1. Frédéric Abergel , Marouane Anane , Anirban Chakraborti , Aymen Jedidi , and Ioane Muni Toke . 2016. Limit order books . Cambridge University Press , Cambridge, UK . Frédéric Abergel, Marouane Anane, Anirban Chakraborti, Aymen Jedidi, and Ioane Muni Toke. 2016. Limit order books. Cambridge University Press, Cambridge, UK.
2. Jean-Philippe Bouchaud , Marc Mézard , and Marc Potters . 2002. Statistical properties of stock order books: empirical results and models. Quantitative finance , Vol. 2 , 4 ( 2002 ), 251. Jean-Philippe Bouchaud, Marc Mézard, and Marc Potters. 2002. Statistical properties of stock order books: empirical results and models. Quantitative finance, Vol. 2, 4 (2002), 251.
3. Jean-Philippe Bouchaud and Marc Potters . 2001. More stylized facts of financial markets: leverage effect and downside correlations. Physica A: Statistical Mechanics and its Applications , Vol. 299 , 1-2 ( 2001 ), 60--70. Jean-Philippe Bouchaud and Marc Potters. 2001. More stylized facts of financial markets: leverage effect and downside correlations. Physica A: Statistical Mechanics and its Applications, Vol. 299, 1-2 (2001), 60--70.
4. A re-examination of the “zero is enough” hypothesis in the emergence of financial stylized facts
5. Enhancing trading strategies with order book signals