An analysis of price impact function in order-driven markets

Master curve for price-impact function

Fabrizio Lillo, J. Doyne Farmer, Rosario N. Mantegna · Nature · 2003 · 463 citations

Economics, Dynamic Pricing, Derivative Pricing +6

Statistical theory of the continuous double auction

Eric Smith, J. Doyne Farmer, László Gillemot et al. · Quantitative Finance · 2003 · 354 citations · Full text

A simulation analysis of the microstructure of double auction markets*

Carl Chiarella, Giulia Iori · Quantitative Finance · 2002 · 276 citations

Electronic Auction, Market Equilibrium, Double Auction Markets +20

Statistical properties of stock order books: empirical results and models

Quantitative Finance · 2002 · 244 citations · Full text

Analyzing and modeling 1+1d markets

Damien Challet, R B Stinchcombe · Physica A Statistical Mechanics and its Applications · 2001 · 138 citations · Full text

Economics, Market Equilibrium, Market Mechanism +5