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

In search of the black swans

(2015) Mark Buchanan   PHYSICS WORLD

Modelling microstructure noise with mutually exciting point processes

(2012) E. Bacry et al.   QUANTITATIVE FINANCE

Statistical Modeling of High-Frequency Financial Data

(2011) Rama Cont   IEEE SIGNAL PROCESSING MAGAZINE

Limits of declustering methods for disentangling exogenous from endogenous events in time series with foreshocks, main shocks, and aftershocks

(2009) D. Sornette et al.   PHYSICAL REVIEW E

Detrended fluctuation analysis of intertrade durations

(2008) Zhi-Qiang Jiang et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Model for interevent times with long tails and multifractality in human communications: An application to financial trading

(2008) Josep Perelló et al.   PHYSICAL REVIEW E

Robust dynamic classes revealed by measuring the response function of a social system

(2008) R. Crane et al.   PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA

Extending Earthquakes' Reach Through Cascading

(2008) D. Marsan et al.   SCIENCE

Fitting the empirical distribution of intertrade durations

(2007) Mauro Politi et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS