Bouchard, J. P., et al. How Markets Slowly Digest Changes in Supply and Demand. 2009, https://doi.org/10.1.1.460.947.
Bouchaud, Jean-Philippe, and Marc Potters. Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management. Second edition, Cambridge University Press, 2003, http://dx.doi.org/10.1017/CBO9780511753893.
Cont, R. ‘Empirical Properties of Asset Returns: Stylized Facts and Statistical Issues’. Quantitative Finance, vol. 1, no. 2, Feb. 2001, pp. 223–36, https://doi.org/10.1080/713665670.
Glosten, Lawrence R., and Paul R. Milgrom. ‘Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders’. Journal of Financial Economics, vol. 14, no. 1, Mar. 1985, pp. 71–100, https://doi.org/10.1016/0304-405X(85)90044-3.