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Bing Anderson. (2016) Stock price leads and lags before the golden age of high-frequency trading. Applied Economics Letters 23:3, pages 212-216.
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Liwei Jin, Xianghui Yuan, Xiang Li, Huanglong Ma & Feng Lian. (2022) Would widening price limits improve the efficiency of price discovery?. Finance Research Letters 50, pages 103208.
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Kyungsub Lee & Byoung Ki Seo. (2022) Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data. Journal of Financial Econometrics.
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El Mehdi Ferrouhi & Ibrahim Bouabdallaoui. 2022. Big Data in Finance. Big Data in Finance
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Liang Wu, Hengzhi Liu, Chang Liu & Yunshen Long. (2020) Determining the information share of liquidity and order flows in extreme price movements. Economic Modelling 93, pages 559-575.
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Gianluca Piero Maria Virgilio. (2019) High-frequency trading: a literature review. Financial Markets and Portfolio Management 33:2, pages 183-208.
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Everton Silva, Humberto Brandao, Douglas Castilho & Adriano C. M. Pereira. (2015) A binary ensemble classifier for high-frequency trading. A binary ensemble classifier for high-frequency trading.