Limit order books (LOBs) match buyers and sellers in more than half of the world's financial
markets. This survey highlights the insights that have emerged from the wealth of empirical …

The purpose of this paper is to advance the understanding of the conditions that give rise to
flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To …

Tools and methods from complex systems science can have a considerable impact on the
way in which the quantitative assessment of economic and financial issues is approached …

Technical trading represents a class of investment strategies for Financial Markets based on
the analysis of trends and recurrent patterns in price time series. According standard …

Latent order book models have allowed for significant progress in our understanding of price
formation in financial markets. In particular they are able to reproduce a number of stylized …

In this work, we propose an order book model with herd behavior. The proposed model is
built upon two distinct approaches: a recent empirical study of the detailed order book …

We present an empirical analysis of the microstructure of financial markets and, in particular,
of the static and dynamic properties of liquidity. We find that on relatively large time scales …

Large tick assets, ie assets where one tick movement is a significant fraction of the price and
bid-ask spread is almost always equal to one tick, display a dynamics in which price …

We show that the statistics of spreads in real order books is characterized by an intrinsic
asymmetry due to discreteness effects for even or odd values of the spread. An analysis of …

The global financial system is a sociotechnological complex network, in which millions of
economic agents interact over timescales ranging from months to milliseconds. The decade …