1. Modeling metaorder impact with a Non-Markovian Zero Intelligence model. (2025). Ravagnani, Adele ; Lillo, Fabrizio.
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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. Dealer Strategies in Agent-Based Models. (2023). Ostrovsky, Wladimir.
   In: Papers.
   RePEc:arx:papers:2312.05943.

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4. A Finite Difference Scheme for Pairs Trading with Transaction Costs. (2022). Li, Zequn ; Tourin, Agnes.
   In: Computational Economics.
   RePEc:kap:compec:v:60:y:2022:i:2:d:10.1007_s10614-021-10159-w.

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5. 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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6. 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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7. On Optimal Pricing Model for Multiple Dealers in a Competitive Market. (2019). Siu, Tak Kuen ; Ching, Wai-Ki ; Yang, Qing-Qing ; Gu, Jia-Wen.
   In: Computational Economics.
   RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9749-6.

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8. Understanding Financial Market States Using an Artificial Double Auction Market. (2016). Kim, Seung Hwan ; Yim, Kyubin ; Oh, Gabjin.
   In: PLOS ONE.
   RePEc:plo:pone00:0152608.

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9. Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?. (2015). Havran, Dániel ; Varadi, Kata.
   In: CERS-IE WORKING PAPERS.
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10. The order book as a queueing system: average depth and influence of the size of limit orders. (2013). Toke, Ioane Muni.
    In: Working Papers.
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11. Characterizing limit order prices. (2013). Crack, Timothy Falcon ; Withanawasam, R. M. ; Whigham, P. A..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:21:p:5346-5355.

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12. The Budapest liquidity measure and the price impact function. (2012). Váradi, Kata ; Lublóy, Ágnes ; Varadi, Kata ; Gyarmati, akos ; Lubloy, Agnes.
    In: MPRA Paper.
    RePEc:pra:mprapa:40339.

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13. Virtuális árhatás a Budapesti Értéktőzsdén. (2012). Váradi, Kata ; Lublóy, Ágnes ; Varadi, Kata ; Gyarmati, akos ; Lubloy, Agnes.
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
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14. Optimal execution and price manipulations in time-varying limit order books. (2012). Acevedo, Jose Infante ; Alfonsi, Aurelien.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00687193.

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15. Price jump detection in limit order book. (2012). Abergel, Frederic ; Moulines, Eric ; Zheng, Ban.
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16. Agent-Based Modelling for Financial Markets. (2012). Iori, Giulia ; Porter, J..
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17. Calibration of optimal execution of financial transactions in the presence of transient market impact. (2012). Lillo, Fabrizio ; Busseti, Enzo.
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18. Optimal execution and price manipulations in time-varying limit order books. (2012). Jos'e Infante Acevedo, ; Alfonsi, Aur'Elien.
    In: Papers.
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19. Price Jump Prediction in Limit Order Book. (2012). Fr'ed'eric Abergel, ; Moulines, Eric ; Zheng, Ban.
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20. Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic.
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21. Memory effects in stock price dynamics: evidences of technical trading. (2011). Cristelli, Matthieu ; Pietronero, Luciano ; Garzarelli, Federico ; Zaccaria, Andrea.
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22. The Price Impact of Order Book Events. (2011). Stoikov, Sasha ; Cont, Rama ; Kukanov, Arseniy.
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23. Optimal trade execution and absence of price manipulations in limit order book models. (2010). Schied, Alexander ; Alfonsi, Aurelien.
    In: Post-Print.
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24. 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..
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25. Executing large orders in a microscopic market model. (2010). Weiss, Alexander.
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26. Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aur'Elien ; Schulz, Antje .
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27. Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten.
    In: Finance and Stochastics.
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28. Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2008). Schied, Alexander ; Schöneborn, Torsten ; Schoeneborn, Torsten .
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29. An empirical behavioral model of liquidity and volatility. (2008). Farmer, J. ; Mike, Szabolcs .
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30. Optimal Portfolio Liquidation for CARA Investors. (2007). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten.
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31. Self-referential behaviour, overreaction and conventions in financial markets. (2007). Wyart, Matthieu ; Bouchaud, Jean-Philippe.
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32. Short-term market reaction after extreme price changes of liquid stocks. (2006). Kertesz, Janos ; Andor, Gyorgy ; Zawadowski, dam G..
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33. Random walks, liquidity molasses and critical response in financial markets. (2006). Potters, Marc ; Kockelkoren, Julien ; Bouchaud, Jean-Philippe.
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34. Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets. (2005). Zhou, Wei-Xing ; Sornette, Didier.
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35. A piecewise linear model for trade sign inference. (2004). Coggins, Richard ; Blazejewski, Adam .
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36. A local non-parametric model for trade sign inference. (2004). Coggins, Richard ; Blazejewski, Adam .
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37. Random walks, liquidity molasses and critical response in financial markets. (2004). Potters, Marc ; Kockelkoren, Julien ; Bouchaud, Jean-Philippe.
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38. A steady-state model of the continuous double auction. (2003). Luckock, Hugh .
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39. Fluctuations and response in financial markets: the subtle nature of `random price changes. (2003). Potters, Marc ; Gefen, Yuval ; Wyart, Matthieu ; Bouchaud, Jean-Philippe.
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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.
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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.
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3. Clustering Financial Time Series: How Long is Enough?. (2016). Nielsen, Frank ; Andler, Sebastien ; Donnat, Philippe ; Marti, Gautier.
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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.
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5. Phase Transition in the S&P Stock Market. (2015). Raddant, Matthias ; Wagner, Friedrich.
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6. TVICA—Time varying independent component analysis and its application to financial data. (2014). Chen, Ying ; Hardle, Wolfgang K..
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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.
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8. Are crude oil spot and futures prices cointegrated? Not always!. (2013). Wang, Yudong ; Wu, Chongfeng.
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9. Multifractality and long memory of a financial index. (2013). Pablo Su'arez-Garc'ia, ; David G'omez-Ullate, .
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10. THE STYLIZED FACTS OF ASSET RETURNS AND THEIR IMPACT ON VALUE-AT-RISK MODELS. (2012). Iorgulescu, Filip ; Filip, IORGULESCU .
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11. A simple microstructure return model explaining microstructure noise and Epps effects. (2012). Sornette, D. ; Saichev, A..
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12. A Note on institutional hierarchy and volatility in financial markets. (2011). Raddant, Matthias ; Milaković, Mishael ; Alfarano, Simone.
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13. Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach. (2010). Necula, Ciprian.
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14. On the impossibility of fair risk allocation. (2010). Pintér, Miklós ; Csóka, Péter ; Csoka, Peter ; Pinter, Miklos.
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15. Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?. (2010). Kerbl, Stefan.
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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.
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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 .
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18. R/S analysis and DFA: finite sample properties and confidence intervals. (2009). Krištoufek, Ladislav.
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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.
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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.
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21. Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models. (2009). .
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22. Heuristic Optimisation in Financial Modelling. (2009). Schumann, Enrico ; Gilli, Manfred.
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23. Value at Risk: A Comparative Analysis. (2009). Iorgulescu, Filip.
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24. Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme. (2009). Takaishi, Tetsuya.
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25. Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme. (2009). Takaishi, Tetsuya.
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26. An Adaptive Markov Chain Monte Carlo Method for GARCH Model. (2009). Takaishi, Tetsuya.
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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.
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28. The ups and downs of the renormalization group applied to financial time series. (2008). Peirano, Pier Paolo ; Challet, Damien.
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29. Volatility Effects on the Escape Time in Financial Market Models. (2008). Valenti, Davide ; Spagnolo, Bernardo.
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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..
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31. Financial Time Series Analysis of SV Model by Hybrid Monte Carlo. (2008). Takaishi, Tetsuya.
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32. An introduction to L\{e}vy processes with applications in finance. (2008). Papapantoleon, Antonis.
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33. Forecasting volatility: Evidence from the Macedonian stock exchange. (2007). Kovačić, Zlatko ; Kovai, Zlatko .
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34. The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance. (2007). Ferrari, Davide.
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35. The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance. (2007). Paterlini, Sandra ; Ferrari, Davide.
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36. Three Minimal Market Institutions: Theory and Experimental Evidence. (2007). Sunder, Shyam ; Huber, Juergen.
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37. Correlation of coming limit price with order book in stock markets. (2007). Maskawa, Jun-Ichi.
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38. The value of information in financial markets: An agent-based simulation. (2007). Scalas, Enrico ; Toth, Bence.
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39. Multifractality in the Random Parameters Model. (2007). Neto, Camilo Rodrigues ; Andr' e C. R. Martins, .
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40. The Process of price formation and the skewness of asset returns. (2006). Reimann, Stefan.
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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.
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42. The Process of price formation and the skewness of asset returns. (2006). Reimann, Stefan.
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43. Heterogeneous Agent Models in Economics and Finance. (2005). Hommes, Cars.
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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.
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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.
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46. Multifractal model of asset returns with leverage effect. (2004). Eisler, Zoltan ; Kertesz, Janos.
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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.
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48. Statistical analysis of financial time series under the assuption of local stationarity. (2003). Skander, S. ; Stephan, C..
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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.
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50. On the distribution of stock-market returns - Implications of Evolutionary Finance. (). Reimann, Stefan.
    In: IEW - Working Papers.
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