Financial Knudsen number: Breakdown of continuous price dynamics and asymmetric buy-and-sell structures confirmed by high-precision order-book information

Agent-based models for latent liquidity and concave price impact

(2014) Iacopo Mastromatteo et al.   PHYSICAL REVIEW E

Financial Brownian Particle in the Layered Order-Book Fluid and Fluctuation-Dissipation Relations

(2014) Yoshihiro Yura et al.   PHYSICAL REVIEW LETTERS

Physics and financial economics (1776–2014): puzzles, Ising and agent-based models

(2014) Didier Sornette   REPORTS ON PROGRESS IN PHYSICS

Rapid detection of the switching point in a financial market structure using the particle filter

(2013) Yoshihiro Yura et al.   JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION

Fokker-Planck description for the queue dynamics of large tick stocks

(2013) A. Garèche et al.   PHYSICAL REVIEW E

Quantifying reflexivity in financial markets: Toward a prediction of flash crashes

(2012) Vladimir Filimonov et al.   PHYSICAL REVIEW E

Physical approach to complex systems

(2012) Jarosław Kwapień et al.   PHYSICS REPORTS-REVIEW SECTION OF PHYSICS LETTERS

The price impact of order book events: market orders, limit orders and cancellations

(2011) Zoltán Eisler et al.   QUANTITATIVE FINANCE

Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

(2011) B. Tóth et al.   Physical Review X

High Knudsen number fluid flow at near-standard temperature and pressure conditions using precision nanochannels

(2010) William H. Fissell et al.   Microfluidics and Nanofluidics

Heat transfer and fluid flow in microchannels and nanochannels at high Knudsen number using thermal lattice-Boltzmann method

(2010) J. Ghazanfarian et al.   PHYSICAL REVIEW E

Random walker in temporally deforming higher-order potential forces observed in a financial crisis

(2009) Kota Watanabe et al.   PHYSICAL REVIEW E