A MATHEMATICAL APPROACH TO ORDER BOOK MODELING, International Journal of Theoretical and Applied Finance, vol.16, issue.05, p.16, 2013. ,
DOI : 10.1142/S0219024913500258
Long Time Behaviour of a Hawkes Process-Based Limit Order Book, SSRN Electronic Journal, 2015. ,
DOI : 10.2139/ssrn.2575498
URL : https://hal.archives-ouvertes.fr/hal-01121711
Dynamic policy programming, The Journal of Machine Learning Research, vol.13, issue.1, pp.3207-3245, 2012. ,
Handbook of mathematical functions, 1965. ,
Ultra high frequency volatility estimation with dependent microstructure noise, Journal of Econometrics, vol.160, issue.1, pp.160-175, 2011. ,
DOI : 10.1016/j.jeconom.2010.03.028
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
Optimal execution with nonlinear impact functions and trading-enhanced risk, Applied Mathematical Finance, vol.3, issue.1, pp.1-18, 2003. ,
DOI : 10.3905/jpm.1992.409428
Optimal trading in a dynamic market, p.580, 2009. ,
Optimal execution of portfolio transactions, The Journal of Risk, vol.3, issue.2, pp.5-40, 2001. ,
DOI : 10.21314/JOR.2001.041
Adaptive arrival price. Trading, pp.59-66, 2007. ,
VPIN and the flash crash, Journal of Financial Markets, vol.17, pp.1-46, 2014. ,
DOI : 10.1016/j.finmar.2013.05.005
High-frequency trading in a limit order book, Quantitative Finance, vol.8, issue.3, pp.217-224, 2008. ,
DOI : 10.1080/14697680500244411
Real-time market microstructure analysis: online transaction cost analysis, Quantitative Finance, vol.18, issue.6, pp.14-1167, 2014. ,
DOI : 10.1080/01621459.1952.10483443
Modelling microstructure noise with mutually exciting point processes, Quantitative Finance, vol.472, issue.7, pp.65-77, 2013. ,
DOI : 10.1080/14697688.2011.647054
URL : https://hal.archives-ouvertes.fr/hal-01313995
Hawkes processes in finance. arXiv preprint, 2015. ,
URL : https://hal.archives-ouvertes.fr/hal-01313838
Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations, 2008. ,
DOI : 10.1007/978-0-8176-4755-1
LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY, Mathematical Finance, vol.5, issue.4, pp.627-650, 2014. ,
DOI : 10.1111/j.1467-9965.2012.00529.x
Dynamics of stochastic approximation algorithms, Seminaire de probabilités XXXIII, pp.1-68, 1999. ,
Determinants of bid-asked spreads in the over-thecounter market, Journal of Financial Economics, vol.1, issue.4, pp.353-364, 1974. ,
Adaptive algorithms and stochastic approximations, 2012. ,
DOI : 10.1007/978-3-642-75894-2
Optimal control of execution costs, Journal of Financial Markets, vol.1, issue.1, pp.1-50, 1998. ,
DOI : 10.1016/S1386-4181(97)00012-8
Optimal Order Scheduling for Deterministic Liquidity Patterns, SIAM Journal on Financial Mathematics, vol.5, issue.1, pp.137-152, 2014. ,
DOI : 10.1137/120897511
HFT and market quality, Markets and Investors, 2014. ,
Toward a Fully Automated Stock Exchange, Part I, Financial Analysts Journal, vol.27, issue.4, pp.28-35, 1971. ,
DOI : 10.2469/faj.v27.n4.28
Toward a Fully Automated Stock Exchange, Part II, Financial Analysts Journal, vol.27, issue.6, pp.24-28, 1971. ,
DOI : 10.2469/faj.v27.n6.24
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
How markets slowly digest changes in supply and demand. Fabrizio, How Markets Slowly Digest Changes in Supply and Demand, 2008. ,
Price impact. Encyclopedia of quantitative finance, 2010. ,
URL : https://hal.archives-ouvertes.fr/hal-00134675
High-Frequency Trading and Price Discovery, Review of Financial Studies, vol.27, issue.8, pp.2267-2306, 2014. ,
DOI : 10.1093/rfs/hhu032
Market microstructure in practice, 2013. ,
Buy Low, Sell High: A High Frequency Trading Perspective, SIAM Journal on Financial Mathematics, vol.5, issue.1, pp.415-444, 2014. ,
DOI : 10.1137/130911196
Modelling Asset Prices for Algorithmic and High-Frequency Trading, Applied Mathematical Finance, vol.60, issue.6, pp.512-547, 2013. ,
DOI : 10.1016/S0304-4076(01)00063-X
Risk Measures and Fine Tuning of High Frequency Trading Strategies, SSRN Electronic Journal, 2012. ,
DOI : 10.2139/ssrn.2010417
Modelling Asset Prices for Algorithmic and High-Frequency Trading, Applied Mathematical Finance, vol.60, issue.6, pp.512-547, 2013. ,
DOI : 10.1016/S0304-4076(01)00063-X
Optimal execution with limit and market orders. Forthcoming: Quantitative Finance, 2014. ,
DOI : 10.1080/14697688.2015.1032543
Algorithmic trading with learning, 2013. ,
Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds, Stochastic Processes and their Applications, pp.217-231, 1987. ,
DOI : 10.1016/0304-4149(87)90039-1
Price Dynamics in a Markovian Limit Order Market, SIAM Journal on Financial Mathematics, vol.4, issue.1, pp.1-25, 2013. ,
DOI : 10.1137/110856605
URL : https://hal.archives-ouvertes.fr/hal-00832155
Optimal order placement in limit order markets, 2013. ,
URL : https://hal.archives-ouvertes.fr/hal-00737491
The Price Impact of Order Book Events, Journal of Financial Econometrics, vol.12, issue.1, pp.47-88, 2014. ,
DOI : 10.1093/jjfinec/nbt003
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
Miscellanea analytica de seriebus et quadraturis, 1730. ,
Algorithmes stochastiques, 1996. ,
Optimal execution with transient impact Available at, 2014. ,
Competition between financial markets in Europe: what can be expected from MiFID?. Financial Markets and Portfolio Management, pp.93-103, 2009. ,
Dependent noise for stochastic algorithms, Probability and Mathematical Statistics-PWN, vol.24, issue.2, pp.381-400, 2004. ,
Random iterative models, 1997. ,
DOI : 10.1007/978-3-662-12880-0
The limit order book on different time scales, Noise and Stochastics in Complex Systems and Finance, 2007. ,
DOI : 10.1117/12.724817
The price impact of order book events: market orders, limit orders and cancellations, Quantitative Finance, vol.8, issue.9, pp.1395-1419, 2012. ,
DOI : 10.1080/14697680500244411
The predictive power of zero intelligence in financial markets, Proceedings of the National Academy of Sciences, vol.102, issue.6, pp.2254-2259, 2005. ,
DOI : 10.1073/pnas.0409157102
Controlled Markov processes and viscosity solutions, 2006. ,
A Hamilton???Jacobi???Bellman approach to optimal trade execution, Applied Numerical Mathematics, vol.61, issue.2, pp.241-265, 2011. ,
DOI : 10.1016/j.apnum.2010.10.004
Optimal trade execution: A mean quadratic variation approach, Journal of Economic Dynamics and Control, vol.36, issue.12, pp.36-1971, 2012. ,
DOI : 10.1016/j.jedc.2012.05.007
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.159.5754
Convergence of stochastic algorithms: from the Kushner-Clark theorem to the Lyapounov functional method Advances in applied probability, pp.1072-1094, 1996. ,
Competition for Order Flow and Smart Order Routing Systems, The Journal of Finance, vol.5, issue.1, pp.119-158, 2008. ,
DOI : 10.1111/j.1540-6261.2008.01312.x
URL : https://hal.archives-ouvertes.fr/hal-00554030
Market microstructure, Journal of Financial Economics, vol.3, issue.3, pp.257-275, 1976. ,
DOI : 10.1016/0304-405X(76)90006-4
On the Estimation of Security Price Volatilities from Historical Data, The Journal of Business, vol.53, issue.1, pp.67-78, 1980. ,
DOI : 10.1086/296072
TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS, Mathematical Finance, vol.2, issue.1, pp.445-474, 2012. ,
DOI : 10.1111/j.1467-9965.2011.00478.x
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
GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION, Mathematical Finance, vol.17, issue.6, 2013. ,
DOI : 10.1111/mafi.12052
Optimal Portfolio Liquidation with Limit Orders, SIAM Journal on Financial Mathematics, vol.3, issue.1, pp.740-764, 2012. ,
DOI : 10.1137/110850475
Dealing with the inventory risk: a solution to the market making problem, Mathematics and Financial Economics, vol.39, issue.4, pp.477-507, 2013. ,
DOI : 10.1007/s11579-012-0087-0
Execution and Block Trade Pricing with Optimal Constant Rate of Participation, Journal of Mathematical Finance, vol.04, issue.04, 2012. ,
DOI : 10.4236/jmf.2014.44023
Optimal Execution and Block Trade Pricing: A General Framework, Applied Mathematical Finance, vol.28, issue.1, 2012. ,
DOI : 10.1080/1350486X.2012.755817
Option pricing and hedging with execution costs and market impact. arXiv preprint arXiv, pp.1311-4342, 2013. ,
Accelerated Share Repurchase: pricing and execution strategy. arXiv preprint, 2013. ,
Optimal execution of ASR contracts with fixed notional, 2014. ,
VWAP Execution and Guaranteed VWAP, SIAM Journal on Financial Mathematics, vol.5, issue.1, pp.445-471, 2014. ,
DOI : 10.1137/130924676
Optimal High-Frequency Trading in a Pro-Rata Microstructure with Predictive Information, 2012. ,
URL : https://hal.archives-ouvertes.fr/hal-01174042
Optimal high-frequency trading with limit and market orders, Quantitative Finance, vol.11, issue.4, pp.79-94, 2013. ,
DOI : 10.1080/14697688.2012.708779
URL : https://hal.archives-ouvertes.fr/hal-00835633
There's more to volatility than volume, Quantitative Finance, vol.8, issue.5, pp.371-384, 2006. ,
DOI : 10.2307/1912002
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
On covariance estimation of non-synchronously observed diffusion processes, Bernoulli, vol.11, issue.2, pp.359-379, 2005. ,
DOI : 10.3150/bj/1116340299
Trading and exchanges: Market microstructure for practitioners, 2002. ,
Dealer Bid-Ask Quotes and Transaction Prices: An Empirical Study of Some AMEX Options, The Journal of Finance, vol.33, issue.1981, pp.23-45, 1984. ,
DOI : 10.1111/j.1540-6261.1984.tb03858.x
Optimal dealer pricing under transactions and return uncertainty, Journal of Financial Economics, vol.9, issue.1, pp.47-73, 1981. ,
DOI : 10.1016/0304-405X(81)90020-9
The Dynamics of Dealer Markets Under Competition, The Journal of Finance, vol.16, issue.4, pp.1053-1074, 1983. ,
DOI : 10.1111/j.1540-6261.1983.tb02282.x
Simulating and Analyzing Order Book Data: The Queue-Reactive Model, Journal of the American Statistical Association, vol.3, issue.509, pp.0-00, 2014. ,
DOI : 10.1080/14697680701344515
URL : https://hal.archives-ouvertes.fr/hal-01172326
Foundations of modern probability, 2002. ,
DOI : 10.1007/978-1-4757-4015-8
An introduction to stochastic control theory, path integrals and reinforcement learning, AIP Conference Proceedings, pp.149-181, 2007. ,
DOI : 10.1063/1.2709596
Stochastic Estimation of the Maximum of a Regression Function, The Annals of Mathematical Statistics, vol.23, issue.3, pp.462-466, 1952. ,
DOI : 10.1214/aoms/1177729392
The Flash Crash: The Impact of High Frequency Trading on an Electronic Market, SSRN Electronic Journal, 2014. ,
DOI : 10.2139/ssrn.1686004
Statistical Methods to Compare Algorithmic Performance, The Journal of Trading, vol.2, issue.2, pp.53-62, 2007. ,
DOI : 10.3905/jot.2007.682139
Transaction Cost Analysis, The Journal of Trading, vol.3, issue.2, pp.29-37, 2008. ,
DOI : 10.3905/jot.2008.705630
The science of algorithmic trading and portfolio management, 2013. ,
Understanding the profit and loss distribution of trading algorithms, Trading, issue.1, pp.41-49, 2005. ,
Algorithmic Decision-Making Framework, The Journal of Trading, vol.1, issue.1, pp.12-21, 2006. ,
DOI : 10.3905/jot.2006.609171
Optimal trading strategies: quantitative approaches for managing market impact and trading risk, 2003. ,
Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes, Applied Mathematics and Computation, vol.253, pp.224-241, 2015. ,
DOI : 10.1016/j.amc.2014.12.085
Optimal liquidation in dark pools, Quantitative Finance, vol.11, issue.9, pp.1519-1539, 2014. ,
DOI : 10.1093/rfs/hht078
Stochastic approximation algorithms and applications, 1997. ,
DOI : 10.1007/978-1-4899-2696-8
Continuous Auctions and Insider Trading, Econometrica, vol.53, issue.6, pp.1315-1335, 1985. ,
DOI : 10.2307/1913210
When can the two-armed bandit algorithm be trusted, Annals of Applied Probability, pp.1424-1454, 2004. ,
URL : https://hal.archives-ouvertes.fr/hal-00102253
How Fast Is the Bandit?, Stochastic Analysis and Applications, pp.603-623, 2008. ,
DOI : 10.1109/TSSC.1969.300228
URL : https://hal.archives-ouvertes.fr/hal-00012182
Stochastic approximation with averaging innovation applied to Finance, Monte Carlo Methods and Applications, vol.18, issue.1, 2010. ,
DOI : 10.1515/mcma-2011-0018
URL : https://hal.archives-ouvertes.fr/hal-00504644
Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach, SIAM Journal on Financial Mathematics, vol.2, issue.1, pp.1042-1076, 2011. ,
DOI : 10.1137/090780596
URL : https://hal.archives-ouvertes.fr/hal-00707851
Optimal posting price of limit orders: learning by trading, Mathematics and Financial Economics, vol.9, issue.2, pp.359-403, 2013. ,
DOI : 10.1007/s11579-013-0096-7
URL : https://hal.archives-ouvertes.fr/hal-00650314
Market microstructure knowledge needed to control an intraday trading process, Handbook on Systemic Risk, 2013. ,
The impact of liquidity fragmentation on optimal trading. Trading, pp.80-87, 2009. ,
Rigorous post-trade market impact measurement and the price formation process, Trading, issue.1, pp.2010-108, 2010. ,
High Frequency Simulations of an Order Book: a Two-Scales Approach Econophysics of Order-Driven Markets, 2010. ,
The Established Liquidity Fragmentation Affects all Investors, 2009. ,
Almost sure convergence of randomly truncated stochastic algorithms under verifiable conditions, Statistics & Probability Letters, vol.78, issue.16, pp.2632-2636, 2008. ,
DOI : 10.1016/j.spl.2008.02.034
URL : https://hal.archives-ouvertes.fr/hal-00152255
Unconstrained recursive importance sampling, The Annals of Applied Probability, vol.20, issue.3, pp.1029-1067, 2010. ,
DOI : 10.1214/09-AAP650
URL : https://hal.archives-ouvertes.fr/hal-00497551
The Long Memory of the Efficient Market, Studies in nonlinear dynamics & econometrics, 2004. ,
DOI : 10.2202/1558-3708.1226
Mean???Variance Optimal Adaptive Execution, Applied Mathematical Finance, vol.3, issue.5, pp.395-422, 2011. ,
DOI : 10.1007/s002450010003
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.421.5281
Exchange-Traded Funds, Market Structure, and the Flash Crash, Financial Analysts Journal, vol.68, issue.4, pp.20-35, 2012. ,
DOI : 10.2469/faj.v68.n4.6
High Frequency Trading and The New-Market Makers, Social Science Research Network Working Paper Series, 2010. ,
Théorèmes de convergence presque sûre pour une classe d'algorithmes stochastiquesàstochastiquesà pas décroissant. Probability Theory and Related Fields, pp.403-428, 1987. ,
Optimal trading strategy and supply/demand dynamics, Journal of Financial Markets, vol.16, issue.1, pp.1-32, 2013. ,
DOI : 10.1016/j.finmar.2012.09.001
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.181.198
The Microeconomics of Market Making, The Journal of Financial and Quantitative Analysis, vol.21, issue.4, pp.361-376, 1986. ,
DOI : 10.2307/2330686
High frequency market microstructure, Journal of Financial Economics, 2015. ,
Functional Co-monotony of Processes with Applications to Peacocks and Barrier Options, Séminaire de Probabilités XLV, pp.365-400, 2013. ,
DOI : 10.1007/978-3-319-00321-4_15
Introduction to Numerical Probability applied to finance, 2014. ,
Weak convergence rates for stochastic approximation with application to multiple targets and simulated annealing, The Annals of Applied Probability, vol.8, issue.1, pp.10-44, 1998. ,
DOI : 10.1214/aoap/1027961032
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
A stochastic approximation method. The annals of mathematical statistics, pp.400-407, 1951. ,
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
VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS, Mathematical Finance, vol.100, issue.1, pp.133-164, 2012. ,
DOI : 10.1111/j.1467-9965.2010.00454.x
URL : https://hal.archives-ouvertes.fr/hal-00661645
Optimal investment, 2013. ,
DOI : 10.1007/978-3-642-35202-7
A new microstructure noise index, Quantitative Finance, vol.107, issue.6, pp.883-899, 2011. ,
DOI : 10.1198/016214505000000169
URL : https://hal.archives-ouvertes.fr/hal-00659613
Introduction to stochastic dynamic programming, 2014. ,
Sample size determination and power, 2013. ,
DOI : 10.1002/9781118439241
Risk aversion and the dynamics of optimal liquidation strategies in??illiquid markets, Finance and Stochastics, vol.5, issue.2, pp.181-204, 2009. ,
DOI : 10.1007/s00780-008-0082-8
Convergence of Markovian Stochastic Approximation with discontinuous dynamics. arXiv preprint, 2014. ,
URL : https://hal.archives-ouvertes.fr/hal-00966187
Statistical theory of the continuous double auction, Quantitative Finance, vol.3, issue.6, pp.481-514, 2003. ,
DOI : 10.1017/CBO9780511755767
How does the market react to your order flow?, Quantitative Finance, vol.8, issue.1, pp.12-1015, 2012. ,
DOI : 10.1103/PhysRevX.1.021006
Optimal stochastic control, stochastic target problems, and backward SDE, 2012. ,
DOI : 10.1007/978-1-4614-4286-8
Order book approach to price impact, Quantitative Finance, vol.8, issue.4, pp.357-364, 2005. ,
DOI : 10.1016/S0378-4371(99)00077-1
URL : http://arxiv.org/abs/cond-mat/0311457
A Tale of Two Time Scales, Journal of the American Statistical Association, vol.100, issue.472, p.100, 2005. ,
DOI : 10.1198/016214505000000169