1.
Bouchaud JP, Potters M. Theory of financial risk and derivative pricing: from statistical physics to risk management [Internet]. Second edition. Cambridge: Cambridge University Press; 2003. Available from: http://dx.doi.org/10.1017/CBO9780511753893
2.
Cont R. Empirical properties of asset returns: stylized facts and statistical issues. Quantitative Finance. 2001 Feb;1(2):223–36. doi:10.1080/713665670
3.
Bouchard JP, Farmer JD, Lillo F. How markets slowly digest changes in supply and demand [Internet]. 2009. doi:10.1.1.460.947
4.
Glosten LR, Milgrom PR. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics. 1985 Mar;14(1):71–100. doi:10.1016/0304-405X(85)90044-3