Abergel, F. and N. Huth (forthcoming 2012a) High Frequency Correlation Intraday Profile. Empirical Facts.
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.
Ahn, H., K. Bae and K. Chan (2001) Limit Orders, Depth and Volatility: Evidence from the Stock Exchange of Hong Kong, Journal of Finance 56, 767–788.
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.
Almgren, R. (2003) Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk, Applied Mathematical Finance 10, 1–18.
Almgren, R.F. and N. Chriss (2000) Optimal Execution of Portfolio Transactions Journal of Risk 3(2), 5–39.
Almgren, R., C. Thum, E. Hauptmann and H. Li (2005) Direct Estimation of Equity Market Impact, Risk 18, 57–62.
Amihud, Y. and H. Mendelson (1980) ...