s40953-021-00252-0.

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9. Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume. (2021). Guo, Tian ; Antulov-Fantulin, Nino ; Lillo, Fabrizio.
   In: Decisions in Economics and Finance.
   RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00344-9.

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10. Queue-reactive Hawkes models for the order flow. (2021). Wu, Peng ; Rambaldi, Marcello ; Muzy, Jean-Franois ; Bacry, Emmanuel.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02409073.

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11. Modeling Market Order Arrivals on the German Intraday Electricity Market with the Hawkes Process. (2021). Kiesel, Rudiger ; von Luckner, Nikolaus Graf.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:161-:d:530243.

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12. Deep Hawkes Process for High-Frequency Market Making. (2021). Kumar, Pankaj.
    In: Papers.
    RePEc:arx:papers:2109.15110.

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13. Simulation and estimation of an agent-based market-model with a matching engine. (2021). Gebbie, Tim ; Chang, Patrick ; Jericevich, Ivan.
    In: Papers.
    RePEc:arx:papers:2108.07806.

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14. Implementing the BBE Agent-Based Model of a Sports-Betting Exchange. (2021). Lau-Soto, Roberto ; Keen, James ; Hawkins, James ; Cliff, Dave.
    In: Papers.
    RePEc:arx:papers:2108.02419.

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15. Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units. (2021). Zhang, Zihao ; Zohren, Stefan.
    In: Papers.
    RePEc:arx:papers:2105.10430.

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16. BBE: Simulating the Microstructural Dynamics of an In-Play Betting Exchange via Agent-Based Modelling. (2021). Cliff, Dave.
    In: Papers.
    RePEc:arx:papers:2105.08310.

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17. Simulation and estimation of a point-process market-model with a matching engine. (2021). Gebbie, Tim ; Chang, Patrick ; Jericevich, Ivan.
    In: Papers.
    RePEc:arx:papers:2105.02211.

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18. Order flow in the financial markets from the perspective of the Fractional L\evy stable motion. (2021). Gontis, Vygintas.
    In: Papers.
    RePEc:arx:papers:2105.02057.

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19. From orders to prices: A stochastic description of the limit order book to forecast intraday returns. (2021). Dimpfl, Thomas ; Bleher, Michael.
    In: Papers.
    RePEc:arx:papers:2004.11953.

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20. Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading. (2021). Hautsch, Nikolaus ; Howison, Sam D ; Porter, Mason A ; Gould, Martin D.
    In: Papers.
    RePEc:arx:papers:1709.08238.

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21. Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2020). Schnaubelt, Matthias.
    In: FAU Discussion Papers in Economics.
    RePEc:zbw:iwqwdp:052020.

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22. Stochastic Modelling of Big Data in Finance. (2020). Swishchuk, Anatoliy.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:22:y:2020:i:4:d:10.1007_s11009-020-09826-6.

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23. Trading strategy with stochastic volatility in a limit order book market. (2020). Siu, Tak Kuen ; Ching, Wai-Ki ; Yang, Qing-Qing ; Gu, Jiawen.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-020-00278-8.

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24. High Frequency Fairness. (2020). Haeringer, Guillaume ; Melton, Hayden.
    In: MPRA Paper.
    RePEc:pra:mprapa:103907.

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25. The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets. (2020). Sueshige, Takumi ; Takayasu, Misako ; Christensen, Kim ; Ciacci, Alberto.
    In: PLOS ONE.
    RePEc:plo:pone00:0234709.

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26. Mid-price prediction based on machine learning methods with technical and quantitative indicators. (2020). Gabbouj, Moncef ; Kanniainen, Juho ; Iosifidis, Alexandros ; Ntakaris, Adamantios.
    In: PLOS ONE.
    RePEc:plo:pone00:0234107.

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27. Analyzing order flows in limit order books with ratios of Cox-type intensities. (2020). Toke, Ioane Muni ; Yoshida, Nakahiro.
    In: Post-Print.
    RePEc:hal:journl:hal-01799398.

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28. A Theory of Auction as a Search in speculative markets. (2020). Pani, Sudhanshu.
    In: Papers.
    RePEc:arx:papers:2006.00775.

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29. Temporal mixture ensemble models for intraday volume forecasting in cryptocurrency exchange markets. (2020). Guo, Tian ; Antulov-Fantulin, Nino ; Lillo, Fabrizio.
    In: Papers.
    RePEc:arx:papers:2005.09356.

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30. Deep Recurrent Modelling of Stationary Bitcoin Price Formation Using the Order Flow. (2020). Lim, Ye-Sheen ; Gorse, Denise.
    In: Papers.
    RePEc:arx:papers:2004.01499.

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31. Deep Probabilistic Modelling of Price Movements for High-Frequency Trading. (2020). Lim, Ye-Sheen ; Gorse, Denise.
    In: Papers.
    RePEc:arx:papers:2004.01498.

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32. Robust Market Making via Adversarial Reinforcement Learning. (2020). Spooner, Thomas ; Savani, Rahul.
    In: Papers.
    RePEc:arx:papers:2003.01820.

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33. Transformers for Limit Order Books. (2020). Wallbridge, James.
    In: Papers.
    RePEc:arx:papers:2003.00130.

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34. DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2020). Zhang, Zihao ; Roberts, Stephen ; Zohren, Stefan.
    In: Papers.
    RePEc:arx:papers:1808.03668.

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35. Market Impact in a Latent Order Book. (2020). Lemhadri, Ismael.
    In: Papers.
    RePEc:arx:papers:1802.06101.

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36. Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods. (2020). Gabbouj, Moncef ; Magris, Martin ; Kanniainen, Juho ; Iosifidis, Alexandros ; Ntakaris, Adamantios.
    In: Papers.
    RePEc:arx:papers:1705.03233.

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37. Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid?Ask Spread?. (2019). Arzandeh, Mehdi ; Frank, Julieta.
    In: American Journal of Agricultural Economics.
    RePEc:wly:ajagec:v:101:y:2019:i:5:p:1482-1498.

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38. Order flow analysis of cryptocurrency markets. (2019). Silantyev, Eduard.
    In: Digital Finance.
    RePEc:spr:digfin:v:1:y:2019:i:1:d:10.1007_s42521-019-00007-w.

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39. Anomaly detection in Bitcoin market via price return analysis. (2019). Sun, Xiao-Qian ; Xu, LI ; Gao, Jin-Hua ; Shen, Hua-Wei ; Shi, Fa-Bin ; Cheng, Xue-Qi.
    In: PLOS ONE.
    RePEc:plo:pone00:0218341.

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40. Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid-Ask Spread?. (2019). Arzandeh, Mehdi ; Frank, Julieta.
    In: American Journal of Agricultural Economics.
    RePEc:oup:ajagec:v:101:y:2019:i:5:p:1482-1498..

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41. Analyzing order flows in limit order books with ratios of Cox-type intensities. (2019). Yoshida, Nakahiro ; Toke, Ioane Muni.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01799398.

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42. Quantitative and Comparative Analyses of Limit Order Books with General Compound Hawkes Processes. (2019). He, Qiyue ; Swishchuk, Anatoliy.
    In: Risks.
    RePEc:gam:jrisks:v:7:y:2019:i:4:p:110-:d:282628.

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43. Do investors choose trade-size according to liquidity, empirical evidence from the S&P 500 index future market. (2019). Fu, Zhiming ; Yan, Xin ; Zhang, Rui ; Wu, Liang.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:28:y:2019:i:c:p:275-280.

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44. Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach. (2019). Wooldridge, Michael ; Paulin, James ; Calinescu, Anisoara.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:100:y:2019:i:c:p:200-229.

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45. DYNAMIC PREDICTOR SELECTION AND ORDER SPLITTING IN A LIMIT ORDER MARKET. (2019). Yamamoto, Ryuichi.
    In: Macroeconomic Dynamics.
    RePEc:cup:macdyn:v:23:y:2019:i:05:p:1757-1792_00.

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46. Bounded Temporal Fairness for FIFO Financial Markets. (2019). Mavroudis, Vasilios.
    In: Papers.
    RePEc:arx:papers:1911.09209.

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47. Libra: Fair Order-Matching for Electronic Financial Exchanges. (2019). Mavroudis, Vasilios ; Melton, Hayden.
    In: Papers.
    RePEc:arx:papers:1910.00321.

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48. Mid-price Prediction Based on Machine Learning Methods with Technical and Quantitative Indicators. (2019). Gabbouj, Moncef ; Kanniainen, Juho ; Iosifidis, Alexandros ; Ntakaris, Adamantios.
    In: Papers.
    RePEc:arx:papers:1907.09452.

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49. Multi-Level Order-Flow Imbalance in a Limit Order Book. (2019). Howison, Sam D ; Gould, Martin D ; Xu, KE.
    In: Papers.
    RePEc:arx:papers:1907.06230.

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50. How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?. (2019). Balch, Tucker Hybinette ; Hybinette, Maria ; Mahfouz, Mahmoud ; Lockhart, Joshua ; Byrd, David.
    In: Papers.
    RePEc:arx:papers:1906.12010.

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51. Queue-reactive Hawkes models for the order flow. (2019). Wu, Peng ; Rambaldi, Marcello ; Muzy, Jean-Franccois ; Bacry, Emmanuel.
    In: Papers.
    RePEc:arx:papers:1901.08938.

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52. Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models. (2019). Kalsi, Jasdeep ; Newbury, James ; Hambly, Ben.
    In: Papers.
    RePEc:arx:papers:1808.07107.

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53. Analyzing order flows in limit order books with ratios of Cox-type intensities. (2019). Yoshida, Nakahiro ; Toke, Ioane Muni.
    In: Papers.
    RePEc:arx:papers:1805.06682.

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54. Information and Efficiency in Thin Buyer–Seller Markets over Random Networks. (2018). Leur, Michiel.
    In: Computational Economics.
    RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9658-8.

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55. 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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56. A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure. (2018). Kou, Steven ; Chen, Ningyuan ; Wang, Chun.
    In: Management Science.
    RePEc:inm:ormnsc:v:64:y:2018:i:2:p:784-803.

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57. Market impact in a latent order book. (2018). Lemhadri, Ismael.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01711192.

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58. Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Wooldridge, Michael ; Paulin, James ; Calinescu, Anisoara.
    In: Papers.
    RePEc:arx:papers:1805.08454.

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59. Market Making via Reinforcement Learning. (2018). Spooner, Thomas ; Savani, Rahul ; Fearnley, John ; Koukorinis, Andreas.
    In: Papers.
    RePEc:arx:papers:1804.04216.

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60. Hybrid marked point processes: characterisation, existence and uniqueness. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime.
    In: Papers.
    RePEc:arx:papers:1707.06970.

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61. Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market. (2017). Schasfoort, Joeri ; Stockermans, Christopher.
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:201763.

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62. Counterparty credit limits: An effective tool for mitigating counterparty risk?. (2017). Hautsch, Nikolaus ; Howison, Sam D ; Porter, Mason A ; Gould, Martin D.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:581.

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63. GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS. (2017). Hofmeister, Tyler ; Cera, Katharina ; Schmidt, Julia ; Swishchuk, Anatoliy.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:20:y:2017:i:03:n:s0219024917500194.

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64. Pricing and clearing combinatorial markets with singleton and swap orders. (2017). Pape, Susanne ; Pokutta, Sebastian ; Muller, Johannes C ; Peter, Andrea ; Martin, Alexander ; Winter, Thomas.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:85:y:2017:i:2:d:10.1007_s00186-016-0555-z.

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65. Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns. (2017). Zhou, Wei-Xing ; Chen, Wei ; Gu, Gao-Feng ; Jiang, Zhi-Qiang ; Xiong, Xiong ; Zhang, Wei.
    In: Computational Economics.
    RePEc:kap:compec:v:50:y:2017:i:4:d:10.1007_s10614-016-9612-1.

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66. 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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67. Limit order books and liquidity around scheduled and non-scheduled announcements: Empirical evidence from NASDAQ Nordic. (2017). Siikanen, Milla ; Kanniainen, Juho ; Valli, Jaakko.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:21:y:2017:i:c:p:264-271.

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68. A buffer Hawkes process for limit order books. (2017). Caglar, Mine ; Kaj, Ingemar.
    In: Papers.
    RePEc:arx:papers:1710.03506.

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69. Order Flows and Limit Order Book Resiliency on the Meso-Scale. (2017). Ludkovski, Michael ; Bechler, Kyle .
    In: Papers.
    RePEc:arx:papers:1708.02715.

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70. Instantaneous order impact and high-frequency strategy optimization in limit order books. (2017). Schervish, Mark ; Gonzalez, Federico.
    In: Papers.
    RePEc:arx:papers:1707.01167.

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71. Optimal liquidation in a Level-I limit order book for large tick stocks. (2017). Jacquier, Antoine ; Liu, Hao.
    In: Papers.
    RePEc:arx:papers:1701.01327.

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72. 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.
    In: Papers.
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73. A Markov model of a limit order book: thresholds, recurrence, and trading strategies. (2017). Kelly, Frank ; Yudovina, Elena.
    In: Papers.
    RePEc:arx:papers:1504.00579.

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74. The Information Content of the Limit Order Book. (2017). Arzandeh, Mehdi ; Frank, Julieta.
    In: 7th Annual Canadian Agri-Food Policy Conference, January 11-13, 2017, Ottawa, ON.
    RePEc:ags:cafp17:253251.

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75. The Geometric Phase of Stock Trading. (2016). Altafini, Claudio.
    In: PLOS ONE.
    RePEc:plo:pone00:0161538.

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76. Stylized facts of price gaps in limit order books. (2016). Zhou, Wei-Xing ; Zhang, Yong-Jie ; Xiong, Xiong ; Chen, Wei ; Gu, Gao-Feng.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:88:y:2016:i:c:p:48-58.

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77. Limit order trading with a mean reverting reference price. (2016). Ren, Weiluo ; Yang, Tzu-Wei ; Ahuja, Saran ; Papanicolaou, George.
    In: Papers.
    RePEc:arx:papers:1607.00454.

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78. The role of volume in order book dynamics: a multivariate Hawkes process analysis. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Bacry, Emmanuel.
    In: Papers.
    RePEc:arx:papers:1602.07663.

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79. Trading Strategy with Stochastic Volatility in a Limit Order Book Market. (2016). Siu, Tak Kuen ; Ching, Wai-Ki ; Yang, Qing-Qing ; Gu, Jia-Wen.
    In: Papers.
    RePEc:arx:papers:1602.00358.

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80. Latency and liquidity provision in a limit order book. (2016). Gould, Martin ; Bonart, Julius.
    In: Papers.
    RePEc:arx:papers:1511.04116.

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81. Quasi-Centralized Limit Order Books. (2016). Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D..
    In: Papers.
    RePEc:arx:papers:1502.00680.

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82. Hydrodynamic limit of order book dynamics. (2016). Gao, Xuefeng ; Deng, S. J. ; Dai, J. G. ; Dieker, A. B..
    In: Papers.
    RePEc:arx:papers:1411.7502.

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83. One-level limit order book models with memory and variable spread. (2016). Jos'e E. Figueroa-L'opez, ; Jonathan A. Ch'avez-Casillas, .
    In: Papers.
    RePEc:arx:papers:1407.5684.

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84. 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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85. Stochastic simulation framework for the limit order book using liquidity-motivated agents. (2015). Peters, Gareth W ; Panayi, Efstathios.
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:02:y:2015:i:02:n:s2424786315500139.

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86. Dynamic predictor selection and order splitting in a limit order market. (2015). Yamamoto, Ryuichi.
    In: Working Papers.
    RePEc:wap:wpaper:1514.

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87. Learning, information processing and order submission in limit order markets. (2015). He, Xuezhong (Tony) ; Wei, Lijian ; Chiarella, Carl.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:61:y:2015:i:c:p:245-268.

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88. Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book. (2015). Gould, Martin D ; Bonart, Julius.
    In: Papers.
    RePEc:arx:papers:1512.03492.

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89. SMC-ABC methods for the estimation of stochastic simulation models of the limit order book. (2015). Peters, Gareth W. ; Septier, Francois ; Panayi, Efstathios.
    In: Papers.
    RePEc:arx:papers:1504.05806.

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90. The Long Memory of Order Flow in the Foreign Exchange Spot Market. (2015). Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D..
    In: Papers.
    RePEc:arx:papers:1504.04354.

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

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92. Stochastic simulation framework for the Limit Order Book using liquidity motivated agents. (2015). Peters, Gareth ; Panayi, Efstathios.
    In: Papers.
    RePEc:arx:papers:1501.02447.

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93. Price efficiency and trading behavior in limit order markets with competing insiders. (2014). Stockl, Thomas.
    In: Experimental Economics.
    RePEc:kap:expeco:v:17:y:2014:i:2:p:314-334.

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94. When chasing the offender hurts the victim: Collateral damage from insider legislation.. (2014). Palan, Stefan ; Stockl, Thomas.
    In: Working Paper Series, Social and Economic Sciences.
    RePEc:grz:wpsses:2014-03.

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95. Stylized facts of price gaps in limit order books: Evidence from Chinese stocks. (2014). Zhou, Wei-Xing ; Zhang, Yong-Jie ; Xiong, Xiong ; Chen, Wei ; Gu, Gao-Feng.
    In: Papers.
    RePEc:arx:papers:1405.1247.

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96. 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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97. Price efficiency and trading behavior in limit order markets with competing insiders. (2013). Stoeckl, Thomas .
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1. Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Lyocsa, Tefan ; Todorova, Neda.
   In: Applied Energy.
   RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2. Bayesian Dynamic Modeling of High-Frequency Integer Price Changes. (2018). Koopman, Siem Jan ; Barra, Istvan.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20160028.

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3. Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Chen, Richard Y ; Mykland, Per A.
   In: Papers.
   RePEc:arx:papers:1512.06159.

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4. High-Frequency Jump Analysis of the Bitcoin Market. (2017). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien.
   In: Papers.
   RePEc:arx:papers:1704.08175.

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5. Bayesian Nonparametric Estimation of Ex-post Variance. (2016). Maheu, John ; Liu, Jia ; Griffin, Jim.
   In: MPRA Paper.
   RePEc:pra:mprapa:71220.

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6. Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect. (2016). Sebastião, Helder ; Godinho, Pedro ; Brito, Rui ; Sebastio, Helder.
   In: GEMF Working Papers.
   RePEc:gmf:wpaper:2016-13..

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7. A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:193:y:2016:i:1:p:203-214.

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8. Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error. (2016). LINTON, OLIVER ; Park, Sujin ; Hong, Seok Young.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:191:y:2016:i:2:p:325-347.

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9. Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. (2015). Lucas, Andre ; Koopman, Siem Jan ; Lit, Rutger.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20150076.

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10. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). Asai, Manabu ; McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150018.

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11. Difference based estimators and infill statistics. (2015). Leon, Jose ; Ludea, Carenne .
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:18:y:2015:i:1:p:1-31.

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12. Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas. (2015). Kalnina, Ilze.
    In: Cahiers de recherche.
    RePEc:mtl:montec:13-2015.

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13. Inference for nonparametric high-frequency estimators with an application to time variation in betas. (2015). Kalnina, Ilze.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2015-08.

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14. Relative liquidity and future volatility. (2015). Rheinlander, Thorsten ; Fryzlewicz, Piotr ; Valenzuela, Marcela ; Zer, Ilknur.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:24:y:2015:i:c:p:25-48.

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15. Validity of Edgeworth expansions for realized volatility estimators. (2015). Veliyev, Bezirgen ; Hounyo, Ulrich.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-21.

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16. Relative Liquidity and Future Volatility. (2014). Rheinlander, Thorsten ; Fryzlewicz, Piotr ; Valenzuela, Marcela ; Zer, Ilknur.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2014-45.

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17. CAPM with fuzzy returns and hypothesis testing. (2014). SADEFO KAMDEM, Jules ; Moussa, Mbairadjim A. ; Terraza, M. ; Shapiro, A. F..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:55:y:2014:i:c:p:40-57.

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18. A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data. (2014). Tang, Cheng Yong ; Liu, Cheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:180:y:2014:i:2:p:217-232.

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19. Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns. (2014). SADEFO KAMDEM, Jules ; Moussa, Mbairadjim A. ; Terraza, M..
    In: Economic Modelling.
    RePEc:eee:ecmode:v:39:y:2014:i:c:p:247-256.

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20. Extended stochastic volatility models incorporating realised measures. (2014). de Jongh, P. J. ; Venter, J. H..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:687-707.

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21. Modeling CAC40 Volatility Using Ultra-high Frequency Data. (2013). Floros, Christos ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80445.

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22. Econometrics of co-jumps in high-frequency data with noise. (2013). Bibinger, Markus ; Winkelmann, Lars.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-021.

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23. Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing. (2013). Mykland, Per A. ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-006.

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24. Adaptive Realized Kernels. (2013). Kotchoni, Rachidi ; Carrasco, Marine.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00867967.

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25. Some limit theorems for Hawkes processes and application to financial statistics. (2013). Hoffmann, Marc ; Delattre, S. ; Muzy, J. F. ; Bacry, E..
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:7:p:2475-2499.

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26. Modeling CAC40 volatility using ultra-high frequency data. (2013). Floros, Christos ; Degiannakis, Stavros.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:28:y:2013:i:c:p:68-81.

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27. Macroeconomic determinants of stock volatility and volatility premiums. (2013). Mele, Antonio ; Corradi, Valentina ; Distaso, Walter.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:2:p:203-220.

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28. The leverage effect puzzle: Disentangling sources of bias at high frequency. (2013). Fan, Jianqing ; Ait-Sahalia, Yacine.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:1:p:224-249.

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29. Volatility and Liquidity Costs. (2013). Chaker, Selma.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-29.

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30. Financial Risk Measurement for Financial Risk Management. (2012). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18084.

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31. Capital asset pricing model with fuzzy returns and hypothesis testing. (2012). SADEFO KAMDEM, Jules ; Terraza, Michel ; Shapiro, Arnold F. ; Moussa, Alfred Mbairadjim.
    In: Working Papers.
    RePEc:lam:wpaper:12-33.

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32. An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory. (2012). Bibinger, Markus.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:122:y:2012:i:6:p:2411-2453.

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33. International market links and volatility transmission. (2012). Fernandes, Marcelo ; Corradi, Valentina ; Distaso, Walter.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:1:p:117-141.

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34. Jump-robust volatility estimation using nearest neighbor truncation. (2012). Andersen, Torben ; Schaumburg, Ernst ; Dobrev, Dobrislav.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:169:y:2012:i:1:p:75-93.

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35. Jumps in equilibrium prices and market microstructure noise. (2012). Lee, Suzanne S. ; Mykland, Per A..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:168:y:2012:i:2:p:396-406.

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36. On the estimation of integrated covariance matrices of high dimensional diffusion processes. (2012). Li, Yingying ; Zheng, Xinghua.
    In: Papers.
    RePEc:arx:papers:1005.1862.

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37. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data. (2012). Ait-Sahalia, Yacine ; Yacine Aït-Sahalia, ; Jacod, Jean.
    In: Journal of Economic Literature.
    RePEc:aea:jeclit:v:50:y:2012:i:4:p:1007-50.

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38. Predictive Inference for Integrated Volatility. (2011). Swanson, Norman ; Distaso, Walter ; Corradi, Valentina.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201109.

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39. On the Approximate Maximum Likelihood Estimation for Diffusion Processes. (2011). Chen, Song Xi ; Chang, Jinyuan.
    In: MPRA Paper.
    RePEc:pra:mprapa:46279.

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40. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Christoffersen, Peter F..
    In: PIER Working Paper Archive.
    RePEc:pen:papers:11-037.

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41. The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency. (2011). Fan, Jianqing ; Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17592.

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42. Subsampling high frequency data. (2011). Kalnina, Ilze.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:262-283.

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43. Estimating covariation: Epps effect, microstructure noise. (2011). Zhang, Lan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:33-47.

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44. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Christoffersen, Peter F..
    In: CREATES Research Papers.
    RePEc:aah:create:2011-37.

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45. Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices. (2011). Varneskov, Rasmus Tangsgaard.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-35.

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46. Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise. (2011). Varneskov, Rasmus Tangsgaard.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-31.

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47. Detecting jumps from Lévy jump diffusion processes. (2010). Lee, Suzanne S. ; Hannig, Jan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:96:y:2010:i:2:p:271-290.

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48. Bayesian analysis of structural credit risk models with microstructure noises. (2010). Yu, Jun ; Huang, Shirley J..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:11:p:2259-2272.

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49. Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises. (2009). Yu, Jun ; Huang, Shirley J..
    In: Finance Working Papers.
    RePEc:eab:financ:23054.

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50. .

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