Reversible Markov Chains and Random Walks on Graphs, 2002. ,
Optimal execution strategies in limit order books with general shape functions, Quantitative Finance, vol.10, issue.2, pp.143-157, 2010. ,
DOI : 10.1080/14697680500244411
URL : https://hal.archives-ouvertes.fr/hal-00166969
Value under liquidation, Risk, 1999. ,
Optimal execution of portfolio transactions, The Journal of Risk, vol.3, issue.2, 2001. ,
DOI : 10.21314/JOR.2001.041
Optimal execution with nonlinear impact functions and trading-enhanced risk, Applied Mathematical Finance, vol.3, issue.1, 2003. ,
DOI : 10.3905/jpm.1992.409428
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.202.1753
Dealership market, Journal of Financial Economics, vol.8, issue.1, pp.31-53, 1980. ,
DOI : 10.1016/0304-405X(80)90020-3
A point process model for the high-frequency dynamics of a limit order book, Financial Engineering Report, pp.2010-2018, 2010. ,
Fractional brownian motion with H < 1/2 as a limit of scheduled traffic, 2011. ,
Forecasting prices from Level-I quotes in the presence of hidden liquidity, Algorithmic Finance, vol.1, pp.35-43, 2011. ,
Analysis of Models Reducible to a Class of Diffusion Processes in the Positive Quarter Plane, SIAM Journal on Applied Mathematics, vol.47, issue.6, pp.1367-1385, 1987. ,
DOI : 10.1137/0147090
Scaling limits for Hawkes processes and application to financial statistics, 2010. ,
Price variations in a stock market with many agents, Physica A: Statistical Mechanics and its Applications, vol.246, issue.3-4, pp.3-4, 1997. ,
DOI : 10.1016/S0378-4371(97)00401-9
A Limit Theorem for Financial Markets with Inert Investors, Mathematics of Operations Research, vol.31, issue.4, pp.33-54, 2006. ,
DOI : 10.1287/moor.1060.0202
LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY, Mathematical Finance, vol.5, issue.4, 2011. ,
DOI : 10.1111/j.1467-9965.2012.00529.x
Limit theorems for coupled continuous time random walks, Annals of Probability, vol.32, pp.730-756, 2004. ,
An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse, The Journal of Finance, vol.14, issue.5, pp.1655-1689, 1995. ,
DOI : 10.1111/j.1540-6261.1995.tb05192.x
Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, vol.31, issue.3, pp.307-327, 1986. ,
DOI : 10.1016/0304-4076(86)90063-1
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.161.7380
Common Persistence in Conditional Variances, Econometrica, vol.61, issue.1, pp.167-86, 1993. ,
DOI : 10.2307/2951782
Optimal Control of Trading Algorithms: A General Impulse Control Approach, SIAM Journal on Financial Mathematics, vol.2, issue.1, pp.404-438, 2011. ,
DOI : 10.1137/090777293
URL : https://hal.archives-ouvertes.fr/hal-00432203
Statistical properties of stock order books: empirical results and models, Quantitative Finance, vol.2, issue.4, p.251, 2002. ,
DOI : 10.1103/PhysRevE.62.R4493
URL : https://hal.archives-ouvertes.fr/hal-00002329
How markets slowly digest changes in supply and demand Handbook of Financial Markets: Dynamics and Evolution, pp.57-160, 2008. ,
Fluctuations and response in financial markets: the subtle nature of ???random??? price changes, Quantitative Finance, vol.62, issue.2, pp.176-190, 2003. ,
DOI : 10.1080/713665670
Strict Stationarity of Generalized Autoregressive Processes, The Annals of Probability, vol.20, issue.4, pp.1714-1730, 1992. ,
DOI : 10.1214/aop/1176989526
The opinion game: Stock price evolution from microscopic market modelling URL http, 2004. ,
Hydrodynamic limit for the A + B ? ? model, Markov Processes and Related Fields, vol.13, issue.3, pp.543-564, 2007. ,
Heavy Traffic Limits for Some Queueing Networks, The Annals of Applied Probability, vol.11, issue.1, pp.49-88, 2001. ,
DOI : 10.1214/aoap/998926987
High frequency trading and its impact on market liquidity, 2010. ,
Measuring market impact and liquidity, AlternativeEdge Research Note, 2006. ,
DOI : 10.3905/jot.2006.654303
Econophysics, Quantitative Finance, pp.991-1012, 2011. ,
DOI : 10.4135/9781452276052.n92
URL : https://hal.archives-ouvertes.fr/hal-00621059
Analyzing and modelling 1+1d markets, 2001. ,
DOI : 10.1016/s0378-4371(01)00335-1
Liquidity and market efficiency???, Journal of Financial Economics, vol.87, issue.2, pp.249-268, 2008. ,
DOI : 10.1016/j.jfineco.2007.03.005
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, Econometrica, vol.41, issue.1, pp.135-55, 1973. ,
DOI : 10.2307/1913889
Boundary value problems in queueing system analysis, North- Holland Mathematics Studies, vol.79, 1983. ,
Boundary value problems in queueing theory, Queueing Systems, vol.22, issue.2, pp.97-128, 1988. ,
DOI : 10.1007/BF01189045
Price dynamics in limit order markets: linking volatility with order flow, 2012. ,
Empirical properties of asset returns: stylized facts and statistical issues, Quantitative Finance, vol.1, issue.2, pp.223-236, 2001. ,
DOI : 10.1080/713665670
Statistical Modeling of High-Frequency Financial Data, IEEE Signal Processing Magazine, vol.28, issue.5, pp.16-25, 2011. ,
DOI : 10.1109/MSP.2011.941548
URL : https://hal.archives-ouvertes.fr/hal-00704766
Herd behavior and aggregate fluctuations in financial markets, Macroeconomic Dynamics, vol.4, issue.02, pp.170-196, 2000. ,
Price dynamics in a markovian limit order market. Working paper. URL http, 2010. ,
URL : https://hal.archives-ouvertes.fr/hal-00552252
Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations, SSRN Electronic Journal, 2011. ,
DOI : 10.2139/ssrn.1757861
URL : https://hal.archives-ouvertes.fr/hal-00672274
The price impact of order book events. Working paper, SSRN. URL http, 2010. ,
URL : https://hal.archives-ouvertes.fr/hal-00545745
A Stochastic Model for Order Book Dynamics, Operations Research, vol.58, issue.3, pp.549-563, 2010. ,
DOI : 10.1287/opre.1090.0780
URL : https://hal.archives-ouvertes.fr/hal-00497666
On the Convergence of Multiclass Queueing Networks in Heavy Traffic, The Annals of Applied Probability, vol.4, issue.1, pp.26-42, 1994. ,
DOI : 10.1214/aoap/1177005199
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data, Econometrica, vol.66, issue.5, pp.1127-1162, 1998. ,
DOI : 10.2307/2999632
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, vol.50, issue.4, pp.987-1007, 1982. ,
DOI : 10.2307/1912773
The Econometrics of Ultra-high-frequency Data, Econometrica, vol.68, issue.1, pp.1-22, 2000. ,
DOI : 10.1111/1468-0262.00091
Trades and Quotes: A Bivariate Point Process, Journal of Financial Econometrics, vol.1, issue.2, pp.159-188, 2003. ,
DOI : 10.1093/jjfinec/nbg011
What really causes large price changes?, Quantitative Finance, vol.2, issue.4, pp.383-397, 2004. ,
DOI : 10.1080/14697680400008627
Random walks in the quarter-plane, 1999. ,
URL : https://hal.archives-ouvertes.fr/inria-00572276
An Introduction to Probability Theory and Its Applications, 1971. ,
Equilibria in financial markets with heterogeneous agents: a probabilistic perspective, Journal of Mathematical Economics, vol.41, issue.1-2, pp.123-155, 2005. ,
DOI : 10.1016/j.jmateco.2004.08.001
A Microeconomic Approach to Diffusion Models For Stock Prices, Mathematical Finance, vol.2, issue.17, pp.1-23, 1993. ,
DOI : 10.2307/2328188
Limit Order Book as a Market for Liquidity, Review of Financial Studies, vol.18, issue.4, pp.1171-1217, 2005. ,
DOI : 10.1093/rfs/hhi029
URL : https://hal.archives-ouvertes.fr/halshs-00005043
On Feller Semigroups Generated by Elliptic Operators with Integro-differential Boundary Conditions, Journal of Differential Equations, vol.176, issue.2, pp.315-355, 2001. ,
DOI : 10.1006/jdeq.2000.3976
Market microstructure, Journal of Financial Economics, vol.3, issue.3, pp.344-366, 1976. ,
DOI : 10.1016/0304-405X(76)90006-4
No-dynamic-arbitrage and market impact, Quantitative Finance, vol.8, issue.7, pp.749-759, 2010. ,
DOI : 10.1080/14697680500244411
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.377.7210
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model, Studies in Nonlinear Dynamics & Econometrics, vol.2, issue.4, pp.133-149, 1998. ,
DOI : 10.2202/1558-3708.1035
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, vol.14, issue.1, pp.71-100, 1985. ,
DOI : 10.1016/0304-405X(85)90044-3
Statistical properties of share volume traded in financial markets, Physical Review E, vol.62, issue.4, pp.4493-4496, 2000. ,
DOI : 10.1103/PhysRevE.62.R4493
Intra-day market activity, Journal of Financial Markets, vol.2, issue.3, pp.193-226, 1999. ,
DOI : 10.1016/S1386-4181(99)00004-X
URL : https://hal.archives-ouvertes.fr/halshs-00536268
Dealing with the inventory risk, 2011. ,
The information content of the limit order book: evidence from NYSE specialist trading decisions, Journal of Financial Markets, vol.8, issue.1, pp.25-67, 2005. ,
DOI : 10.1016/j.finmar.2004.07.001
The diffusion approximation for tandem queues in heavy traffic, Advances in Applied Probability, vol.11, issue.04, pp.886-905, 1978. ,
DOI : 10.1002/cpa.3160240206
Brownian models of multiclass queueing networks: Current status and open problems, Queueing Systems, vol.75, issue.1-3, pp.5-40, 1993. ,
DOI : 10.1007/BF01158927
The Heavy Traffic Approximation for Single Server Queues in Series, Journal of Applied Probability, vol.10, issue.3, pp.613-629, 1973. ,
DOI : 10.2307/3212781
The diffusion approximation for tandem queues in heavy traffic, Advances in Applied Probability, vol.11, issue.04, pp.886-905, 1978. ,
DOI : 10.1002/cpa.3160240206
One Security, Many Markets: Determining the Contributions to Price Discovery, The Journal of Finance, vol.IV, issue.4, pp.1175-1199, 1985. ,
DOI : 10.1111/j.1540-6261.1995.tb04054.x
Empirical Market Microstructure, 2007. ,
Modelling Irregularly Spaced Financial Data, 2004. ,
DOI : 10.1007/978-3-642-17015-7
Does Algorithmic Trading Improve Liquidity?, The Journal of Finance, vol.22, issue.1, 2012. ,
DOI : 10.1111/j.1540-6261.2010.01624.x
Empirical Analysis of Limit Order Markets, Review of Economic Studies, vol.71, issue.4, pp.1027-1063, 2004. ,
DOI : 10.1111/0034-6527.00313
Financial price fluctuations in a stock market model with many interacting agents, Economic Theory, vol.25, issue.4, pp.2001-2037, 2005. ,
DOI : 10.1007/s00199-004-0500-x
The real story of trading software espionage, 2009. ,
Multiple channel queues in heavy traffic. I. Advances in Appl, Probability, vol.2, pp.150-177, 1970. ,
The Equivalence of Functional Central Limit Theorems for Counting Processes and Associated Partial Sums, The Annals of Mathematical Statistics, vol.42, issue.4, pp.1372-1378, 1971. ,
DOI : 10.1214/aoms/1177693249
Hitting Lines with Two-Dimensional Brownian Motion, SIAM Journal on Applied Mathematics, vol.45, issue.6, pp.983-989, 1985. ,
DOI : 10.1137/0145060
Limit theorems for stochastic processes, 2003. ,
DOI : 10.1007/978-3-662-02514-7
Mean First-Passage Times of Brownian Motion and Related Problems, Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences, vol.211, issue.1106, pp.431-443, 1106. ,
DOI : 10.1098/rspa.1952.0051
Functional Limit Theorems for a Simple Auction, Mathematics of Operations Research, vol.28, issue.4, pp.716-751, 2003. ,
DOI : 10.1287/moor.28.4.716.20519
Random walks in $(\mathbb{Z}_{+})^{2}$ with non-zero drift absorbed at the axes, Bulletin de la Société mathématique de France, vol.139, issue.3, pp.341-387, 2011. ,
DOI : 10.24033/bsmf.2611
URL : https://hal.archives-ouvertes.fr/hal-00696352
Continuous Auctions and Insider Trading, Econometrica, vol.53, issue.6, pp.1315-1336, 1985. ,
DOI : 10.2307/1913210
Random Walk: A Modern Introduction, Cambridge Studies in Advanced Mathematics, vol.123, 2010. ,
DOI : 10.1017/CBO9780511750854
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.372.3819
Agent-based computational finance, Handbook of Computational Economics, Agentbased Computational Economics. II North-Holland, pp.166-209, 2006. ,
The long memory of the efficient market Quantitative Finance Papers cond-mat/0311053, 2004. ,
Weak convergence of probability measures and random functions in the function space D[0,???), Journal of Applied Probability, vol.1, issue.01, pp.109-121, 1973. ,
DOI : 10.1090/S0002-9939-1963-0153046-2
Volatility clustering in financial markets: A micro-simulation of interacting agents, Discussion Paper Serie B, vol.437, 2000. ,
Herd Behaviour, Bubbles and Crashes, The Economic Journal, vol.105, issue.431, pp.881-896, 1985. ,
DOI : 10.2307/2235156
Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks, Review of Financial Studies, vol.10, issue.4, pp.1035-64, 1997. ,
DOI : 10.1093/rfs/10.4.1035
Reduced form modeling of limit order markets, Quantitative Finance, vol.3, issue.7, 2010. ,
DOI : 10.1088/1469-7688/3/6/307
Price fluctuations from the order book perspective???empirical facts and a simple model, Physica A: Statistical Mechanics and its Applications, vol.299, issue.1-2, p.234, 2001. ,
DOI : 10.1016/S0378-4371(01)00301-6
Simple model of a limit order-driven market, Physica A, vol.78, pp.571-578, 2000. ,
Market Behavior in a Clearing House, Econometrica, vol.50, issue.6, pp.1505-1524, 1982. ,
DOI : 10.2307/1913393
Electronic trading and market structure. UK Government Foresight Driver Review, 2011. ,
High frequency trading and the new-market makers, 2011. ,
On the first passage problem for correlated Brownian motion, Statistics & Probability Letters, vol.80, issue.5-6, pp.5-6, 2010. ,
DOI : 10.1016/j.spl.2009.11.001
An empirical behavioral model of liquidity and volatility, Journal of Economic Dynamics and Control, vol.32, issue.1, pp.200-234, 2008. ,
DOI : 10.1016/j.jedc.2007.01.025
Market Microstructure Theory, Blackwell Business, 1997. ,
The econometrics of financial markets, Journal of Empirical Finance, vol.3, issue.1, pp.15-102, 1996. ,
DOI : 10.1016/0927-5398(95)00020-8
Price Dynamics in Limit Order Markets, Review of Financial Studies, vol.11, issue.4, pp.789-816, 1998. ,
DOI : 10.1093/rfs/11.4.789
Optimal Execution in a General One-Sided Limit-Order Book, SIAM Journal on Financial Mathematics, vol.2, issue.1, pp.183-212, 2011. ,
DOI : 10.1137/10078534X
Fluid and heavy traffic diffusion limits for a generalized processor sharing model, The Annals of Applied Probability, vol.13, issue.1, pp.100-139, 2003. ,
DOI : 10.1214/aoap/1042765664
Random walks reaching against all odds the other side of the quarter plane, 2011. ,
URL : https://hal.archives-ouvertes.fr/hal-00586295
Open Queueing Networks in Heavy Traffic, Mathematics of Operations Research, vol.9, issue.3, 1977. ,
DOI : 10.1287/moor.9.3.441
Heavy-tail phenomena: Probabilistic and Statistical Modeling, 2006. ,
A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones, Journal of Financial Econometrics, vol.9, issue.2, pp.344-366, 2011. ,
DOI : 10.1093/jjfinec/nbq023
URL : https://hal.archives-ouvertes.fr/hal-00659614
A Central Limit Theorem for Cumulative Processes, Advances in Applied Probability, vol.10, issue.01, pp.104-121, 1994. ,
DOI : 10.1090/S0002-9947-1949-0032114-7
A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market, The Journal of Finance, vol.6, issue.4, pp.1127-1166, 1984. ,
DOI : 10.1111/j.1540-6261.1984.tb03897.x
A Dynamic Model of the Limit Order Book, Review of Financial Studies, vol.22, issue.11, pp.4601-4641, 2009. ,
DOI : 10.1093/rfs/hhp011
URL : https://hal.archives-ouvertes.fr/hal-00515873
Stable Non-Gaussian Random Processes, 1994. ,
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets, MPRA Paper, vol.7105, 2008. ,
Stochastic volatility of financial markets as the fluctuating rate of trading: an empirical study. Quantitative finance papers, arXiv.org. URL http, 2006. ,
Statistical theory of the continuous double auction, Quantitative Finance, vol.3, issue.6, pp.481-514, 2003. ,
DOI : 10.1017/CBO9780511755767
Boundary value problems for linear elliptic pdes, 2010. ,
Some theorems concerning 2-dimensional brownian motion, Transactions of the American Mathematical Society, vol.87, pp.187-197, 1958. ,
DOI : 10.2307/1993096
On the existence of Feller semigroups with boundary conditions, Memoirs of the American Mathematical Society, vol.99, issue.475, 1991. ,
DOI : 10.1090/memo/0475
Some Useful Functions for Functional Limit Theorems, Mathematics of Operations Research, vol.5, issue.1, pp.67-85, 1980. ,
DOI : 10.1287/moor.5.1.67
Stochastic Process Limits, 2002. ,
Harmonic Functions in a Cone Which Vanish on the Boundary, Mathematische Nachrichten, vol.50, issue.1, pp.177-187, 1999. ,
DOI : 10.1002/mana.19992020115
An Analysis of Default Correlations and Multiple Defaults, Review of Financial Studies, vol.14, issue.2, pp.555-576, 2001. ,
DOI : 10.1093/rfs/14.2.555