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Market Microstructure: Confronting Many Viewpoints by Thierry Foucault, Mathieu Rosenbaum, Charles-Albert Lehalle, Frédéric Abergel, Jean-Philippe Bouchaud

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Combined References

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Abergel, F. and N. Huth (forthcoming 2012b) High Frequency Lead/Lag Relationships. Empirical Facts.

Abergel, F. and N. Huth (2012). The Times Change: Multivariate Subordination. Empirical Facts, Quantitative Finance 12(1).

Abergel, F., A. Chakraborti, I. Muni Toke and M. Patriarca (2011a) Econophysics Review: 1. Empirical Facts, Quantitative Finance 11(7), 991–1012.

Abergel, F., A. Chakraborti, I. Muni Toke and M. Patriarca (2011b) Econophysics Review: 2. Agent-Based Models, Quantitative Finance 11(7) 1013–1041.

Admati, A. and P. Pfleiderer (1988) A Theory of Intraday Patterns: Volume and Price Variability. Review of Financial Studies 1(1), 3–40.

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Alfarano, S. and T. Lux (2003) A Minimal Noise Traders Model with Realistic Time Series Properties, in Long Memory in Economics, G. Teyssière and A.P. Kirman (Eds), Springer, Berlin.

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