Minimal Agent Based Model for Financial Markets II: Statistical Properties of the Linear and Multiplicative Dynamics
Minimal Agent Based Model For The Origin And Self-Organization Of Stylized Facts In Financial Markets
Modeling interaction of trading volume in financial dynamics
Modeling microstructure noise with mutually exciting point processes
Modelling savings behavior of agents in the kinetic exchange models of market
Models for the impact of all order book events
Multi-market minority game: breaking the symmetry of choice
Multifractal regime transition in a modified minority game model
Multistep Bayesian strategy in coin-tossing games and its application to asset trading games in continuous time
Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data
On a stochastic differential equation arising in a price impact model
On Financial Markets Based on Telegraph Processes
On information efficiency and financial stability
Optimal execution and price manipulations in time-varying limit order books
Optimal Execution Problem for Geometric Ornstein-Uhlenbeck Price Process
Optimal Execution Problem with Market Impact
Optimal execution strategies in limit order books with general shape functions
Optimal High Frequency Trading with limit and market orders
Optimal Portfolio Liquidation with Limit Orders
Optimal posting distance of limit orders: a stochastic algorithm approach