"Market making" behaviour in an order book model and its impact on the bid-ask spread
A drift formulation of Gresham's Law
A limit order book model for latency arbitrage
A Mathematical Approach to Order Book Modeling
A model for a large investor trading at market indifference prices. I: single-period case
A model for a large investor trading at market indifference prices. II: continuous-time case
A model for interevent times with long tails and multifractality in human communications: An application to financial trading
A model of subjective supply-demand: the maximum Boltzmann/Shannon entropy solution
A Multi Agent Model for the Limit Order Book Dynamics
A new formulation of asset trading games in continuous time with essential forcing of variation exponent
A non-linear model of trading mechanism on a financial market
A note on the theory of fast money flow dynamics
A projected gradient dynamical system modeling the dynamics of bargaining
A queueing theory description of fat-tailed price returns in imperfect financial markets
A Security Price Volatile Trading Conditioning Model
A simple microstructure return model explaining microstructure noise and Epps effects
A Unified Framework for Dynamic Pari-Mutuel Information Market Design
Activity spectrum from waiting-time distribution
Adaptive Expectations, Confirmatory Bias, and Informational Efficiency
Adaptive networks of trading agents