References

• 2001Empirical properties of asset returns: stylized facts and statistical issues3,658 cited
• 1999Introduction to Econophysics1,919 cited
• 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
• 1999Scaling of the distribution of price fluctuations of individual companies539 cited
• 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets522 cited
• 1996The Asymptotic Distribution of Extreme Stock Market Returns510 cited
• 1996The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks400 cited
• 1997Price variations in a stock market with many agents398 cited
• 2000Statistical properties of share volume traded in financial markets320 cited
• 2000Modelling fluctuations of financial time series: from cascade process to stochastic volatility model301 cited
• 2000Simple model of a limit order-driven market233 cited
• 2001Price fluctuations from the order book perspective—empirical facts and a simple model153 cited
• 2001Analyzing and modeling 1+1d markets138 cited
• 2001Mean-field approximation for a limit order driven market model61 cited
• 2003