<gh_stars>1-10
%Articles
@article{Bouchaud_2004,
  title={Fluctuations and response in financial markets: the subtle nature of
        “random” price changes},
  volume={4},
  ISSN={1469-7696},
  url={http://dx.doi.org/10.1080/14697680400000022},
  DOI={10.1080/14697680400000022},
  number={2},
  journal={Quantitative Finance},
  publisher={Informa UK Limited},
  author={<NAME> and <NAME> and <NAME> and
          <NAME>},
  year={2004},
  month={Apr},
  pages={176–190}
}

@article{Wang_2016_cross,
  title={Cross-response in correlated financial markets: individual stocks},
  volume={89},
  ISSN={1434-6036},
  url={http://dx.doi.org/10.1140/epjb/e2016-60818-y},
  DOI={10.1140/epjb/e2016-60818-y},
  number={4},
  journal={The European Physical Journal B},
  publisher={Springer Science and Business Media LLC},
  author={<NAME> and <NAME> and <NAME>},
  year={2016},
  month={Apr}
}

@article{Wang_2016_avg,
  author={<NAME> and <NAME>{\"a}fer and <NAME>},
  title={Average cross-responses in correlated financial markets},
  journal={The European Physical Journal B},
  year={2016},
  month={Sep},
  day={26},
  volume={89},
  number={9},
  pages={207},
  issn={1434-6036},
  doi={10.1140/epjb/e2016-70137-0},
  url={https://doi.org/10.1140/epjb/e2016-70137-0}
}

@article{Wang_2018_a,
	author = {<NAME> and <NAME>}{\ss} and <NAME>},
	day = {30},
	doi = {10.1140/epjb/e2018-80665-0},
	issn = {1434-6036},
	journal = {The European Physical Journal B},
	month = {Aug},
	number = {8},
	pages = {191},
	title = {{Statistical properties of market collective responses}},
	url = {https://doi.org/10.1140/epjb/e2018-80665-0},
	volume = {91},
	year = {2018}
}

@article{Wang_2018_b,
  author = {<NAME> and <NAME>}{\ss} and <NAME>},
  title={Grasping asymmetric information in price impacts},
  journal={The European Physical Journal B},
  year={2018},
  month={Nov},
  day={01},
  volume={91},
  number={11},
  pages={266},
  issn={1434-6036},
  doi={10.1140/epjb/e2018-80599-5},
  url={https://doi.org/10.1140/epjb/e2018-80599-5}
}

@article{Wang_2018_copulas,
	doi = {10.1088/1742-5468/aab01c},
	url = {https://doi.org/10.1088%2F1742-5468%2Faab01c},
	year = 2018,
	month = {mar},
	publisher = {{IOP} Publishing},
	volume = {2018},
	number = {3},
	pages = {033407},
	author = {<NAME> and <NAME>},
	title = {Local fluctuations of the signed traded volumes and the
             dependencies of demands: a copula analysis},
	journal = {Journal of Statistical Mechanics: Theory and Experiment},
}

@article{trades_classification,
  author = {<NAME> and <NAME>},
  title = {Inferring Trade Direction from Intraday Data},
  journal = {The Journal of Finance},
  volume = {46},
  number = {2},
  pages = {733-746},
  doi = {10.1111/j.1540-6261.1991.tb02683.x},
  url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1540-6261.1991.tb02683.x},
  eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1540-6261.1991.tb02683.x},
  year = {1991}
}

@article{empirical_facts,
  author = {<NAME> and <NAME> and <NAME> and
            <NAME>},
  year = {2009},
  month = {09},
  pages = {},
  title = {Econophysics: Empirical facts and agent-based models},
  journal = {arXiv.org, Quantitative Finance Papers}
}

@article{large_prices_changes,
  author = {<NAME> and <NAME> and <NAME> and
            <NAME> and <NAME>},
  title = {What really causes large price changes?},
  journal = {Quantitative Finance},
  volume = {4},
  number = {4},
  pages = {383-397},
  year  = {2004},
  publisher = {Routledge},
  doi = {10.1080/14697680400008627},
  URL = {https://doi.org/10.1080/14697680400008627},
  eprint = {https://doi.org/10.1080/14697680400008627}
}

@article{subtle_nature,
  author = {<NAME>},
  title = {The subtle nature of financial random walks},
  journal = {Chaos: An Interdisciplinary Journal of Nonlinear Science},
  volume = {15},
  number = {2},
  pages = {026104},
  year = {2005},
  doi = {10.1063/1.1889265},
  URL = {https://doi.org/10.1063/1.1889265},
  eprint = {https://doi.org/10.1063/1.1889265}
}

@article{empirical_properties,
  author = {<NAME>},
  title = {Empirical properties of asset returns: stylized facts and
            statistical issues},
  journal = {Quantitative Finance},
  year = {2001},
  volume = {1},
  pages = {223--236}
}

@article{fluctions_market_friction,
  author = {<NAME>},
  title = {Fluctuations and market friction in financial trading},
  journal = {International Journal of Modern Physics C},
  volume = {13},
  number = {03},
  pages = {419-425},
  year = {2002},
  doi = {10.1142/S012918310200322X},
  URL = {https://doi.org/10.1142/S012918310200322X},
  eprint = {https://doi.org/10.1142/S012918310200322X}
}

@article{quant_stock_price_response,
  title = {Quantifying stock-price response to demand fluctuations},
  author = {<NAME> and <NAME> and <NAME>
            and <NAME>},
  journal = {Phys. Rev. E},
  volume = {66},
  issue = {2},
  pages = {027104},
  numpages = {4},
  year = {2002},
  month = {Aug},
  publisher = {American Physical Society},
  doi = {10.1103/PhysRevE.66.027104},
  url = {https://link.aps.org/doi/10.1103/PhysRevE.66.027104}
}

@article{theory_market_impact,
  author = {<NAME>},
  year = {2008},
  month = {04},
  pages = {},
  title = {A Theory for Market Impact: How Order Flow Affects Stock Price},
  journal = {arXiv.org, Quantitative Finance Papers}
}

@article{order_flow_persistent,
  author={<NAME> and <NAME> and <NAME> and <NAME>},
  title={{Why is equity order flow so persistent?}},
  journal={Journal of Economic Dynamics and Control},
  year=2015,
  volume={51},
  number={C},
  pages={218-239},
  month={},
  doi={10.1016/j.jedc.2014.10.00},
  url={https://ideas.repec.org/a/eee/dyncon/v51y2015icp218-239.html}
}

@article{dissecting_cross,
  title={Dissecting cross-impact on stock markets: an empirical analysis},
  volume={2017},
  ISSN={1742-5468},
  url={http://dx.doi.org/10.1088/1742-5468/aa53f7},
  DOI={10.1088/1742-5468/aa53f7},
  number={2},
  journal={Journal of Statistical Mechanics: Theory and Experiment},
  publisher={IOP Publishing},
  author={<NAME> and <NAME> and <NAME> and <NAME>},
  year={2017},
  month={Feb},
  pages={023406}
}

@article{spread_changes_affect,
  title={How spread changes affect the order book: comparing the price
         responses of order deletions and placements to trades},
  author={<NAME> and <NAME>},
  journal={The European Physical Journal B},
  year={2018},
  volume={92},
  pages={1-11}
}

@article{sampling_returns,
  author = {<NAME> and <NAME>},
  title = {Sampling Returns for Realized Variance Calculations: Tick Time or
          Transaction Time?},
  journal = {Econometric Reviews},
  volume = {27},
  number = {1-3},
  pages = {230-253},
  year  = {2008},
  publisher = {Taylor & Francis},
  doi = {10.1080/07474930701873341},
  URL = {https://doi.org/10.1080/07474930701873341},
  eprint = {https://doi.org/10.1080/07474930701873341}
}

@article{asynchrony_effects_corr,
  title = {Compensating asynchrony effects in the calculation of financial
          correlations},
  journal = {Physica A: Statistical Mechanics and its Applications},
  volume = {389},
  number = {4},
  pages = {767 - 779},
  year = {2010},
  issn = {0378-4371},
  doi = {https://doi.org/10.1016/j.physa.2009.10.033},
  url = {http://www.sciencedirect.com/science/article/pii/S0378437109009030},
  author = {<NAME> and <NAME> and <NAME>},
}

@article{tick_size_impact,
  title = {Impact of the tick-size on financial returns and correlations},
  journal = {Physica A: Statistical Mechanics and its Applications},
  volume = {389},
  number = {21},
  pages = {4828 - 4843},
  year = {2010},
  issn = {0378-4371},
  doi = {https://doi.org/10.1016/j.physa.2010.06.037},
  url = {http://www.sciencedirect.com/science/article/pii/S0378437110005662},
  author = {<NAME> and <NAME> and <NAME>},
}

@article{causes_epps_effect,
  author = {<NAME> and <NAME> and <NAME>},
  title = {Statistical causes for the Epps effect in microstructure noise},
  journal = {International Journal of Theoretical and Applied Finance},
  volume = {14},
  number = {08},
  pages = {1231-1246},
  year = {2011},
  doi = {10.1142/S0219024911006838},
  URL = {https://doi.org/10.1142/S0219024911006838},
  eprint = {https://doi.org/10.1142/S0219024911006838},
}

@article{account_spread,
  author = {<NAME> and <NAME> and <NAME>},
  year = {1997},
  month = {01},
  pages = {50-60},
  title = {Accounting Information and Bid-Ask Spread},
  volume = {11},
  journal = {Accounting Horizons}
}

@article{effects_spread,
  ISSN = {00221082, 15406261},
  URL = {http://www.jstor.org/stable/2328600},
  author = {<NAME> and <NAME>},
  journal = {The Journal of Finance},
  number = {2},
  pages = {479--486},
  publisher = {[American Finance Association, Wiley]},
  title = {The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on
           Stock Returns},
  volume = {44},
  year = {1989}
}

@article{limit_ord_spread,
  title = {Limit orders and the bid–ask spread},
  journal = {Journal of Financial Economics},
  volume = {53},
  number = {2},
  pages = {255 - 287},
  year = {1999},
  issn = {0304-405X},
  doi = {https://doi.org/10.1016/S0304-405X(99)00022-7},
  url = {http://www.sciencedirect.com/science/article/pii/S0304405X99000227},
  author = {<NAME> and <NAME> [<NAME>] and <NAME> [Van Ness]},
  keywords = {Limit order, Bid–ask spread, Specialists},
}

@article{components_spread,
  title = {Estimating the components of the bid/ask spread},
  journal = {Journal of Financial Economics},
  volume = {21},
  number = {1},
  pages = {123 - 142},
  year = {1988},
  issn = {0304-405X},
  doi = {https://doi.org/10.1016/0304-405X(88)90034-7},
  url = {http://www.sciencedirect.com/science/article/pii/0304405X88900347},
  author = {<NAME> and <NAME>},
}

@article{components_spread_tokyo,
  title = {The components of the bid–ask spread in a limit-order market:
           evidence from the Tokyo Stock Exchange},
  journal = {Journal of Empirical Finance},
  volume = {9},
  number = {4},
  pages = {399 - 430},
  year = {2002},
  issn = {0927-5398},
  doi = {https://doi.org/10.1016/S0927-5398(02)00003-8},
  url = {http://www.sciencedirect.com/science/article/pii/S0927539802000038},
  author = {<NAME> and <NAME> and <NAME> and <NAME>},
  keywords = {Bid–ask spread, Adverse selection cost, Order-processing cost,
              Trade size},
}

@article {EMH_lillo,
  author = {<NAME> and <NAME>},
  title = {The Long Memory of the Efficient Market},
  journal = {Studies in Nonlinear Dynamics \& Econometrics},
  year = {2004},
  publisher = {De Gruyter},
  address = {Berlin, Boston},
  volume = {8},
  number = {3},
  url = {https://www.degruyter.com/view/journals/snde/8/3/article-snde.2004.8.3.1226.xml.xml},
}

@article{master_curve,
  author = {<NAME> and <NAME> and <NAME>},
  year = {2003},
  month = {02},
  pages = {129-30},
  title = {Master Curve for Price-Impact Function},
  volume = {421},
  journal = {Nature},
  doi = {10.1038/421129a}
}

@article{pow_law_dist,
  author = {<NAME> and <NAME> and <NAME> and
            <NAME>},
  year = {2003},
  month = {06},
  pages = {267-70},
  title = {A Theory of Power-Law Distributions in Financial Market
           Fluctuations},
  volume = {423},
  journal = {Nature},
  doi = {10.1038/nature01624}
}

@article{ori_pow_law,
  author = {Vasiliki   Plerou  and  <NAME>  and <NAME>
            and  Parameswaran   Gopikrishnan},
  title = {On the origin of power-law fluctuations in stock prices},
  journal = {Quantitative Finance},
  volume = {4},
  number = {1},
  pages = {11-15},
  year  = {2004},
  publisher = {Routledge},
  doi = {10.1088/1469-7688/4/1/C02},
  URL = {https://doi.org/10.1088/1469-7688/4/1/C02},
  eprint = {https://doi.org/10.1088/1469-7688/4/1/C02}
}

@article{rand_mat,
  title = {Random matrix approach to cross correlations in financial data},
  author = {<NAME> and <NAME> and <NAME>
            and Lu\'{\i}<NAME>, and <NAME> and <NAME>},
  journal = {Phys. Rev. E},
  volume = {65},
  issue = {6},
  pages = {066126},
  numpages = {18},
  year = {2002},
  month = {Jun},
  publisher = {American Physical Society},
  doi = {10.1103/PhysRevE.65.066126},
  url = {https://link.aps.org/doi/10.1103/PhysRevE.65.066126}
}

@article{non_stationarity,
	doi = {10.1209/0295-5075/103/58003},
	url = {https://doi.org/10.1209%2F0295-5075%2F103%2F58003},
	year = 2013,
	month = {sep},
	publisher = {{IOP} Publishing},
	volume = {103},
	number = {5},
	pages = {58003},
	author = {<NAME> and <NAME> and <NAME> and
              <NAME>},
	title = {Non-stationarity in financial time series: Generic features and
             tail behavior},
	journal = {{EPL} (Europhysics Letters)},
}

@article{stat_prop,
  title={Statistical properties of stock order books: empirical results and
        models},
  volume={2},
  ISSN={1469-7696},
  url={http://dx.doi.org/10.1088/1469-7688/2/4/301},
  DOI={10.1088/1469-7688/2/4/301},
  number={4},
  journal={Quantitative Finance},
  publisher={Informa UK Limited},
  author={<NAME> and <NAME> and <NAME>},
  year={2002},
  month={Aug},
  pages={251–256}
}

@article{stat_theory,
  Title = {Statistical theory of the continuous double auction},
  Author = {<NAME> and <NAME> and <NAME> and <NAME>},
  Journal = {Quantitative Finance},
  Year    = {2003},
  Number  = {6},
  Pages   = {481--514},
  Volume  = {3},
  Doi = {10.1088/1469-7688/3/6/307},
  Eprint = {http://dx.doi.org/10.1088/1469-7688/3/6/307},
  Opturl = {http://dx.doi.org/10.1088/1469-7688/3/6/307}
}

@article{reg_and_irreg,
  Title = {Regularities and irregularities in order flow data},
  Author = {<NAME> and <NAME> and <NAME>},
  Journal = {The European Physical Journal B},
  Year    = {2017},
  Number  = {218},
  Volume  = {90},
  Doi = {10.1140/epjb/e2017-80087-6},
  url = {https://doi.org/10.1140/epjb/e2017-80087-6}
}

@article{em_stylized_facts,
  Title = {Emergence of Stylized Facts During the Opening of Stock Markets},
  Author = {<NAME> and <NAME> and <NAME>},
  Journal = {The European Physical Journal B},
  Year = {2018},
  url = {http://dx.doi.org/10.2139/ssrn.3303249}
}

@article{micro_eff,
  title = {Microstructure effects, bid–ask spreads and volatility in the spot
          foreign exchange market pre and post-EMU},
  journal = {Global Finance Journal},
  volume = {17},
  number = {1},
  pages = {23 - 49},
  year = {2006},
  issn = {1044-0283},
  doi = {https://doi.org/10.1016/j.gfj.2006.06.004},
  url = {http://www.sciencedirect.com/science/article/pii/S1044028306000251},
  author = {<NAME> and Owain {<NAME>} and <NAME>},
}

@article{eur_int_curr,
  author={<NAME> and <NAME> and <NAME>},
  title={The euro as an international currency: explaining puzzling first
         evidence from the foreign exchange markets},
  journal={Journal of International Money and Finance},
  year={2002},
  volume={21},
  number={3},
  pages={351-383},
  month={June},
  url={https://ideas.repec.org/a/eee/jimfin/v21y2002i3p351-383.html}
}

@article{eur_change_forex,
  author={<NAME> and <NAME> and <NAME>},
  title={{How has the euro changed the foreign exchange market?}},
  journal={Economic Policy},
  year=2002,
  volume={17},
  number={34},
  pages={149-192},
  month={April},
  url={https://ideas.repec.org/a/bla/ecpoli/v17y2002i34p149-192.html}
}

@article{intraday_forex,
  author = {<NAME> and <NAME>},
  year = {2009},
  month = {01},
  pages = {35-45},
  title = {Intraday spot foreign exchange market. Analysis of efficiency,
           liquidity and volatility},
  volume = {6},
  journal = {Investment Management and Financial Innovations}
}

@article{patterns_forex,
  author = {<NAME> and <NAME> and <NAME>},
  year = {2008},
  month = {01},
  title = {Patterns in high-frequency FX data: Discovery of 12 empirical
           scaling laws},
  volume = {11},
  journal = {arXiv.org, Quantitative Finance Papers},
  doi = {10.1080/14697688.2010.481632}
}

@article{electronic_forex,
  title = {The electronic trading systems and bid-ask spreads in the foreign
          exchange market},
  journal = {Journal of International Financial Markets, Institutions and Money},
  volume = {20},
  number = {4},
  pages = {323 - 345},
  year = {2010},
  issn = {1042-4431},
  doi = {https://doi.org/10.1016/j.intfin.2010.04.002},
  url = {http://www.sciencedirect.com/science/article/pii/S1042443110000247},
  author = {<NAME> and <NAME>},
}

@article{info_forex,
  author = {<NAME> and <NAME> and <NAME> and <NAME>},
  title = {Information Flows in Foreign Exchange Markets: Dissecting Customer
           Currency Trades},
  journal = {The Journal of Finance},
  volume = {71},
  number = {2},
  pages = {601-634},
  doi = {10.1111/jofi.12378},
  url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12378},
  eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/jofi.12378},
  year = {2016}
}

@article{forex_inefficiency,
  title = {Intraday return inefficiency and long memory in the volatilities of
          forex markets and the role of trading volume},
  journal = {Physica A: Statistical Mechanics and its Applications},
  volume = {506},
  pages = {433 - 450},
  year = {2018},
  issn = {0378-4371},
  doi = {https://doi.org/10.1016/j.physa.2018.04.016},
  url = {http://www.sciencedirect.com/science/article/pii/S0378437118304448},
  author = {<NAME> and <NAME> and <NAME>
            and <NAME>},
}

@article{teach_spread,
  author = {<NAME>},
  year = {2018},
  month = {10},
  pages = {55-62},
  title = {Teaching The Bid-Ask Spread And Triangular Arbitrage For The Foreign
           Exchange Market},
  volume = {11},
  journal = {American Journal of Business Education (AJBE)},
  doi = {10.19030/ajbe.v11i4.10212}
}

@article{spread_competition,
  title={FX Spreads and Dealer Competition Across the 24-Hour Trading Day},
  author={<NAME> and <NAME>},
  journal={Capital Markets: Market Microstructure},
  year={1999}
}

@article{political_forex,
  author = {<NAME> and <NAME> and <NAME> and <NAME> and
            <NAME>},
  title = {Economic and political effects on currency clustering dynamics},
  journal = {Quantitative Finance},
  volume = {19},
  number = {5},
  pages = {705-716},
  year  = {2019},
  publisher = {Routledge},
  doi = {10.1080/14697688.2018.1532101},
  URL = {https://doi.org/10.1080/14697688.2018.1532101},
  eprint = {https://doi.org/10.1080/14697688.2018.1532101}
}

@article{forex_microstructure,
  title={Microstructure of Foreign Exchange Markets},
  author={<NAME> and <NAME>},
  journal={Available at SSRN 3345289},
  year={2019},
  doi = {http://dx.doi.org/10.2139/ssrn.3345289}
}

@article{forex_volatility,
  author = {<NAME> and <NAME>},
  title = {The Global Transmission of Volatility in the Foreign Exchange
           Market},
  journal = {The Review of Economics and Statistics},
  volume = {85},
  number = {3},
  pages = {670-679},
  year = {2003},
  doi = {10.1162/003465303322369803},
  URL = {https://doi.org/10.1162/003465303322369803},
  eprint = {https://doi.org/10.1162/003465303322369803},
}

@article{forex_liquidity,
  author = {<NAME> and <NAME> and <NAME>},
  title = {Liquidity in the Foreign Exchange Market: Measurement, Commonality,
          and Risk Premiums},
  journal = {The Journal of Finance},
  volume = {68},
  number = {5},
  pages = {1805-1841},
  doi = {10.1111/jofi.12053},
  url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12053},
  eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/jofi.12053},
  year = {2013}
}

@article{forex_algorithmic,
  author = {<NAME> and <NAME> and <NAME> and
            <NAME>},
  title = {Rise of the Machines: Algorithmic Trading in the Foreign Exchange
           Market},
  journal = {The Journal of Finance},
  volume = {69},
  number = {5},
  pages = {2045-2084},
  doi = {10.1111/jofi.12186},
  url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12186},
  eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/jofi.12186},
  year = {2014}
}

@article{spread_futures,
  author = {<NAME>},
  title = {The determinants of bid-ask spreads in the foreign exchange futures
           market: A microstructure analysis},
  journal = {Journal of Futures Markets},
  volume = {19},
  number = {3},
  pages = {307-324},
  doi = {10.1002/(SICI)1096-9934(199905)19:3<307::AID-FUT4>3.0.CO;2-5},
  url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/%28SICI%291096-9934%28199905%2919%3A3%3C307%3A%3AAID-FUT4%3E3.0.CO%3B2-5},
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  year = {1999}
}

@article{order_flow_forex,
  title = {Order flow, bid-ask spread and trading density in foreign exchange
           markets},
  journal = {Journal of Banking \& Finance},
  volume = {36},
  number = {2},
  pages = {597-612},
  year = {2012},
  issn = {0378-4266},
  doi = {https://doi.org/10.1016/j.jbankfin.2011.09.006},
  url = {http://www.sciencedirect.com/science/article/pii/S0378426611002603},
  author = {<NAME> and <NAME> and <NAME>}
}

@article{local_forex,
  title = {Local information in foreign exchange markets},
  journal = {Journal of International Money and Finance},
  volume = {27},
  number = {8},
  pages = {1383 - 1406},
  year = {2008},
  issn = {0261-5606},
  doi = {https://doi.org/10.1016/j.jimonfin.2007.10.003},
  url = {http://www.sciencedirect.com/science/article/pii/S0261560607001179},
  author = {<NAME> and <NAME>},
  keywords = {Local information hypothesis, Price impact, Limit orders, Informed
              traders},
}

@article{response_funct_fx,
  title = {Informed trade in spot foreign exchange markets: an empirical
          investigation},
  journal = {Journal of International Economics},
  volume = {61},
  number = {2},
  pages = {307-329},
  year = {2003},
  issn = {0022-1996},
  doi = {https://doi.org/10.1016/S0022-1996(03)00003-5},
  url = {https://www.sciencedirect.com/science/article/pii/S0022199603000035},
  author = {<NAME>},
}

@article{physicists_contribution,
  title = {Econophysics: Can physicists contribute to the science of economics?},
  journal = {Physica A: Statistical Mechanics and its Applications},
  volume = {269},
  number = {1},
  pages = {156-169},
  year = {1999},
  issn = {0378-4371},
  doi = {https://doi.org/10.1016/S0378-4371(99)00185-5},
  url = {https://www.sciencedirect.com/science/article/pii/S0378437199001855},
  author = {<NAME> and <NAME> and <NAME> and <NAME> and <NAME> and <NAME>},
}

@article{my_paper_response_financial,
  title = {Price response functions and spread impact in correlated financial
           markets},
  author = {<NAME> and <NAME> and <NAME>},
  year = {2021},
  month = {04},
  day = {08},
  journal = {The European Physical Journal B},
  volume = {94},
  number = {4},
  doi = {10.1140/epjb/s10051-021-00077-z},
  url = {https://doi.org/10.1140/epjb/s10051-021-00077-z},
  issn = {1434-6036},
}

@article{prop_order_book,
  title = {More statistical properties of order books and price impact},
  journal = {Physica A: Statistical Mechanics and its Applications},
  volume = {324},
  number = {1},
  pages = {133 - 140},
  year = {2003},
  note = {Proceedings of the International Econophysics Conference},
  issn = {0378-4371},
  doi = {https://doi.org/10.1016/S0378-4371(02)01896-4},
  url = {http://www.sciencedirect.com/science/article/pii/S0378437102018964},
}

@article{data_01,
title = {Big data analytics for financial Market volatility forecast based on support vector machine},
journal = {International Journal of Information Management},
volume = {50},
pages = {452-462},
year = {2020},
issn = {0268-4012},
doi = {https://doi.org/10.1016/j.ijinfomgt.2019.05.027},
url = {https://www.sciencedirect.com/science/article/pii/S0268401218313604},
author = {<NAME> and <NAME> and <NAME> and <NAME> and
          <NAME> and <NAME> and <NAME>},
}

@article{data_02,
title = {FinTechs and the Market for Financial Analysis},
volume = {56},
DOI = {10.1017/S0022109020000721},
number = {6},
journal = {Journal of Financial and Quantitative Analysis},
publisher = {Cambridge University Press},
author = {<NAME> and <NAME>},
year={2021},
pages={1877–1907}
}

@article{data_03,
title = {Correlation Structure and Evolution of World Stock Markets: Evidence
         from Pearson and Partial Correlation-Based Networks},
volume = {51},
DOI = {10.1007/s10614-016-9627-7},
journal = {Computational Economics},
author = {<NAME> and <NAME> and <NAME>},
year={2018},
pages={607–635}
}

@article{data_04,
title = {Financial markets under the global pandemic of COVID-19},
journal = {Finance Research Letters},
volume = {36},
pages = {101528},
year = {2020},
issn = {1544-6123},
doi = {https://doi.org/10.1016/j.frl.2020.101528},
url = {https://www.sciencedirect.com/science/article/pii/S1544612320304050},
author = {<NAME> and <NAME> and <NAME>},
}

@article{data_05,
title = {Bid-ask spread determination in the FX swap market: Competition, collusion or a convention?},
journal = {Journal of International Financial Markets, Institutions and Money},
volume = {54},
pages = {78-97},
year = {2018},
issn = {1042-4431},
doi = {https://doi.org/10.1016/j.intfin.2017.08.001},
url = {https://www.sciencedirect.com/science/article/pii/S1042443117303797},
author = {<NAME>},
}

@article{data_06,
title = {A multivariate stochastic volatility model with applications in the
         foreign exchange market},
journal = {Review of Derivatives Research},
volume = {21},
pages = {1-43},
year = {2018},
issn = {1573-7144},
doi = {10.1007/s11147-017-9132-8},
url = {https://doi.org/10.1007/s11147-017-9132-8},
author = {<NAME> and <NAME>},
}


%==============================================================================
%Books
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  author    = {<NAME> and <NAME> and <NAME>},
  title     = {The \LaTeX\ Companion},
  year      = {1993},
  publisher = {Addison-Wesley},
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@inbook{market_making,
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@inbook{intro_market_micro,
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@inbook{forex_structure,
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@Inbook{forex_market_micro,
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@incollection{book_forex,
title = {Chapter 5 - Stock Markets, Derivatives Markets, and Foreign Exchange
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editor = {<NAME>},
booktitle = {Strategies of Banks and Other Financial Institutions},
publisher = {Academic Press},
address = {San Diego},
pages = {125-164},
year = {2014},
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doi = {https://doi.org/10.1016/B978-0-12-416997-5.00005-1},
url = {https://www.sciencedirect.com/science/article/pii/B9780124169975000051},
author = {<NAME>},
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@incollection{book_forex_2,
title = {Chapter 1 - The Foreign Exchange Market},
editor = {<NAME> and <NAME>},
author = {<NAME> and <NAME>},
booktitle = {International Money and Finance (Eighth Edition)},
publisher = {Academic Press},
edition = {Eighth Edition},
pages = {3-24},
year = {2013},
isbn = {978-0-12-385247-2},
doi = {https://doi.org/10.1016/B978-0-12-385247-2.00001-9},
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@incollection{book_forex_3,
title = {Chapter 7 - Foreign Exchange Market and Interest Rates},
editor = {<NAME> and <NAME>},
booktitle = {Multi-Asset Risk Modeling},
publisher = {Academic Press},
address = {San Diego},
pages = {217-246},
year = {2014},
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doi = {https://doi.org/10.1016/B978-0-12-401690-3.00007-X},
url = {https://www.sciencedirect.com/science/article/pii/B978012401690300007X},
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@incollection{book_forex_4,
title = {Chapter 11 - Microstructure of Currency Markets},
editor = {<NAME> and <NAME> and <NAME> and
          <NAME> and <NAME> and <NAME> and <NAME>
          and <NAME>},
booktitle = {Handbook of Safeguarding Global Financial Stability},
publisher = {Academic Press},
address = {San Diego},
pages = {107-119},
year = {2013},
isbn = {978-0-12-397875-2},
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url = {https://www.sciencedirect.com/science/article/pii/B978012397875200012X},
author = {<NAME>}
}

%==============================================================================
%Doesn't fit in any other type
@misc{r_walks_liquidity,
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@misc{Wang_2017,
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@incollection{market_digest,
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  editor = {<NAME> and <NAME>},
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@incollection{complex_markets,
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@misc{predictive_pow,
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@techreport{curr_speculation,
 title = {The Returns to Currency Speculation in Emerging Markets},
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}

@misc{code,
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          foreign exchange markets code},
  author={<NAME>},
  year={2021},
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  url={https://doi.org/10.5281/zenodo.4569918}
}

@misc{my_paper_response_financial_arxiv,
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          markets},
  author={<NAME> and <NAME> and <NAME>},
  year={2020},
  eprint={2010.15105},
  archivePrefix={arXiv},
  primaryClass={q-fin.ST}
}

@misc{bis,
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@manual{xetra,
  title        = {T7 Release 8.0. Enhanced Order Book Interface},
  organization = {Deutsche Börse Group},
  year         = {2020},
  month = {03},
  version={v8.0.4}
}