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Financial Brownian particle in the critical order book fluid and Fluctuation-Dissipation theorems
16 references·0 citing·44 second hop
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 1900Théorie de la spéculation2,702 cited
  • 2007Empirical Market Microstructure540 cited
  • 2002Market force, ecology and evolution482 cited
  • 2003Master curve for price-impact function453 cited
  • 2013The Price Impact of Order Book Events399 cited
  • 1997Price variations in a stock market with many agents398 cited
  • 1998A Langevin approach to stock market fluctuations and crashes381 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes370 cited
  • 2000Simple model of a limit order-driven market233 cited
  • 2005Order book approach to price impact169 cited
  • 2002Oscillatory finite-time singularities in finance, population and rupture141 cited
  • 2001Analyzing and modeling 1+1d markets138 cited
  • 1992Statistical properties of deterministic threshold elements — the case of market price118 cited
  • 2006Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?

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