Optimal split of orders across liquidity pools: a stochastic algorithm approach

Optimal trade execution and price manipulation in order books with time-varying liquidity

Optimal Trade Execution in Illiquid Markets

Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method

Optimizing a basket against the efficient market hypothesis

Order book dynamics in liquid markets: limit theorems and diffusion approximations

Order flow dynamics around extreme price changes on an emerging stock market

Outsider Trading

Patience and Impatience of Stock Traders

Perturbation theory in a pure exchange non-equilibrium economy

Phenomenology of minority games in efficient regime

Pollution permits, Strategic Trading and Dynamic Technology Adoption

Portfolio liquidation in dark pools in continuous time

Predator-Prey Model for Stock Market Fluctuations

Price dynamics in a Markovian limit order market

Price dynamics in financial markets: a kinetic approach

Price Impact

Price impact asymmetry of institutional trading in Chinese stock market

Price Jump Prediction in Limit Order Book

Rational Expectations, psychology and inductive learning via moving thresholds