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2. Price response functions and spread impact in correlated financial markets. (2021). Guhr, Thomas ; Krause, Sebastian M ; Henao-Londono, Juan C.
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3. Foreign exchange markets: price response and spread impact. (2021). Guhr, Thomas ; Henao, Juan Camilo.
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4. Price response functions and spread impact in correlated financial markets. (2020). Guhr, Thomas ; Krause, Sebastian M ; Henao-Londono, Juan C.
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5. How spread changes affect the order book: Comparing the price responses of order deletions and placements to trades. (2018). Guhr, Thomas ; Grimm, Stephan.
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6. Shluková analýza skoků na kapitálových trzích. (2016). Kočenda, Evžen ; Hanousek, Jan ; Novotn, Jan ; Koenda, Even.
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7. The effects of a financial transaction tax in an artificial financial market. (2015). Fricke, Daniel ; Lux, Thomas.
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8. The effects of a financial transaction tax in an artificial financial market. (2013). Fricke, Daniel ; Lux, Thomas.
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9. Price Jump Indicators: Stock Market Empirics During the Crisis. (2013). Novotny, Jan ; Kočenda, Evžen ; Hanousek, Jan ; Koenda, Even.
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10. The fine-structure of volatility feedback I: multi-scale self-reflexivity. (2013). Chicheportiche, R'Emy ; Bouchaud, Jean-Philippe.
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11. Calibration of optimal execution of financial transactions in the presence of transient market impact. (2012). Lillo, Fabrizio ; Busseti, Enzo.
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12. How does the market react to your order flow?. (2012). Farmer, J. ; Eisler, Zoltan ; Kockelkoren, Julien ; Bouchaud, Jean-Philippe ; Lillo, Fabrizio ; Toth, Bence.
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13. The slippage paradox. (2011). Bohn, Steffen .
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14. The Identification of Price Jumps. (2011). Novotny, Jan ; Kočenda, Evžen ; Hanousek, Jan ; Kocenda, Evzen.
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15. 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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16. The slippage paradox. (2011). Bohn, Steffen .
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17. Were Stocks during the Financial Crisis More Jumpy: A Comparative Study. (2010). Novotny, Jan.
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18. Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis. (2010). Novotny, Jan.
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19. The nature of price returns during periods of high market activity. (2010). al Dayri, Khalil ; Muzy, Jean-Francois ; Bacry, Emmanuel.
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20. 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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21. Self-referential behaviour, overreaction and conventions in financial markets. (2007). Wyart, Matthieu ; Bouchaud, Jean-Philippe.
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22. 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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23. 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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1. INVESTORS SENTIMENT IN MULTI-AGENT MODEL OF THE CONTINUOUS DOUBLE AUCTION. (2016). Muzychka, Stepan ; Vaninsky, Kirill ; Lykov, Alexander.
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2. 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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3. A Semi-Markovian Modeling of Limit Order Markets. (2016). Vadori, Nelson ; Swishchuk, Anatoliy.
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4. Latency and liquidity provision in a limit order book. (2016). Gould, Martin ; Bonart, Julius.
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5. Quasi-Centralized Limit Order Books. (2016). Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D..
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6. Hydrodynamic limit of order book dynamics. (2016). Gao, Xuefeng ; Deng, S. J. ; Dai, J. G. ; Dieker, A. B..
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7. LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK. (2015). Abergel, Frederic ; Jedidi, Aymen.
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8. Long-Time Behavior of a Hawkes Process--Based Limit Order Book. (2015). Jedidi, Aymen ; Abergel, Frederic.
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9. Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book. (2015). Gould, Martin D ; Bonart, Julius.
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10. Optimum Liquidation Problem Associated with the Poisson Cluster Process. (2015). Vecer, J ; Sadoghi, A.
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11. Liquidity and Impact in Fair Markets. (2015). Jaisson, Thibault.
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12. Hawkes processes in finance. (2015). Muzy, Jean-Franccois ; Mastromatteo, Iacopo ; Bacry, Emmanuel.
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13. Stationary distribution of the volume at the best quote in a Poisson order book model. (2015). Toke, Ioane Muni.
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14. Stochastic simulation framework for the Limit Order Book using liquidity motivated agents. (2015). Peters, Gareth ; Panayi, Efstathios.
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15. Rock around the clock: an agent-based model of low- and high-frequency trading. (2014). Roventini, Andrea ; Napoletano, Mauro ; Fagiolo, Giorgio ; Leal, Sandrine Jacob.
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16. Exact and asymptotic solutions of the call auction problem. (2014). Toke, Ioane Muni.
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17. Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (2014). Jaisson, Thibault ; Muzy, Jean-Francois ; Bacry, Emmanuel.
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18. Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction. (2014). Ichiki, Shingo ; Nishinari, Katsuhiro.
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19. Exact and asymptotic solutions of the call auction problem. (2014). Toke, Ioane Muni.
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20. The adaptive nature of liquidity taking in limit order books. (2014). Bormetti, Giacomo ; Lillo, Fabrizio ; Taranto, Damian Eduardo.
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21. On Simulation of Various Effects in Consolidated Order Book. (2014). Vaninsky, K. L. ; Glekin, A. O. ; Lykov, A..
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22. Simulating and analyzing order book data: The queue-reactive model. (2014). LEHALLE, Charles-Albert ; Huang, Weibing ; Rosenbaum, Mathieu.
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23. Agent-based models for latent liquidity and concave price impact. (2014). Bouchaud, Jean-Philippe ; Mastromatteo, Iacopo ; Toth, Bence.
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24. Limit order books. (2013). Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark ; Fenn, Daniel J. ; Williams, Stacy.
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25. 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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26. A Mathematical Approach to Order Book Modelling. (2013). Jedidi, Aymen ; Abergel, Frederic.
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27. Price Dynamics in a Markovian Limit Order Market. (2013). De Larrard, Adrien ; Cont, Rama.
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28. Between complexity of modelling and modelling of complexity: An essay on econophysics. (2013). Schinckus, C..
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29. Dynamical Trading Mechanism in Limit Order Markets. (2013). Wang, Shilei.
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30. Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process. (2013). LEHALLE, Charles-Albert.
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31. Hawkes model for price and trades high-frequency dynamics. (2013). J. F Muzy, ; Bacry, E..
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32. Large tick assets: implicit spread and optimal tick size. (2013). Rosenbaum, Mathieu ; Dayri, Khalil .
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33. Order book dynamics in liquid markets: limit theorems and diffusion approximations. (2012). Cont, Rama ; De Larrard, Adrien .
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34. Order book dynamics in liquid markets: limit theorems and diffusion approximations. (2011). Cont, Rama ; De Larrard, Adrien .
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35. Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic.
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36. Zero-intelligence realized variance estimation. (2010). Oomen, Roel ; Gatheral, Jim.
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37. A Multi Agent Model for the Limit Order Book Dynamics. (2010). Bartolozzi, Marco .
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38. Statistical approach to partial equilibrium analysis. (2009). Wang, Yougui ; Stanley, H. E..
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39. The effects of behavioral and structural assumptions in artificial stock market. (2008). Liu, Xinghua ; Gregor, Shirley ; Yang, Jianmei.
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40. An empirical behavioral model of liquidity and volatility. (2008). Farmer, J. ; Mike, Szabolcs .
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41. Limit theorems in financial market models. (2007). Kuroda, Koji ; Murai, Joshin.
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42. Stock price fluctuations and the mimetic behaviors of traders. (2007). Maskawa, Jun-Ichi.
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43. Short-term market reaction after extreme price changes of liquid stocks. (2006). Kertesz, Janos ; Andor, Gyorgy ; Zawadowski, dam G..
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44. Random walks, liquidity molasses and critical response in financial markets. (2006). Potters, Marc ; Kockelkoren, Julien ; Bouchaud, Jean-Philippe.
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45. 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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46. Fat tails and multi-scaling in a simple model of limit order markets. (2006). Krause, Andreas.
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47. Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process. (2005). Smid, Martin.
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48. An empirical behavioral model of price formation. (2005). Farmer, J. ; Mike, Szabolcs .
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49. On the origin of power law tails in price fluctuations. (2004). Farmer, J. ; Lillo, Fabrizio.
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50. The Predictive Power of Zero Intelligence in Financial Markets. (2004). Zovko, Ilija ; Farmer, J. ; Patelli, Paolo .
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