References

This folder holds the following references to publications, sorted by year and author.

There are 30 references in this bibliography folder.

Bacry, E, Delattre, S, Hoffmann, M, and Muzy, J (2012).
Modeling microstructure noise with mutually exciting point processes
Quantitative Finance.

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

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

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

Toke, IM (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.

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Unpublished.

Bouchaud, J, Farmer, JD, 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.

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

Bowsher, C (2007).
Modelling security market events in continuous time: Intensity based, multivariate point process models
Journal of Econometrics, 141(2):876–912.

Large, J (2007).
Measuring the resiliency of an electronic limit order book
Journal of Financial Markets, 10(1):1–25.

Hewlett, P (2006).
Clustering of order arrivals, price impact and trade path optimisation
In: Workshop on Financial Modeling with Jump processes, Ecole Polytechnique.

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

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

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

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

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

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

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

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

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

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

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.

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

Hawkes, (1971).
Spectra of some self-exciting and mutually exciting point processes
Biometrika, 58(1):83 –90.

No names specified ().

PhD thesis.