1. A Stochastic Volatility Approximation for a Tick-By-Tick Price Model with Mean-Field Interaction. (2025). Pigato, Paolo ; Pra, Paolo Dai.
   In: CEIS Research Paper.
   RePEc:rtv:ceisrp:596.

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2. A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction. (2025). Pigato, Paolo ; Pra, Paolo Dai.
   In: Papers.
   RePEc:arx:papers:2504.03445.

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3. Modeling metaorder impact with a Non-Markovian Zero Intelligence model. (2025). Ravagnani, Adele ; Lillo, Fabrizio.
   In: Papers.
   RePEc:arx:papers:2503.05254.

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4. Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation. (2025). Bodor, Hamza ; Carlier, Laurent.
   In: Papers.
   RePEc:arx:papers:2501.08822.

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5. 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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6. Cryptocurrency Exchange Simulation. (2024). Semenov, Alexander ; Mansurov, Kirill ; Grigoriev, Dmitry ; Radionov, Andrei ; Ibragimov, Rustam.
   In: Computational Economics.
   RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10495-z.

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7. Optimal Execution with Reinforcement Learning. (2024). Vittori, Edoardo ; Hafsi, Yadh.
   In: Papers.
   RePEc:arx:papers:2411.06389.

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8. An Algebraic Framework for the Modeling of Limit Order Books. (2024). Bleher, Michael.
   In: Papers.
   RePEc:arx:papers:2406.04969.

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9. Reinforcement Learning in Agent-Based Market Simulation: Unveiling Realistic Stylized Facts and Behavior. (2024). Yao, Zhiyuan ; Li, Zheng ; Thomas, Matthew ; Florescu, Ionut.
   In: Papers.
   RePEc:arx:papers:2403.19781.

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10. 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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11. An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics. (2024). Cao, YI ; Polukarov, Maria ; Li, Haochen ; Ventre, Carmine.
    In: Papers.
    RePEc:arx:papers:2308.14235.

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12. A single queue-reactive Hawkes model for the order flow. (2023). Bacry, Emmanuel ; Wu, Peng ; Rambaldi, Marcello ; Muzy, Jean-Franois.
    In: Post-Print.
    RePEc:hal:journl:hal-02409073.

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13. Bias-optimal vol-of-vol estimation: the role of window overlapping. (2022). Recchioni, Maria Cristina ; Toscano, Giacomo.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-021-00349-4.

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14. Foreign exchange markets: Price response and spread impact. (2022). Guhr, Thomas ; Henao-Londono, Juan C.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008591.

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15. 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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16. Price response functions and spread impact in correlated financial markets. (2021). Guhr, Thomas ; Krause, Sebastian M ; Henao-Londono, Juan C.
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:94:y:2021:i:4:d:10.1140_epjb_s10051-021-00077-z.

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17. 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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18. Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2021). Fosset, Antoine ; Benzaquen, Michael ; Bouchaud, Jean-Philippe.
    In: Post-Print.
    RePEc:hal:journl:hal-02998555.

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

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20. Intra-Day Price Simulation with Generative Adversarial Modelling of the Order Flow. (2021). Lim, Ye-Sheen ; Gorse, Denise.
    In: Papers.
    RePEc:arx:papers:2109.13905.

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21. Analytic formula for option margin with liquidity costs under dynamic delta hedging. (2021). Lee, Kyungsub ; Ki, Byoung.
    In: Papers.
    RePEc:arx:papers:2103.15302.

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22. 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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23. Order book dynamics with liquidity fluctuations: limit theorems and large deviations. (2021). Rojas, Helder ; Yambartsev, Anatoly.
    In: Papers.
    RePEc:arx:papers:2004.10632.

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24. Bias optimal vol-of-vol estimation: the role of window overlapping. (2021). Recchioni, Maria Cristina ; Toscano, Giacomo.
    In: Papers.
    RePEc:arx:papers:2004.04013.

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25. 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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26. State-dependent Hawkes processes and their application to limit order book modelling. (2021). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime.
    In: Papers.
    RePEc:arx:papers:1809.08060.

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27. Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02998555.

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28. Endogenous Liquidity Crises. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02567495.

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29. Endogenous Liquidity Crises. (2020). Fosset, Antoine ; Benzaquen, Michael ; Bouchaud, Jean-Philippe.
    In: Post-Print.
    RePEc:hal:journl:hal-02567495.

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30. Peer-to-peer electricity trading in grid-connected residential communities with household distributed photovoltaic. (2020). Li, Zhenpeng ; Ma, Tao.
    In: Applied Energy.
    RePEc:eee:appene:v:278:y:2020:i:c:s0306261920311661.

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31. No‐arbitrage implies power‐law market impact and rough volatility. (2020). Jusselin, Paul ; Rosenbaum, Mathieu.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:30:y:2020:i:4:p:1309-1336.

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32. Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine.
    In: Papers.
    RePEc:arx:papers:2005.05730.

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33. Endogenous Liquidity Crises. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine.
    In: Papers.
    RePEc:arx:papers:1912.00359.

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34. A Level-1 Limit Order Book with Time Dependent Arrival Rates. (2019). Elliott, Robert J ; Chavez-Casillas, Jonathan A ; Remillard, Bruno ; Swishchuk, Anatoliy V.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:21:y:2019:i:3:d:10.1007_s11009-019-09715-7.

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35. High frequency trading strategies, market fragility and price spikes: an agent based model perspective. (2019). Raju, V L ; McGroarty, Frank ; Gerding, Enrico ; Booth, Ash.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-3019-4.

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36. Buying on Margin and Short Selling in an Artificial Double Auction Market. (2019). Zhou, Xuan ; Li, Honggang.
    In: Computational Economics.
    RePEc:kap:compec:v:54:y:2019:i:4:d:10.1007_s10614-017-9722-4.

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37. 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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38. Optimal inventory management and order book modeling. (2019). Bouchard, Bruno ; Mounjid, Othmane ; Baradel, Nicolas ; Evangelista, David.
    In: Post-Print.
    RePEc:hal:journl:hal-01710301.

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39. Order book model with herd behavior exhibiting long-range memory. (2019). Ruseckas, Julius ; Kononovicius, Aleksejus.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:525:y:2019:i:c:p:171-191.

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

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41. 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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42. Order book model with herd behavior exhibiting long-range memory. (2019). Ruseckas, Julius ; Kononovicius, Aleksejus.
    In: Papers.
    RePEc:arx:papers:1809.02772.

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43. 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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44. Optimal inventory management and order book modeling. (2018). Mounjid, Othmane ; Baradel, Nicolas ; Evangelista, David ; Bouchard, Bruno.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01710301.

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45. High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration. (2018). Abergel, Frederic ; Lu, Xiaofei.
    In: Post-Print.
    RePEc:hal:journl:hal-01686122.

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46. Can agent-based models probe market microstructure?. (2018). Gebbie, Tim ; Platt, Donovan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:503:y:2018:i:c:p:1092-1106.

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47. Disentangling and quantifying market participant volatility contributions. (2018). Rambaldi, Marcello ; Muzy, Jean-Franccois ; Bacry, Emmanuel.
    In: Papers.
    RePEc:arx:papers:1807.07036.

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48. No-arbitrage implies power-law market impact and rough volatility. (2018). Jusselin, Paul ; Rosenbaum, Mathieu.
    In: Papers.
    RePEc:arx:papers:1805.07134.

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49. Optimal inventory management and order book modeling. (2018). Mounjid, Othmane ; Baradel, Nicolas ; Evangelista, David ; Bouchard, Bruno.
    In: Papers.
    RePEc:arx:papers:1802.08135.

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50. State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime.
    In: CREATES Research Papers.
    RePEc:aah:create:2018-26.

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51. STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL. (2017). Toke, Ioane Muni.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s021902491750039x.

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52. INTERMITTENT BEHAVIOR INDUCED BY ASYNCHRONOUS INTERACTIONS IN A CONTINUOUS DOUBLE AUCTION MODEL. (2017). Gunji, Yukio-Pegio ; Kinoshita, Tetsuo ; Sasai, Kazuto.
    In: Advances in Complex Systems (ACS).
    RePEc:wsi:acsxxx:v:20:y:2017:i:02n03:n:s0219525917500059.

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53. Modelling intensities of order flows in a limit order book. (2017). Yoshida, Nakahiro ; Toke, Ioane Muni.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:5:p:683-701.

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54. Latency and liquidity provision in a limit order book. (2017). Gould, Martin D ; Bonart, Julius.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:10:p:1601-1616.

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55. Quantized price volatility model for transaction data. (2017). Moriya, Hiroyuki.
    In: Evolutionary and Institutional Economics Review.
    RePEc:spr:eaiere:v:14:y:2017:i:2:d:10.1007_s40844-017-0078-1.

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56. Limit order book modelling with high dimensional Hawkes processes. (2017). Lu, Xiaofei ; Abergel, Frederic.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01512430.

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57. 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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58. Statistical inference for ergodic point processes and application to Limit Order Book. (2017). Clinet, Simon ; Yoshida, Nakahiro.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:127:y:2017:i:6:p:1800-1839.

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59. A level-1 Limit Order book with time dependent arrival rates. (2017). Elliott, Robert J ; Ch, Jonathan A ; Swishchuk, Anatoliy V.
    In: Papers.
    RePEc:arx:papers:1704.06572.

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60. 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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61. INVESTORS SENTIMENT IN MULTI-AGENT MODEL OF THE CONTINUOUS DOUBLE AUCTION. (2016). Muzychka, Stepan ; Vaninsky, Kirill ; Lykov, Alexander.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:19:y:2016:i:06:n:s0219024916500400.

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62. 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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63. 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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64. Crossed and Locked Quotes in a Multi-Market Simulation. (2016). Scherer, William ; Beling, Peter ; Todd, Andrew.
    In: PLOS ONE.
    RePEc:plo:pone00:0151096.

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65. 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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66. When does inequality freeze an economy?. (2016). Volpati, Valerio ; Marsili, Matteo ; Jerico, Joao Pedro ; Castillo, Isaac P'Erez ; Landes, Franccois P.
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67. A Semi-Markovian Modeling of Limit Order Markets. (2016). Vadori, Nelson ; Swishchuk, Anatoliy.
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68. 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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69. Quasi-Centralized Limit Order Books. (2016). Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D..
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70. Hydrodynamic limit of order book dynamics. (2016). Gao, Xuefeng ; Deng, S. J. ; Dai, J. G. ; Dieker, A. B..
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71. 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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72. A fully consistent, minimal model for non-linear market impact. (2015). Donier, J ; Bonart, J ; Mastromatteo, I.
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    RePEc:taf:quantf:v:15:y:2015:i:7:p:1109-1121.

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73. Simulating and Analyzing Order Book Data: The Queue-Reactive Model. (2015). LEHALLE, Charles-Albert ; Huang, Weibing ; Rosenbaum, Mathieu.
    In: Journal of the American Statistical Association.
    RePEc:taf:jnlasa:v:110:y:2015:i:509:p:107-122.

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74. LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK. (2015). Abergel, Frederic ; Jedidi, Aymen.
    In: Working Papers.
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75. Long-Time Behavior of a Hawkes Process--Based Limit Order Book. (2015). Jedidi, Aymen ; Abergel, Frederic.
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76. Exact and asymptotic solutions of the call auction problem. (2015). Toke, Ioane Muni.
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77. The order book as a queueing system: average depth and influence of the size of limit orders. (2015). Toke, Ioane Muni.
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78. 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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79. Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book. (2015). Gould, Martin D ; Bonart, Julius.
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80. Optimum Liquidation Problem Associated with the Poisson Cluster Process. (2015). Vecer, J ; Sadoghi, A.
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81. Liquidity and Impact in Fair Markets. (2015). Jaisson, Thibault.
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82. Ergodicity and diffusivity of Markovian order book models: a general framework. (2015). Huang, Weibing ; Rosenbaum, Mathieu.
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83. Hawkes processes in finance. (2015). Muzy, Jean-Franccois ; Mastromatteo, Iacopo ; Bacry, Emmanuel.
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84. Stationary distribution of the volume at the best quote in a Poisson order book model. (2015). Toke, Ioane Muni.
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85. Stochastic simulation framework for the Limit Order Book using liquidity motivated agents. (2015). Peters, Gareth ; Panayi, Efstathios.
    In: Papers.
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86. 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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87. Exact and asymptotic solutions of the call auction problem. (2014). Toke, Ioane Muni.
    In: Working Papers.
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88. Ergodicity and scaling limit of a constrained multivariate Hawkes process. (2014). Zheng, Ban ; Abergel, Frederic ; Roueff, Franois.
    In: Post-Print.
    RePEc:hal:journl:hal-00777941.

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89. 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: GREDEG Working Papers.
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90. Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (2014). Jaisson, Thibault ; Muzy, Jean-Francois ; Bacry, Emmanuel.
    In: Papers.
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91. 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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92. Exact and asymptotic solutions of the call auction problem. (2014). Toke, Ioane Muni.
    In: Papers.
    RePEc:arx:papers:1407.4512.

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93. The adaptive nature of liquidity taking in limit order books. (2014). Bormetti, Giacomo ; Lillo, Fabrizio ; Taranto, Damian Eduardo.
    In: Papers.
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94. On Simulation of Various Effects in Consolidated Order Book. (2014). Vaninsky, K. L. ; Glekin, A. O. ; Lykov, A..
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95. Simulating and analyzing order book data: The queue-reactive model. (2014). LEHALLE, Charles-Albert ; Huang, Weibing ; Rosenbaum, Mathieu.
    In: Papers.
    RePEc:arx:papers:1312.0563.

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96. Agent-based models for latent liquidity and concave price impact. (2014). Bouchaud, Jean-Philippe ; Mastromatteo, Iacopo ; Toth, Bence.
    In: Papers.
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97. Ergodicity and scaling limit of a constrained multivariate Hawkes process. (2014). Roueff, Franccois ; Fr'ed'eric Abergel, ; Zheng, Ban.
    In: Papers.
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98. Limit order books. (2013). Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark ; Fenn, Daniel J. ; Williams, Stacy.
    In: Quantitative Finance.
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99. Unhedgeable shocks and statistical economic equilibrium. (2013). Foley, Duncan ; Smith, Eric ; Good, Benjamin .
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100. Do price limits hurt the market?. (2013). Yang, Chun-Yi ; Yeh, Chia-Hsuan .
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101. The order book as a queueing system: average depth and influence of the size of limit orders. (2013). Toke, Ioane Muni.
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102. Ergodicity and scaling limit of a constrained multivariate Hawkes process. (2013). Abergel, Frederic ; Roueff, Franois ; Zheng, Ban.
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103. A Mathematical Approach to Order Book Modelling. (2013). Jedidi, Aymen ; Abergel, Frederic.
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104. Price Dynamics in a Markovian Limit Order Market. (2013). De Larrard, Adrien ; Cont, Rama.
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105. Between complexity of modelling and modelling of complexity: An essay on econophysics. (2013). Schinckus, C..
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     RePEc:eee:phsmap:v:392:y:2013:i:17:p:3654-3665.

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106. Trade arrival dynamics and quote imbalance in a limit order book. (2013). Pesavento, Umberto ; Sotiropoulos, Michael G ; Lipton, Alexander.
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107. The order book as a queueing system: average depth and influence of the size of limit orders. (2013). Toke, Ioane Muni.
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108. Dynamical Trading Mechanism in Limit Order Markets. (2013). Wang, Shilei.
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109. Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process. (2013). LEHALLE, Charles-Albert.
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110. Hawkes model for price and trades high-frequency dynamics. (2013). J. F Muzy, ; Bacry, E..
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111. Large tick assets: implicit spread and optimal tick size. (2013). Rosenbaum, Mathieu ; Dayri, Khalil .
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112. Limit Order Books. (2013). Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark ; Fenn, Daniel J..
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113. Reduced form modeling of limit order markets. (2012). Pennanen, Teemu ; Malo, Pekka.
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114. Virtuális árhatás a Budapesti Értéktőzsdén. (2012). Váradi, Kata ; Lublóy, Ágnes ; Varadi, Kata ; Gyarmati, akos ; Lubloy, Agnes.
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115. Order book dynamics in liquid markets: limit theorems and diffusion approximations. (2012). Cont, Rama ; De Larrard, Adrien .
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116. Order book dynamics in liquid markets: limit theorems and diffusion approximations. (2011). Cont, Rama ; De Larrard, Adrien .
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117. Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic.
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118. Anomalous price impact and the critical nature of liquidity in financial markets. (2011). Lemperiere, Yves ; Kockelkoren, Julien ; de Lataillade, Joachim ; Bouchaud, Jean-Philippe ; Deremble, Cyril ; Toth, Bence.
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119. Zero-intelligence realized variance estimation. (2010). Oomen, Roel ; Gatheral, Jim.
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120. A Stochastic Model for Order Book Dynamics. (2010). Stoikov, Sasha ; Talreja, Rishi ; Cont, Rama.
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121. A Multi Agent Model for the Limit Order Book Dynamics. (2010). Bartolozzi, Marco .
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122. Statistical properties of an experimental political futures market. (2009). Tai, Chung-Ching ; Wang, Sun-Chong ; Che, Shu-Heng ; Li, Sai-Ping.
     In: Quantitative Finance.
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123. Statistical approach to partial equilibrium analysis. (2009). Wang, Yougui ; Stanley, H. E..
     In: Physica A: Statistical Mechanics and its Applications.
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124. Relation between bid-ask spread, impact and volatility in order-driven markets. (2008). Potters, Marc ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien ; Bouchaud, Jean-Philippe.
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125. The effects of behavioral and structural assumptions in artificial stock market. (2008). Liu, Xinghua ; Gregor, Shirley ; Yang, Jianmei.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:387:y:2008:i:11:p:2535-2546.

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126. An empirical behavioral model of liquidity and volatility. (2008). Farmer, J. ; Mike, Szabolcs .
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:32:y:2008:i:1:p:200-234.

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127. The Virtues and Vices of Equilibrium and the Future of Financial Economics. (2008). Farmer, J. ; Geanakoplos, John.
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128. How markets slowly digest changes in supply and demand. (2008). Farmer, J. ; Bouchaud, Jean-Philippe ; Lillo, Fabrizio.
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129. Correlation of coming limit price with order book in stock markets. (2007). Maskawa, Jun-Ichi.
     In: Physica A: Statistical Mechanics and its Applications.
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130. Limit theorems in financial market models. (2007). Kuroda, Koji ; Murai, Joshin.
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131. Stock price fluctuations and the mimetic behaviors of traders. (2007). Maskawa, Jun-Ichi.
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132. THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING. (2006). Hryniv, Ostap ; Ern, Jii ; Bovier, Anton.
     In: International Journal of Theoretical and Applied Finance (IJTAF).
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133. Short-term market reaction after extreme price changes of liquid stocks. (2006). Kertesz, Janos ; Andor, Gyorgy ; Zawadowski, dam G..
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134. 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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135. Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets. (2006). Potters, Marc ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien ; Bouchaud, Jean-Philippe.
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136. Equilibrium econophysics: A unified formalism for neoclassical economics and equilibrium thermodynamics. (2006). Domingos, Tiago ; Sousa, Tania.
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137. 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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138. Waiting times between orders and trades in double-auction markets. (2006). Scalas, Enrico ; Kirchler, Michael ; Kaizoji, Taisei ; Huber, Jurgen ; Tedeschi, Alessandra.
     In: Physica A: Statistical Mechanics and its Applications.
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139. Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process. (2005). Smid, Martin.
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     RePEc:wpa:wuwpem:0503015.

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140. An empirical behavioral model of price formation. (2005). Farmer, J. ; Mike, Szabolcs .
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     RePEc:arx:papers:physics/0509194.

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141. What really causes large price changes?. (2004). Farmer, J. ; Gillemot, Laszlo ; Lillo, Fabrizio ; Sen, Anindya ; Mike, Szabolcs .
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     RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397.

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142. 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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143. The Opinion Game: Stock price evolution from microscopic market modelling. (2004). Hryniv, Ostap ; Cerny, Jiri ; Bovier, Anton.
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144. On the origin of power law tails in price fluctuations. (2004). Farmer, J. ; Lillo, Fabrizio.
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145. The Predictive Power of Zero Intelligence in Financial Markets. (2004). Zovko, Ilija ; Farmer, J. ; Patelli, Paolo .
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     RePEc:arx:papers:cond-mat/0309233.

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146. An analysis of price impact function in order-driven markets. (2003). Iori, Giulia ; Farmer, J. ; Daniels, M. G. ; Gillemot, L. ; Smith, E. ; Krishnamurthy, S..
     In: Physica A: Statistical Mechanics and its Applications.
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10. Adaptive interactive expectations: dynamically modelling profit expectations. (2010). Bell, William.
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11. A Multi Agent Model for the Limit Order Book Dynamics. (2010). Bartolozzi, Marco .
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12. Trader Behavior and its Effect on Asset Price Dynamics. (2009). Rathinam, Muruhan ; Primbs, James .
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14. Asset prices, traders behavior and market design. (2009). Panchenko, Valentyn ; Anufriev, Mikhail.
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15. Do stylised facts of order book markets need strategic behaviour?. (2009). Schenk-Hoppé, Klaus ; Ladley, Daniel ; Schenk-Hoppe, Klaus Reiner.
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16. Self-organized criticality in a herd behavior model of financial markets. (2008). Nirei, Makoto.
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21. An empirical behavioral model of liquidity and volatility. (2008). Farmer, J. ; Mike, Szabolcs .
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23. Asset Prices, Traders Behavior, and Market Design. (2007). Panchenko, Valentyn ; Anufriev, Mikhail.
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24. Microscopic models of financial markets. (2006). Lux, Thomas ; Zschischang, Elmar ; Samanidou, Egle ; Stauffer, Dietrich.
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25. Financial power laws: Empirical evidence, models, and mechanism. (2006). Lux, Thomas.
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26. A minimal noise trader model with realistic time series properties. (2006). Lux, Thomas ; Alfarano, Simone.
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27. Impact of investor’s varying risk aversion on the dynamics of asset price fluctuations. (2006). Chen, Kan ; Yuan, Baosheng.
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28. Symbiosis in the Bak–Sneppen model for biological evolution with economic applications. (2006). Bartolozzi, M. ; Leinweber, D. B. ; Thomas, A. W..
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