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   In: Post-Print.
   RePEc:hal:journl:hal-04435238.

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2. High-frequency liquidity in the Chinese stock market: Measurements, patterns, and determinants. (2025). Zhang, Ruixun ; Dai, Yuehao ; Zhao, Chaoyi ; Wu, Lan ; Chen, Ermo.
   In: Pacific-Basin Finance Journal.
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3. Stochastic portfolio theory with price impact. (2025). Itkin, David.
   In: Papers.
   RePEc:arx:papers:2506.07993.

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4. A New Traders Game? -- Response Functions in a Historical Perspective. (2025). Schuhmann, Cedric ; Heckens, Anton J ; Kohler, Benjamin ; Guhr, Thomas.
   In: Papers.
   RePEc:arx:papers:2503.01629.

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5. High-Frequency Market Manipulation Detection with a Markov-modulated Hawkes process. (2025). Toke, Ioane Muni ; Fabre, Timoth'Ee.
   In: Papers.
   RePEc:arx:papers:2502.04027.

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6. Why is the estimation of metaorder impact with public market data so challenging?. (2025). Lillo, Fabrizio ; Rodikov, German ; Campigli, Francesco ; Bormetti, Giacomo ; Naviglio, Manuel.
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7. Optimal order execution under price impact: a hybrid model. (2024). Giacinto, Marina ; Wang, Tai-Ho ; Tebaldi, Claudio.
   In: Annals of Operations Research.
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8. Price impact in equity auctions: zero, then linear. (2024). Toke, Ioane Muni ; Challet, Damien ; Salek, Mohammed.
   In: Post-Print.
   RePEc:hal:journl:hal-03938660.

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9. A simple learning agent interacting with an agent-based market model. (2024). Gebbie, Tim ; Dicks, Matthew ; Paskaramoorthy, Andrew.
   In: Physica A: Statistical Mechanics and its Applications.
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10. Market price determination: Interpreting quote order imbalance under zero-profit equilibrium. (2024). Long, Yunshen ; Wu, Liang ; Yan, Jingzhou.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:134:y:2024:i:c:s0264999324000646.

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11. Reinforcement Learning for Optimal Execution when Liquidity is Time-Varying. (2024). Lillo, Fabrizio ; Macri, Andrea.
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    RePEc:arx:papers:2402.12049.

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12. Signature volatility models: pricing and hedging with Fourier. (2024). , Louis-Amand ; Jaber, Eduardo Abi.
    In: Papers.
    RePEc:arx:papers:2402.01820.

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13. Can Large Language Models Beat Wall Street? Unveiling the Potential of AI in Stock Selection. (2024). Metaxas, Konstantinos ; Soldatos, John ; Fatouros, Georgios ; Kyriazis, Dimosthenis.
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14. Price predictability at ultra-high frequency: Entropy-based randomness test. (2024). Marmi, Stefano ; Shternshis, Andrey.
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    RePEc:arx:papers:2312.16637.

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15. Application of spin glass ideas in social sciences, economics and finance. (2023). Nadal, Jean-Pierre ; Marsili, Matteo ; Bouchaud, Jean Philippe.
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    RePEc:hal:journl:hal-04145594.

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16. Response functions as a new concept to study local dynamics in traffic networks. (2023). Guhr, Thomas ; Wang, Shanshan ; Schreckenberg, Michael.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:626:y:2023:i:c:s0378437123006714.

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17. Application of spin glass ideas in social sciences, economics and finance. (2023). Nadal, Jean-Pierre ; Marsili, Matteo ; Bouchaud, Jean-Philippe.
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18. Optimal liquidation under indirect price impact with propagator. (2023). Dupret, Jean-Loup ; Hainaut, Donatien.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2023012.

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19. Market Impact: Empirical Evidence, Theory and Practice. (2022). Said, Emilio.
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20. Derivatives under market impact: Disentangling cost and information. (2022). Barigou, Karim ; Alimoradian, Behzad ; Eyraud-Loisel, Anne.
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21. The prediction of price gap anomaly in Chinese stock market: Evidence from the dependent functional logit model. (2022). Su, Zhifang ; Cui, Xin ; Li, Qifang ; Bao, Haohua ; Xu, Boyu.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000307.

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22. Stochastic chaos in chemical Lorenz system: Interplay of intrinsic noise and nonlinearity. (2022). Thounaojam, Umeshkanta Singh.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:165:y:2022:i:p1:s0960077922009420.

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23. Market Impact: Empirical Evidence, Theory and Practice. (2022). Said, Emilio.
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24. A subdiffusive stochastic volatility jump model. (2022). Dupret, Jean-Loup ; Hainaut, Donatien.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2022001.

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25. A Stationary Kyle Setup: Microfounding propagator models. (2021). Toth, Bence ; Vodret, Michele ; Benzaquen, Michael ; Mastromatteo, Iacopo.
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    RePEc:hal:journl:hal-03016486.

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26. A Stationary Kyle Setup: Microfounding propagator models. (2021). Vodret, Michele ; Benzaquen, Michael ; Mastromatteo, Iacopo.
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27. A Stationary Kyle Setup: Microfounding propagator models. (2020). Vodret, Michele ; Benzaquen, Michael ; Mastromatteo, Iacopo ; Toth, Bence.
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28. 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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29. Limit order trading with a mean reverting reference price. (2016). Ren, Weiluo ; Yang, Tzu-Wei ; Ahuja, Saran ; Papanicolaou, George.
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30. The effects of a financial transaction tax in an artificial financial market. (2015). Fricke, Daniel ; Lux, Thomas.
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31. The effects of a financial transaction tax in an artificial financial market. (2013). Fricke, Daniel ; Lux, Thomas.
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32. Grand canonical minority game as a sign predictor. (2013). Wojciech Wi'slicki, ; Wawrzyniak, Karol.
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33. The fine-structure of volatility feedback I: multi-scale self-reflexivity. (2013). Chicheportiche, R'Emy ; Bouchaud, Jean-Philippe.
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34. The times change: multivariate subordination. Empirical facts. (2012). Huth, Nicolas ; Abergel, Frederic.
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35. The times change: multivariate subordination, empirical facts. (2012). Abergel, Frederic ; Huth, Nicolas .
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36. Calibration of optimal execution of financial transactions in the presence of transient market impact. (2012). Lillo, Fabrizio ; Busseti, Enzo.
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37. Low order-value approach for solving VaR-constrained optimization problems. (2011). Kreji, N. ; Bueno, L. ; Martinez, J. ; Birgin, E..
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38. The Price Impact of Order Book Events. (2011). Stoikov, Sasha ; Cont, Rama ; Kukanov, Arseniy.
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39. The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2007). Perelló, Josep ; Iori, Giulia ; Perello, Josep.
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40. Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?. (2006). Gerig, Austin ; Farmer, J. ; Mike, Szabolcs ; Lillo, Fabrizio.
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42. The Predictive Power of Zero Intelligence in Financial Markets. (2004). Zovko, Ilija ; Farmer, J. ; Patelli, Paolo .
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44. A Further Re-Examination of the Contrarian Investment Strategy: Evidence from Multivariate Tests. (1993). Parks, Robert ; Chou, Pin-Huang.
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45. Valuation of Rescheduled Loans, 1978-1983: A Rational Expectations Approach. (1986). Ozler, Sule .
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46. How Government Bond Prices Reflect Wartime Events - The Case of the Stockholm Market. (). Waldenström, Daniel ; Frey, Bruno ; Waldenstrom, Daniel.
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47. Optimal Trading Strategy When Return Process is AR(1). (). Wei, LI ; Lam, Kin.
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48. Modelling Emerging Financial Markets and their Approach to Market Efficiency. (). Hall, Stephen ; Zelweska-Mitura, Anna.
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49. Asset prices in Chile: facts and fads.. (). Soto, Raimundo ; Morandé, Felipe ; Bergoeing, Raphael ; Morande, Felipe.
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50. Taxing on Housing: A Welfare Evaluation of the Spanish Personal Income Tax. (). Amigo Dobaño, Lucy ; Marcos Alvarez Díaz, ; Lucy Amigo Dobaño, ; Francisco Rodríguez de Prado, .
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