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year = {2012},
URL = {http://www.tandfonline.com/doi/abs/10.1080/14697688.2011.647054},
journal = {Quantitative Finance},
note = {Forthcoming}
}
@Incollection{bouchaud\_markets\_digest,
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year = {2009},
booktitle = {Handbook of financial markets: dynamics and evolution},
editor = {Thorsten Hens and Klaus Reiner Schenk-Hoppe},
publication\_type = {type},
publisher = {Elsevier, North-Holland},
pages = {57{--}160}
}
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author = {Bowsher, C.G},
title = {Modelling security market events in continuous time: Intensity based, multivariate point process models},
year = {2007},
month = {dec},
URL = {http://ideas.repec.org/a/eee/econom/v141y2007i2p876-912.html},
journal = {Journal of Econometrics},
volume = {141},
number = {2},
pages = {876{--}912}
}
@Book{Bremaud1981,
author = {Bremaud, P},
title = {Point processes and queues, martingale dynamics},
year = {1981},
month = {oct},
publisher = {Springer-Verlag New York Inc.}
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author = {Bremaud, P and Massoulie, L},
title = {Stability of nonlinear Hawkes processes},
year = {1996},
URL = {http://www.jstor.org/stable/2244985},
abstract = {We address the problem of the convergence to equilibrium of a general class of point processes, containing, in particular, the nonlinear mutually exciting point processes, an extension of the linear Hawkes processes, and give general conditions guaranteeing the existence of a stationary version and the convergence to equilibrium of a nonstationary version, both in distribution and in variation. We also give a new proof of a result of Kerstan concerning point processes with bounded intensity and general nonlinear dynamics satisfying a Lipschitz condition.},
journal = {The Annals of Probability},
volume = {24},
number = {3},
pages = {1563-1588},
issn = {00911798}
}
@Article{Chakraborti2011a,
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title = {Econophysics Review I: Empirical facts},
year = {2011},
URL = {http://www.mendeley.com/research/econophysics-review-i-empirical-facts/},
journal = {Quantitative Finance},
volume = {7},
pages = {991{--}1012},
note = {In press}
}
@Article{Chakraborti2011b,
author = {Chakraborti, A and Toke, I. Muni and Patriarca, M and Abergel, F},
title = {Econophysics Review II: Agent-based models},
year = {2011},
URL = {http://www.tandfonline.com/doi/abs/10.1080/14697688.2010.539249},
journal = {Quantitative Finance},
volume = {7},
pages = {1013{--}1041},
note = {In press}
}
@Book{DaleyVereJones,
author = {Daley, D.J and Vere-Jones, D},
title = {An introduction to the theory of point processes},
year = {2003},
publisher = {Springer},
edition = {2nd},
volume = {I : Elementary Theory and Methods}
}
@Article{Eisler2011,
author = {Eisler, Z and Bouchaud, J.-P and Kockelkoren, J},
title = {The price impact of order book events: market orders, limit orders and cancellations},
year = {2012},
URL = {http://arxiv.org/abs/0904.0900},
journal = {Quantitative Finance},
note = {Forthcoming}
}
@Book{Hautsch2004,
author = {Hautsch, N},
title = {Modelling irregularly spaced financial data: Theory \& practice of dynamic duration models},
year = {2004},
month = {apr},
publisher = {Springer-Verlag Berlin and Heidelberg}
}
@Article{Hawkes1971,
author = {Hawkes, .A.G},
title = {Spectra of some self-exciting and mutually exciting point processes},
year = {1971},
month = {apr},
URL = {http://www.jstor.org/stable/2334319},
journal = {Biometrika},
volume = {58},
number = {1},
pages = {83 {--}90}
}
@Article{Hawkes1974,
author = {Hawkes, A.G and Oakes, D},
title = {A cluster process representation of a self-exciting process},
year = {1974},
URL = {http://www.jstor.org/stable/10.2307/3212693},
journal = {Journal of Applied Probability},
volume = {11},
number = {3},
pages = {493{--}503}
}
@Conference{Hewlett2006,
author = {Hewlett, P},
title = {Clustering of order arrivals, price impact and trade path optimisation},
year = {2006},
URL = {http://www.mendeley.com/research/clustering-order-arrivals-price-impact-trade-path-optimisation/},
booktitle = {Workshop on Financial Modeling with Jump processes, Ecole Polytechnique}
}
@Article{Large2007,
author = {Large, J},
title = {Measuring the resiliency of an electronic limit order book},
year = {2007},
month = {feb},
URL = {http://ideas.repec.org/a/eee/finmar/v10y2007i1p1-25.html},
journal = {Journal of Financial Markets},
volume = {10},
number = {1},
pages = {1{--}25}
}
@Article{Lewis1979,
author = {Lewis, P.A.W and Shedler, G.S},
title = {Simulation of nonhomogeneous poisson processes by thinning},
year = {1979},
journal = {Naval Research Logistics Quarterly},
volume = {26},
number = {3},
pages = {403{--}413}
}
@Article{lillo\_long\_memory,
author = {Lillo, F and Farmer, J.D},
title = {The long memory of the efficient market},
year = {2004},
URL = {http://ideas.repec.org/a/bpj/sndecm/v8y2004i3n1.html},
journal = {Studies in Nonlinear Dynamics \& Econometrics},
volume = {8},
number = {3},
pages = {1}
}
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author = {Mike, S and Farmer, J.D},
title = {An empirical behavioral model of liquidity and volatility},
year = {2008},
month = {jan},
URL = {http://econpapers.repec.org/article/eeedyncon/v\_3a32\_3ay\_3a2008\_3ai\_3a1\_3ap\_3a200-234.htm},
journal = {Journal of Economic Dynamics and Control},
volume = {32},
number = {1},
pages = {200{--}234}
}
@Article{Moller2005,
author = {Moller, J and Rasmussen, J.G},
title = {Perfect simulation of Hawkes processes},
year = {2005},
URL = {http://www.jstor.org/stable/30037347},
abstract = {Our objective is to construct a perfect simulation algorithm for unmarked and marked Hawkes processes. The usual straightforward simulation algorithm suffers from edge effects, whereas our perfect simulation algorithm does not. By viewing Hawkes processes as Poisson cluster processes and using their branching and conditional independence structures, useful approximations of the distribution function for the length of a cluster are derived. This is used to construct upper and lower processes for the perfect simulation algorithm. A tail-lightness condition turns out to be of importance for the applicability of the perfect simulation algorithm. Examples of applications and empirical results are presented.},
journal = {Advances in Applied Probability},
volume = {37},
number = {3},
pages = {629-646},
issn = {00018678}
}
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author = {Toke, I. Muni},
title = {Market making" in an order book model and its impact on the bid-ask sprea},
year = {2011},
URL = {http://www.springerlink.com/content/x811111w104v5hk3/},
booktitle = {Econophysics of Order-Driven Markets},
editor = {Abergel, F. and Chakrabarti, B.K. and Chakraborti, A. and Mitra, M.},
pages = {49-64},
publisher = {Springer-Verlag Milan},
series = {New Economic Windows}
}
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author = {Ogata, Y},
title = {Statistical models for earthquake occurrences and residual analysis for point processes},
year = {1988},
month = {mar},
URL = {http://www.jstor.org/stable/2288914},
journal = {Journal of the American Statistical Association},
volume = {83},
number = {401},
pages = {9{--}27}
}
@Article{Ogata1981,
author = {Ogata, Y},
title = {On Lewis' simulation method for point processes},
year = {1981},
month = {jan},
URL = {http://ieeexplore.ieee.org/stamp/stamp.jsp?arnumber=01056305},
journal = {IEEE Transactions on Information Theory},
volume = {27},
number = {1},
pages = {23{--}31}
}
@Article{Ogata1978,
author = {Ogata, Y},
title = {The asymptotic behaviour of maximum likelihood estimators for stationary point processes},
year = {1978},
URL = {http://www.springerlink.com/content/247815u5w2407822/},
journal = {Annals of the Institute of Statistical Mathematics},
volume = {30},
number = {1},
pages = {243{--}261}
}
@Article{Ozaki1979,
author = {Ozaki, T},
title = {Maximum likelihood estimation of Hawkes' self-exciting point processes},
year = {1979},
URL = {http://www.springerlink.com/content/hr3q7667x3522235/},
journal = {Annals of the Institute of Statistical Mathematics},
volume = {31},
number = {1},
pages = {145{--}155}
}
@Unpublished{pomponio\_tt,
author = {Pomponio, F and Abergel, F},
title = {Trade-throughs: Empirical facts {--} Application to lead-lag measures},
year = {2010},
month = {October},
URL = {http://papers.ssrn.com/sol3/papers.cfm?abstract\_id=1694103}
}