References for Journalarticle economics

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Number of references: 24

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Bouchaud, J.-P., Farmer, J., and Lillo, F. (2009). How markets slowly digest changes in supply and demand. In: Handbook of financial markets: dynamics and evolution, ed. by Thorsten Hens and Klaus Reiner Schenk-Hoppe, pp. 57–160, Elsevier, North-Holland.

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Bremaud, P. (1981). Point processes and queues, martingale dynamics. Springer-Verlag New York Inc.

Bremaud, P., and Massoulie, L. (1996). Stability of nonlinear Hawkes processes. The Annals of Probability, 24(3):1563-1588.

Chakraborti, A., Toke, I., Patriarca, M., and Abergel, F. (2011). Econophysics Review I: Empirical facts. Quantitative Finance, 7:991–1012.

Chakraborti, A., Toke, I., Patriarca, M., and Abergel, F. (2011). Econophysics Review II: Agent-based models. Quantitative Finance, 7:1013–1041.

Daley, D.J., and Vere-Jones, D. (2003). An introduction to the theory of point processes. Springer, vol. I : Elementary Theory and Methods, 2nd ed.

Eisler, Z., Bouchaud, J.-P., and Kockelkoren, J. (2012). The price impact of order book events: market orders, limit orders and cancellations. Quantitative Finance, .

Hautsch, N. (2004). Modelling irregularly spaced financial data: Theory & practice of dynamic duration models. Springer-Verlag Berlin and Heidelberg.

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Hawkes, A.G., and Oakes, D. (1974). A cluster process representation of a self-exciting process. Journal of Applied Probability, 11(3):493–503.

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Lewis, P.A.W, and Shedler, G.S. (1979). Simulation of nonhomogeneous poisson processes by thinning. Naval Research Logistics Quarterly, 26(3):403–413.

Lillo, F., and Farmer, J.D. (2004). The long memory of the efficient market. Studies in Nonlinear Dynamics & Econometrics, 8(3):1.

Mike, S., and Farmer, J.D. (2008). An empirical behavioral model of liquidity and volatility. Journal of Economic Dynamics and Control, 32(1):200–234.

Moller, J., and Rasmussen, J.G. (2005). Perfect simulation of Hawkes processes. Advances in Applied Probability, 37(3):629-646.

Ogata, Y. (1978). The asymptotic behaviour of maximum likelihood estimators for stationary point processes. Annals of the Institute of Statistical Mathematics, 30(1):243–261.

Ogata, Y. (1981). On Lewis' simulation method for point processes. IEEE Transactions on Information Theory, 27(1):23–31.

Ogata, Y. (1988). Statistical models for earthquake occurrences and residual analysis for point processes. Journal of the American Statistical Association, 83(401):9–27.

Ozaki, T. (1979). Maximum likelihood estimation of Hawkes' self-exciting point processes. Annals of the Institute of Statistical Mathematics, 31(1):145–155.

Pomponio, F., and Abergel, F. (2010). Trade-throughs: Empirical facts – Application to lead-lag measures. Unpublished.

Toke, I. (2011). Market making" in an order book model and its impact on the bid-ask sprea. In: Econophysics of Order-Driven Markets, ed. by Abergel, F. and Chakrabarti, B.K. and Chakraborti, A. and Mitra, M., pp. 49-64, Springer-Verlag Milan. New Economic Windows.