Reading List

1) Bouchaud et al., "How Markets Slowly Digest Changes in Supply and Demand", in Handbook of Financial Markets: Dynamics and Evolution (2009)
2) Gould et al., "Limit Order Books", Quantitative Finance 13, no. 11 (2013)
3) Bouchaud et al., "How Markets Slowly Digest Changes in Supply and Demand", in Handbook of Financial Markets: Dynamics and Evolution (2009).
4) Mantegna and Stanley, "An Introduction to Econophysics: Correlations and Complexity in Finance" (2000)