1. Neural stochastic agent‐based limit order book simulation with neural point process and diffusion probabilistic model. (2024). Shi, Zijian ; Cartlidge, John.
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2. Modelling crypto markets by multi-agent reinforcement learning. (2024). Vrizzi, Stefano ; Palminteri, Stefano ; Lussange, Johann ; Gutkin, Boris.
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3. Stock Price Formation: Precepts from a Multi-Agent Reinforcement Learning Model. (2023). Bourgeois-Gironde, Sacha ; Vrizzi, Stefano ; Palminteri, Stefano ; Lussange, Johann ; Gutkin, Boris.
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4. Deep Calibration of Market Simulations using Neural Density Estimators and Embedding Networks. (2023). Chen, Tao ; Baggott, Rory ; Vytelingum, Perukrishnen ; Stillman, Namid R ; Lyon, Justin ; Zhang, Jianfei ; Zhu, Dingqiu.
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5. Neural Stochastic Agent-Based Limit Order Book Simulation: A Hybrid Methodology. (2023). Shi, Zijian ; Cartlidge, John.
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6. Optimal trend following portfolios. (2022). Valeyre, Sebastien.
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7. Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ΔCoVaR risk metric‐based copula approach. (2021). Yoon, Seong-Min ; Shahzad, Syed Jawad Hussain ; Mensi, Walid ; Hussain, Syed Jawad ; Alyahyaee, Khamis Hamed.
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8. Modelling Stock Markets by Multi-agent Reinforcement Learning. (2021). Bourgeois-Gironde, Sacha ; Lussange, Johann ; Lazarevich, Ivan ; Gutkin, Boris ; Palminteri, Stefano.
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9. Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data. (2021). Baum, Christopher ; Zerilli, Paola ; Chen, Liyuan.
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   RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319302622.

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10. Evaluation of forecasting methods from selected stock market returns. (2019). Mallikarjuna, Mejari ; Rao, Prabhakara R.
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11. Development of an agent-based speculation game for higher reproducibility of financial stylized facts. (2019). Chen, YU ; Katahira, Kei ; Okuda, Hiroshi ; Hashimoto, Gaku.
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12. Development of an agent-based speculation game for higher reproducibility of financial stylized facts. (2019). Chen, YU ; Katahira, Kei ; Okuda, Hiroshi ; Hashimoto, Gaku.
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13. Market-making strategy with asymmetric information and regime-switching. (2018). Siu, Tak Kuen ; Ching, Wai-Ki ; Yang, Qing-Qing ; Gu, Jia-Wen.
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14. Why Markets are Inefficient: A Gambling Theory of Financial Markets For Practitioners and Theorists. (2018). Moffitt, Steven D.
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15. A detailed heterogeneous agent model for a single asset financial market with trading via an order book. (2017). Navarro, Roberto Mota ; Larralde, Hernan.
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16. Traders’ behavioral coupling and market phase transition. (2017). Zhang, Yin ; Ma, Rong ; Li, Honggang.
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17. Random matrix application to correlations amongst the volatility of assets. (2016). Xu, Dinghai ; Singh, Ajay.
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18. A detailed heterogeneous agent model for a single asset financial market with trading via an order book. (2016). Navarro, Roberto Mota ; Ridaura, Hern'An Larralde .
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19. Asset Pricing Under Ambiguity and Heterogeneity. (2015). Zhai, Qi Nan.
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20. Statistical properties of short-selling and margin-trading activities and their impacts on returns in the Chinese stock markets. (2015). Gao, Yao.
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21. Leverage effect in energy futures. (2014). Krištoufek, Ladislav.
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22. Processes for stocks capturing their statistical properties from one day to one year. (2014). Fernandez, Luis ; Zumbach, Gilles ; Weber, Caroline.
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23. Leverage effect in energy futures. (2014). Krištoufek, Ladislav.
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24. Agent-based model with asymmetric trading and herding for complex financial systems. (2014). Chen, Jie ; Tan, Lei ; Zheng, BO.
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25. Leverage effect in energy futures. (2014). Krištoufek, Ladislav ; Kristoufek, Ladislav.
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26. Agent-Based Model with Asymmetric Trading and Herding for Complex Financial Systems. (2013). Tan, Lei ; Chen, Jun-Jie ; Zheng, BO.
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27. Universal price impact functions of individual trades in an order-driven market. (2012). Zhou, Wei-Xing.
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28. Detecting market crashes by analysing long-memory effects using high-frequency data. (2012). M. P. Beccar Varela, ; SenGupta, I. ; Florescu, I. ; Barany, E..
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29. Stylized facts of CO2 returns. (2012). Martinez, Vicente Medina ; TORNERO, aNGEL PARDO .
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30. On interrelations of recurrences and connectivity trends between stock indices. (2012). Marwan, N. ; Kurths, J. ; Ambika, G. ; Goswami, B..
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31. Parametric inference and forecasting in continuously invertible volatility models. (2011). Cai, Sixiang ; Wintenberger, Olivier.
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32. On interrelations of recurrences and connectivity trends between stock indices. (2011). Marwan, N. ; Kurths, J. ; Ambika, G. ; Goswami, B..
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33. A study about the existence of the leverage effect in stochastic volatility models. (2009). Florescu, Ionu ; Psric, Cristian Gabriel .
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34. Universal price impact functions of individual trades in an order-driven market. (2008). Zhou, Wei-Xing.
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35. Statistical properties of daily ensemble variables in the Chinese stock markets. (2007). Zhou, Wei-Xing ; Gu, Gao-Feng.
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36. Multifractal model of asset returns with leverage effect. (2004). Eisler, Z. ; Kertesz, J..
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37. Multifractal model of asset returns with leverage effect. (2004). Eisler, Zoltan ; Kertesz, Janos.
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1. Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data. (2021). Baum, Christopher ; Zerilli, Paola ; Chen, Liyuan.
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2. Conditional Correlations and Principal Regression Analysis for Futures. (2020). Benichou, Raphael ; Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Karami, Armine.
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3. A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. (2018). Endres, Sylvia ; Stubinger, Johannes.
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4. An agent-based model of intra day financial markets dynamics. (2018). Staccioli, Jacopo ; Napoletano, Mauro.
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5. Complexity analysis based on generalized deviation for financial markets. (2018). Shang, Pengjian ; Li, Chao.
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6. Market-making strategy with asymmetric information and regime-switching. (2018). Siu, Tak Kuen ; Ching, Wai-Ki ; Yang, Qing-Qing ; Gu, Jia-Wen.
   In: Journal of Economic Dynamics and Control.
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7. Traders’ behavioral coupling and market phase transition. (2017). Zhang, Yin ; Ma, Rong ; Li, Honggang.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:486:y:2017:i:c:p:618-627.

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8. Emerging trends in evolving networks: Recent behaviour dominant and non-dominant model. (2017). Abbasi, Alireza ; Luo, Xin ; Shang, Mingsheng.
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9. Localized motion in random matrix decomposition of complex financial systems. (2017). Jiang, Xiong-Fei ; Qiu, Tian ; Ren, Fei ; Zheng, BO.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:471:y:2017:i:c:p:154-161.

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10. Do investors trade too much? A laboratory experiment. (2017). Massaro, Domenico ; Hommes, Cars ; Challet, Damien ; da Gama, Joo ; Bouchaud, Jean-Philippe.
    In: Journal of Economic Behavior & Organization.
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11. A Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries. (2017). Stengos, Thanasis ; Ozturk, Serda S.
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12. Distributions of Historic Market Data - Stock Returns. (2017). Liu, Zhiyuan ; Serota, R A ; Moghaddam, Dashti M.
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13. New approaches in agent-based modeling of complex financial systems. (2017). Li, Y ; Jiang, X F ; Chen, T T ; Zheng, B.
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14. Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes. (2017). Chatterjee, Swarnankur.
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15. DAY-OF-THE-WEEK EFFECT IN US BIOTECHNOLOGY STOCKS — DO POLICY CHANGES AND ECONOMIC CYCLES MATTER?. (2016). Chatterjee, Swarnankur ; Hubble, Amy.
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16. Trading Heterogeneity Under Information Uncertainty. (2016). Zheng, Huanhuan.
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17. Trading heterogeneity under information uncertainty. (2016). Zheng, Huanhuan.
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18. A nonparametric test of a strong leverage hypothesis. (2016). Whang, Yoon-Jae ; LINTON, OLIVER ; Yen, Yu-Min.
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19. Should employers pay their employees better? An asset pricing approach. (2016). Aboura, Sofiane ; Valeyre, Sebastien ; Liu, Qian ; Bonnin, Francois ; Grebenkov, Denis.
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20. Leverage Effect in country betas and volatilities?. (2015). Ülkü, Numan ; Ulku, Numan ; Synyavska, Alina .
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21. Stochastic volatility and leverage: Application to a panel of S&P500 stocks. (2015). Richard, Jean-Francois ; Ozturk, Serda.
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22. Inferring Volatility in the Heston Model and its Relatives -- an Information Theoretical Approach. (2015). Pfante, Oliver ; Bertschinger, Nils.
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23. Do investors trade too much? A laboratory experiment. (2015). Massaro, Domenico ; Hommes, Cars ; Challet, Damien ; da Gama, Joao ; Bouchaud, Jean-Philippe.
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24. An asymmetric ARCH model and the non-stationarity of Clustering and Leverage effects. (2015). Li, Xin ; Tolmasky, Carlos F.
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25. Agent-based model with multi-level herding for complex financial systems. (2015). Tan, Lei ; Chen, Jun-Jie ; Zheng, BO.
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26. Research on the evolution of stock correlation based on maximal spanning trees. (2014). Chen, Yanhua ; Zhu, Xueshuai ; Li, Qian ; Deng, Qiangqiang ; Yang, Chunxia.
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27. Leverage effect in energy futures. (2014). Krištoufek, Ladislav.
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28. Agent-based model with asymmetric trading and herding for complex financial systems. (2014). Chen, Jie ; Tan, Lei ; Zheng, BO.
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29. Leverage effect in energy futures. (2014). Krištoufek, Ladislav ; Kristoufek, Ladislav.
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30. Time-reversal asymmetry in financial systems. (2013). Jiang, X. F. ; Chen, T. T. ; Zheng, B..
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31. Stylized facts of CO2 returns. (2012). Martinez, Vicente Medina ; TORNERO, aNGEL PARDO .
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32. Estimating the Leverage Effect Using High Frequency Data. (2012). Russi, Guido .
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33. The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations. (2011). Hatemi-J, Abdulnasser ; Irandoust, Manuchehr ; Hatemi-J, Abdulnasser, .
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34. Principal regression analysis and the index leverage effect. (2011). Allez, Romain ; Reigneron, Pierre-Alain ; Bouchaud, Jean-Philippe.
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35. Market panic on different time-scales. (2010). Hassid, Yoan ; Borland, Lisa.
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36. A study about the existence of the leverage effect in stochastic volatility models. (2009). Florescu, Ionu ; Psric, Cristian Gabriel .
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37. Statistical properties of daily ensemble variables in the Chinese stock markets. (2007). Zhou, Wei-Xing ; Gu, Gao-Feng.
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38. The Dynamics of Financial Markets -- Mandelbrots multifractal cascades, and beyond. (2005). Borland, Lisa ; Bouchaud, Jean-Philippe ; Muzy, Jean-Francois ; Zumbach, Gilles.
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39. On a multi-timescale statistical feedback model for volatility fluctuations. (2005). Borland, L. ; J. -Ph. Bouchaud, .
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40. Application of the heston and hull-white models to german dax data. (2004). Mahnke, Reinhard ; Remer, Ralf .
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41. Robust tests of the random walk hypothesis. (2004). Reschenhofer, Erhard.
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42. LARCH, Leverage, and Long Memory. (2004). Giraitis, Liudas.
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43. Multifractal model of asset returns with leverage effect. (2004). Eisler, Z. ; Kertesz, J..
    In: Physica A: Statistical Mechanics and its Applications.
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44. Fearless versus fearful speculative financial bubbles. (2004). Andersen, J. V. ; Sornette, D..
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45. LARCH, Leverage and Long Memory. (2003). Leipus, Remigijus ; Robinson, Peter M ; Giraitis, Liudas ; Surgailis, Donatas.
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46. An introduction to statistical finance. (2002). Bouchaud, Jean-Philippe.
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47. An introduction to statistical finance. (2002). Bouchaud, Jean-Philippe.
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