http://ftp.cmegroup.com/globex/introduction/features-andfunctionality/elements/matching-algorithms .html, p.15 ,
Cluster models for earthquakes: Regional comparisons, Journal of the International Association for Mathematical Geology, vol.32, issue.1, pp.463-475, 1976. ,
DOI : 10.1007/BF01028982
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise, Review of Financial Studies, vol.18, issue.2, pp.351-416, 2005. ,
DOI : 10.1093/rfs/hhi016
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
Econophysics of order-driven markets, pp.155-172, 2011. ,
Direct estimation of equity market impact, Risk, vol.30, pp.21-53, 2005. ,
Order Flow, Transaction Clock, and Normality of Asset Returns, The Journal of Finance, vol.45, issue.5, pp.2259-2284, 2000. ,
DOI : 10.1111/0022-1082.00286
(Understanding, optimizing , using and forecasting) realized volatility and correlation. Working paper FIN-99-061, pp.35-76, 1999. ,
Modeling microstructure noise with mutually exciting point processes, pp.45-131, 2011. ,
DOI : 10.1080/14697688.2011.647054
URL : https://hal.archives-ouvertes.fr/hal-00779787/file/BDHM1.pdf
Scaling limits for hawkes processes, pp.45-132, 2011. ,
Price variations in a stock market with many agents, Physica A: Statistical Mechanics and its Applications, vol.246, issue.3-4, pp.430-453, 1997. ,
DOI : 10.1016/S0378-4371(97)00401-9
Separating microstructure noise from volatility, Journal of Financial Economics, vol.79, issue.3, pp.655-692, 2006. ,
DOI : 10.1016/j.jfineco.2005.01.005
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.121.4555
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations, Journal of Econometrics, vol.160, issue.1, pp.145-159, 2011. ,
DOI : 10.1016/j.jeconom.2010.03.027
Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise, SSRN Electronic Journal, vol.76, issue.6, pp.1481-1536, 2008. ,
DOI : 10.2139/ssrn.620203
The spectral analysis of point processes, Journal of the Royal Statistical Society. Series B (Methodological), vol.25, issue.2, pp.264-296, 1963. ,
The spectral analysis of Two-Dimensional point processes, Biometrika, vol.514, issue.3, pp.299-311, 1964. ,
Modelling financial high frequency data using point processes, Handbook of Financial Time Series, pp.953-979, 2009. ,
DOI : 10.1007/978-3-540-71297-8_41
URL : http://edoc.hu-berlin.de/series/sfb-649-papers/2007-66/PDF/66.pdf
Order flow and the bid-ask spread: An empirical probability model of screen-based trading, Journal of Economic Dynamics and Control, vol.21, issue.8-9, pp.1471-1491, 1997. ,
DOI : 10.1016/S0165-1889(97)00036-5
An introduction to statistical finance. Physica A: Statistical Mechanics and its Applications, pp.238-251, 2002. ,
How markets slowly digest changes in supply and demand, Handbook of Financial Markets: Dynamics and Evolution, pp.57-156, 2008. ,
Fluctuations and response in financial markets: the subtle nature of ???random??? price changes, Quantitative Finance, vol.62, issue.2, pp.176-190, 2004. ,
DOI : 10.1080/713665670
Random walks, liquidity molasses and critical response in financial markets, Quantitative Finance, vol.71, issue.2, pp.115-123, 2006. ,
DOI : 10.1080/14697680500168008
Theory of Financial Risk and Derivative Pricing, pp.13-27, 2003. ,
DOI : 10.1017/CBO9780511753893
URL : https://hal.archives-ouvertes.fr/hal-00121107
Modelling security market events in continuous time: Intensity based, multivariate point process models, Journal of Econometrics, vol.141, issue.2, pp.876-912, 2007. ,
DOI : 10.1016/j.jeconom.2006.11.007
Estimating value-at-risk: a point process approach, Quantitative Finance, vol.108, issue.2, pp.227-234, 2005. ,
DOI : 10.1214/aos/1176344070
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, Econometrica, vol.41, issue.1, pp.135-155, 1973. ,
DOI : 10.2307/1913889
Order flow and the quality of the market, Market Making and the Changing Structure of the Securities Industry. Beard Books, p.22, 2002. ,
An introduction to high frequency finance, pp.27-53, 2001. ,
Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process, Physical Review Letters, vol.90, issue.10, pp.90108102-90108124, 2003. ,
DOI : 10.1103/PhysRevLett.90.108102
On the correlation structure of microstructure noise in theory and practice. Working Paper, p.73, 2008. ,
Auctions as algorithms, Journal of Economic Dynamics and Control, vol.18, issue.1, pp.29-60, 1994. ,
DOI : 10.1016/0165-1889(94)90068-X
Self-exciting point process models of the insurgency in iraq, p.123, 2011. ,
The price impact of order book events: market orders, limit orders and cancellations, Quantitative Finance, vol.19, issue.21, pp.1-25, 2011. ,
Scaling Laws for the Market Microstructure of the Interdealer Broker Markets, SSRN Electronic Journal, vol.9808240, p.22, 1998. ,
DOI : 10.2139/ssrn.147135
Multivariate Hawkes processes: an application to financial data, Journal of Applied Probability, vol.34, issue.A, pp.367-378, 2011. ,
DOI : 10.1137/090771272
Comovements in stock prices in the very short run, Journal of the American Statiscal Association, vol.74, pp.291-298, 1979. ,
Market efficiency and the longmemory of supply and demand: is price impact variable and permanent or fixed and temporary? Quantitative Finance, pp.107-112, 2006. ,
What really causes large price changes? Quantitative Finance, pp.383-397, 2004. ,
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
No-dynamic-arbitrage and market impact, Quantitative Finance, vol.8, issue.7, pp.749-759, 2010. ,
DOI : 10.1080/14697680500244411
A theory for market impact: How order flow affects stock price, p.21, 2007. ,
A top down approach to Multi-Name credit. SSRN eLibrary, p.123, 2007. ,
There's more to volatility than volume, Quantitative Finance, vol.8, issue.5, pp.371-384, 2006. ,
DOI : 10.2307/1912002
URL : http://arxiv.org/abs/physics/0510007
Diffusions with measurement errors. I. Local Asymptotic Normality, ESAIM: Probability and Statistics, vol.5, pp.225-242, 2001. ,
DOI : 10.1051/ps:2001110
URL : http://archive.numdam.org/article/PS_2001__5__243_0.pdf
Diffusions with measurement errors. II. Optimal estimators, ESAIM: Probability and Statistics, vol.5, pp.243-260, 2001. ,
DOI : 10.1051/ps:2001111
URL : http://archive.numdam.org/article/PS_2001__5__243_0.pdf
Spectra of some self-exciting and mutually exciting point processes, Biometrika, vol.58, issue.1, pp.83-90, 1971. ,
DOI : 10.1093/biomet/58.1.83
Spectra of some self-exciting and mutually exciting point processes, Biometrika, vol.58, issue.1, pp.33-3438, 1971. ,
DOI : 10.1093/biomet/58.1.83
Clustering of order arrivals, price impact and trade path optimisation, Workshop on Financial Modeling with Jump processes, pp.45-145, 2006. ,
Nonparamtreic estimation of the volatility under microstructure noise. 2010. arxiv:1007, Math arXiv Preprint, vol.4622, p.73 ,
Microstructure noise in the continuous case: The pre-averaging approach. Stochastic Process, Appl, vol.119, issue.7, pp.2249-2276, 2009. ,
Correlation-Based Analysis and Generation of Multiple Spike Trains Using Hawkes Models with an Exogenous Input, Frontiers in Computational Neuroscience, vol.4, pp.12-152, 2010. ,
DOI : 10.3389/fncom.2010.00147
Measuring the resiliency of an electronic limit order book, Journal of Financial Markets, vol.10, issue.1, pp.1-25, 2007. ,
DOI : 10.1016/j.finmar.2006.09.001
A nonparametric EM algorithm for a multiscale hawkes process, Joint Satistical Meetings, p.124, 2011. ,
The Long Memory of the Efficient Market, Studies in Nonlinear Dynamics & Econometrics, vol.8, issue.3, p.52, 2004. ,
DOI : 10.2202/1558-3708.1226
Multivariate Hawkes Processes, p.123, 2009. ,
The Variation of Certain Speculative Prices, The Journal of Business, vol.36, issue.4, pp.394-421, 1963. ,
DOI : 10.1086/294632
On the Distribution of Stock Price Differences, Operations Research, vol.15, issue.6, pp.1057-1062, 1967. ,
DOI : 10.1287/opre.15.6.1057
Extending Earthquakes' Reach Through Cascading, Science, vol.319, issue.5866, pp.3191076-1079, 2008. ,
DOI : 10.1126/science.1148783
URL : https://hal.archives-ouvertes.fr/insu-00334983
Simple model of a limit order-driven market. Physica A: Statistical Mechanics and its Applications, pp.3-4571, 2000. ,
Market Behavior in a Clearing House, Econometrica, vol.50, issue.6, pp.1505-1524, 1982. ,
DOI : 10.2307/1913393
Self-Exciting Point Process Modeling of Crime, Journal of the American Statistical Association, vol.106, issue.493, pp.100-108, 2011. ,
DOI : 10.1198/jasa.2011.ap09546
Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise, Electronic Journal of Statistics, vol.4, issue.0, p.73, 2009. ,
DOI : 10.1214/10-EJS568
Lower bounds for volatility estimation in microstructure noise models. A Festschrift for Larry Brown, IMS Lecture Notes Series, p.73, 2010. ,
Martingale Methods in Financial Modelling, p.71, 2004. ,
DOI : 10.1007/978-3-662-22132-7
On Lewis' simulation method for point processes, IEEE Transactions on Information Theory, vol.27, issue.1, pp.23-31, 1981. ,
DOI : 10.1109/TIT.1981.1056305
Seismicity Analysis through Point-process Modeling: A Review, pure and applied geophysics, vol.155, issue.2-4, pp.471-507, 1999. ,
DOI : 10.1007/s000240050275
On linear intensity models for mixed doubly stochastic poisson and self-exciting point processes ArticleType: research-article / Full publication date: 1982 / Copyright Â?, Journal of the Royal Statistical Society. Series B (Methodological) Royal Statistical Society, vol.44, issue.1, pp.102-107, 1982. ,
Tick size and stock returns. Physica A: Statistical Mechanics and its Applications, pp.441-454, 2009. ,
DOI : 10.1016/j.physa.2008.10.014
Statistical models for high frequency security prices. SSRN eLibrary, p.74, 2002. ,
Maximum likelihood estimation of Hawkes' self-exciting point processes, Annals of the Institute of Statistical Mathematics, vol.18, issue.1, pp.145-155, 1979. ,
DOI : 10.1007/BF02480272
Fourier transforms in the complex domain, p.136, 1934. ,
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps, Bernoulli, vol.15, issue.3, pp.634-658, 2009. ,
DOI : 10.3150/08-BEJ167
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise, Math arXiv Preprint, p.73, 2010. ,
Adaptive estimation for hawkes processes; application to genome analysis. The Annals of Statistics, MathSciNet): MR2722456, pp.2781-2822, 2010. ,
URL : https://hal.archives-ouvertes.fr/hal-00863958
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.19-84, 2010. ,
DOI : 10.1093/jjfinec/nbq023
URL : https://hal.archives-ouvertes.fr/hal-00659614
A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones. Forthcoming, Journal of Financial Econometrics, vol.57, p.18, 2010. ,
A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones, Journal of Financial Econometrics, vol.9, issue.2, p.73, 2009. ,
DOI : 10.1093/jjfinec/nbq023
URL : https://hal.archives-ouvertes.fr/hal-00659614
A new microstructure noise index Quantitative Finance, p.73, 2007. ,
Realized volatility and colored market microstructure noise. Manuscript, p.73, 2005. ,
Mean-field approximation for a limit order driven market model, Physical Review E, vol.64, issue.5, pp.56136-11736043, 2001. ,
DOI : 10.1103/PhysRevE.64.056136
Statistical theory of the continuous double auction, Quantitative Finance, vol.3, issue.6, pp.481-514, 2003. ,
DOI : 10.1017/CBO9780511755767
Reaction-diffusion-branching models of stock price fluctuations . Physica A: Statistical and Theoretical Physics, pp.543-550, 1999. ,
Econophysics of order-driven markets. chapterMarket making" behaviour in an order book model and its impact on the bid-ask spread, p.34, 2011. ,
Time change. In Encyclopedia of Quantitative Finance, p.27, 2010. ,
Stochastic models for earthquake occurrence, Journal of the Royal Statistical Society. Series B (Methodological), vol.32, issue.1, pp.1-62, 1970. ,
Some examples of statistical estimation applied to earthquake data, Annals of the Institute of Statistical Mathematics, vol.26, issue.3, pp.189-207, 1982. ,
DOI : 10.1007/BF02481022
Relation between bid???ask spread, impact and volatility in order-driven markets, Quantitative Finance, vol.8, issue.1, pp.41-57, 2008. ,
DOI : 10.1080/14697680400008619
Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach, Bernoulli, vol.12, issue.6, pp.1019-1043, 2006. ,
DOI : 10.3150/bj/1165269149
A Tale of Two Time Scales, Journal of the American Statistical Association, vol.100, issue.472, pp.1394-1411, 2005. ,
DOI : 10.1198/016214505000000169
Stochastic Declustering of Space-Time Earthquake Occurrences, Journal of the American Statistical Association, vol.97, issue.458, pp.369-380, 2002. ,
DOI : 10.1198/016214502760046925