The distribution of first-passage times and durations in FOREX and future markets
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
The limit order book on different time scales
The Minimal Model of Financial Complexity
The nature of price returns during periods of high market activity
The Price Impact of Order Book Events
The price impact of order book events: market orders, limit orders and cancellations
The scale of market quakes
The slippage paradox
The Stock Market as a Game: An Agent Based Approach to Trading in Stocks
The string prediction models as application to financial forex market
The value of information in financial markets: An agent-based simulation
Time Consistent Dynamic Limit Order Books Calibrated on Options
Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
Trading activity as driven Poisson process: comparison with empirical data
Trading leads to scale-free self-organization
Transition from Exponential to Power Law Distributions in a Chaotic Market
Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior