Hawkes Processes in Finance, Market Microstructure and Liquidity, vol.44, issue.01, p.1550005, 2015. ,
DOI : 10.1137/130912980
URL : https://hal.archives-ouvertes.fr/hal-01313838
How markets slowly digest changes in supply and demandHandbook of Financial Markets: Dynamics and Evolution', Handbooks in Finance, pp.57-160, 2009. ,
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
Short sales, long sales, and the Lee???Ready trade classification algorithm revisited, Journal of Financial Markets, vol.15, issue.4, pp.467-491, 2012. ,
DOI : 10.1016/j.finmar.2012.01.001
A stochastic model for order book dynamics, pp.58-549, 2010. ,
URL : https://hal.archives-ouvertes.fr/hal-00497666
Discerning information from trade data, Journal of Financial Economics, vol.120, issue.2, 2016. ,
DOI : 10.1016/j.jfineco.2016.01.018
The Accuracy of Trade Classification Rules: Evidence from Nasdaq, The Journal of Financial and Quantitative Analysis, vol.35, issue.4, pp.529-551, 2000. ,
DOI : 10.2307/2676254
Quantifying reflexivity in financial markets: Toward a prediction of flash crashes, Physical Review E, vol.3, issue.5, p.56108, 2012. ,
DOI : 10.1073/pnas.0803685105
Critical reflexivity in financial markets: a hawkes process analysis, The European Physical Journal B, vol.86, issue.10, pp.1-9, 2013. ,
Simulating and Analyzing Order Book Data: The Queue-Reactive Model, Journal of the American Statistical Association, vol.3, issue.509, pp.107-122, 2015. ,
DOI : 10.1080/14697680701344515
URL : https://hal.archives-ouvertes.fr/hal-01172326
The limits of statistical significance of Hawkes processes fitted to financial data, Quantitative Finance, vol.28, issue.2, pp.1-11, 2016. ,
DOI : 10.1103/PhysRevLett.97.150601
URL : https://hal.archives-ouvertes.fr/hal-01134105
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
Inferring Trade Direction from Intraday Data, The Journal of Finance, vol.19, issue.2, pp.733-746, 1991. ,
DOI : 10.1016/0304-405X(87)90004-3
URL : http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1991.tb02683.x/pdf
The Variation of Certain Speculative Prices, The Journal of Business, vol.36, issue.4, pp.394-419, 1963. ,
DOI : 10.1086/294632
The order book as a queueing system: average depth and influence of the size of limit orders, Quantitative Finance, vol.1, issue.5, pp.795-808, 2015. ,
DOI : 10.1088/1469-7688/3/6/307
URL : https://hal.archives-ouvertes.fr/hal-01006410
Modelling trades-through in a limit order book using Hawkes processes', Economics: The Open-Access, Open, Assessment E-Journal, vol.6, 2012. ,
Tick test accuracy in foreign exchange ECN markets, Research in International Business and Finance, pp.135-152, 2016. ,
DOI : 10.1016/j.ribaf.2015.10.001
The Sensitivity of Effective Spread Estimates to Trade???Quote Matching Algorithms, Electronic Markets, vol.16, issue.2, pp.112-129, 2006. ,
DOI : 10.1080/10196780600643803
A test of the accuracy of the Lee/Ready trade classification algorithm, Journal of International Financial Markets, Institutions and Money, vol.11, issue.2, pp.147-165, 2001. ,
DOI : 10.1016/S1042-4431(00)00048-2