{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,19]],"date-time":"2025-12-19T09:24:23Z","timestamp":1766136263024},"reference-count":76,"publisher":"Institute of Electrical and Electronics Engineers (IEEE)","issue":"4","license":[{"start":{"date-parts":[[2012,8,1]],"date-time":"2012-08-01T00:00:00Z","timestamp":1343779200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/ieeexplore.ieee.org\/Xplorehelp\/downloads\/license-information\/IEEE.html"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["IEEE J. Sel. Top. Signal Process."],"published-print":{"date-parts":[[2012,8]]},"DOI":"10.1109\/jstsp.2011.2174192","type":"journal-article","created":{"date-parts":[[2011,11,1]],"date-time":"2011-11-01T20:08:40Z","timestamp":1320178120000},"page":"381-387","source":"Crossref","is-referenced-by-count":18,"title":["Statistical Analysis and Agent-Based Microstructure Modeling of High-Frequency Financial Trading"],"prefix":"10.1109","volume":"6","author":[{"given":"Linda","family":"Ponta","sequence":"first","affiliation":[]},{"given":"Enrico","family":"Scalas","sequence":"additional","affiliation":[]},{"given":"Marco","family":"Raberto","sequence":"additional","affiliation":[]},{"given":"Silvano","family":"Cincotti","sequence":"additional","affiliation":[]}],"member":"263","reference":[{"key":"ref73","author":"cincotti","year":"2005","journal-title":"Economics with Heterogeneous Interacting Agents"},{"key":"ref72","author":"gnedenko","year":"1968","journal-title":"Introduction to Queueing Theory"},{"key":"ref71","author":"cox","year":"1979","journal-title":"Point Processes"},{"key":"ref70","first-page":"53","article-title":"A fractional generalization of the Poisson process","volume":"32","author":"mainardi","year":"2004","journal-title":"Vietnam J Math"},{"key":"ref76","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/4\/1\/C01"},{"key":"ref74","doi-asserted-by":"publisher","DOI":"10.1080\/14697680400000022"},{"key":"ref39","doi-asserted-by":"publisher","DOI":"10.1051\/jp1:1995183"},{"key":"ref75","doi-asserted-by":"publisher","DOI":"10.1080\/14697680400008627"},{"key":"ref38","first-page":"227","article-title":"Neoclassical demand—A model-free examination of price-quantity relations in the Marseilles fish market","volume":"67","author":"hardle","year":"1995","journal-title":"J Econometrics"},{"key":"ref33","doi-asserted-by":"publisher","DOI":"10.1023\/A:1026146100090"},{"key":"ref32","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/2\/5\/303"},{"key":"ref31","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4371(00)00548-3"},{"key":"ref30","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(99)00022-6"},{"key":"ref37","doi-asserted-by":"publisher","DOI":"10.1007\/s100510050714"},{"key":"ref36","doi-asserted-by":"publisher","DOI":"10.1017\/S1365100500015029"},{"key":"ref35","doi-asserted-by":"publisher","DOI":"10.1088\/0034-4885\/70\/3\/R03"},{"key":"ref34","author":"hommes","year":"2006","journal-title":"Handbook of Computational Economics"},{"key":"ref60","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500244411"},{"key":"ref62","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2005.09.047"},{"key":"ref61","doi-asserted-by":"publisher","DOI":"10.1063\/1.1889265"},{"key":"ref63","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511599798"},{"key":"ref28","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(98)00081-5"},{"key":"ref64","author":"hudson","year":"2010","journal-title":"The (Mis)Behaviour of Markets"},{"key":"ref27","author":"arthur","year":"1997","journal-title":"The Economy as an Evolving Complex System II"},{"key":"ref65","doi-asserted-by":"crossref","DOI":"10.1142\/7659","author":"vrobel","year":"2011","journal-title":"Studies of Nonlinear Phenomena in Life Science"},{"key":"ref66","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2005.11.024"},{"key":"ref29","author":"levy","year":"2000","journal-title":"Microscopic Simulation of Financial Markets"},{"key":"ref67","doi-asserted-by":"publisher","DOI":"10.1016\/j.chaos.2007.01.047"},{"key":"ref68","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2007.11.018"},{"key":"ref69","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4371(02)01048-8"},{"key":"ref2","doi-asserted-by":"publisher","DOI":"10.2307\/3666197"},{"key":"ref1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(97)00003-0"},{"key":"ref20","doi-asserted-by":"publisher","DOI":"10.2307\/2999632"},{"key":"ref22","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00134-4"},{"key":"ref21","first-page":"117","article-title":"The logarithmic acd model: An application to the bid-ask quote process of three NYSE stocks","volume":"60","author":"bauwens","year":"2000","journal-title":"Annales d' Economie et de Statitique"},{"key":"ref24","doi-asserted-by":"publisher","DOI":"10.1086\/294677"},{"key":"ref23","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2009.06.036"},{"key":"ref26","doi-asserted-by":"publisher","DOI":"10.1016\/0167-2789(94)90287-9"},{"key":"ref25","author":"cohen","year":"1986","journal-title":"The Microstructure of the Securities Markets"},{"key":"ref50","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(02)00136-8"},{"key":"ref51","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevE.80.016112"},{"key":"ref59","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500151400"},{"key":"ref58","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevE.81.066101"},{"key":"ref57","doi-asserted-by":"publisher","DOI":"10.1007\/s10589-009-9245-6"},{"key":"ref56","doi-asserted-by":"publisher","DOI":"10.1073\/pnas.1019484108"},{"key":"ref55","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevE.78.036108"},{"key":"ref54","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevE.80.066102"},{"key":"ref53","doi-asserted-by":"publisher","DOI":"10.1080\/14697680701344515"},{"key":"ref52","doi-asserted-by":"publisher","DOI":"10.1140\/epjb\/e2007-00185-4"},{"key":"ref10","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500040413"},{"key":"ref11","doi-asserted-by":"publisher","DOI":"10.1088\/1367-2630\/12\/5\/053035"},{"key":"ref40","doi-asserted-by":"publisher","DOI":"10.1038\/17290"},{"key":"ref12","doi-asserted-by":"publisher","DOI":"10.1016\/j.nonrwa.2010.09.018"},{"key":"ref13","doi-asserted-by":"publisher","DOI":"10.1209\/0295-5075\/93\/28002"},{"key":"ref14","doi-asserted-by":"crossref","first-page":"394","DOI":"10.1086\/294632","article-title":"The variation of certain speculative prices","volume":"36","author":"mandelbrot","year":"1963","journal-title":"J Business"},{"key":"ref15","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-2763-0"},{"key":"ref16","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(90)90009-Q"},{"key":"ref17","doi-asserted-by":"publisher","DOI":"10.1038\/376046a0"},{"key":"ref18","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevE.62.R4493"},{"key":"ref19","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(97)00006-6"},{"key":"ref4","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4371(00)00255-7"},{"key":"ref3","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(00)00007-0"},{"key":"ref6","author":"dacorogna","year":"2001","journal-title":"An Introduction to High Frequency Finance"},{"key":"ref5","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4371(00)00386-1"},{"key":"ref8","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4371(02)01902-7"},{"key":"ref7","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4371(01)00312-0"},{"key":"ref49","doi-asserted-by":"publisher","DOI":"10.2307\/4126732"},{"key":"ref9","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/3\/5\/305"},{"key":"ref46","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02626.x"},{"key":"ref45","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-2681(01)00164-0"},{"key":"ref48","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.1.37"},{"key":"ref47","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(00)00057-X"},{"key":"ref42","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-2681(96)00021-2"},{"key":"ref41","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4371(99)00290-3"},{"key":"ref44","doi-asserted-by":"publisher","DOI":"10.2307\/2298059"},{"key":"ref43","doi-asserted-by":"publisher","DOI":"10.2307\/2118364"}],"container-title":["IEEE Journal of Selected Topics in Signal Processing"],"original-title":[],"link":[{"URL":"http:\/\/xplorestaging.ieee.org\/ielx5\/4200690\/6239656\/06064868.pdf?arnumber=6064868","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,10,10]],"date-time":"2021-10-10T23:53:25Z","timestamp":1633910005000},"score":1,"resource":{"primary":{"URL":"http:\/\/ieeexplore.ieee.org\/document\/6064868\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2012,8]]},"references-count":76,"journal-issue":{"issue":"4"},"URL":"https:\/\/doi.org\/10.1109\/jstsp.2011.2174192","relation":{},"ISSN":["1932-4553","1941-0484"],"issn-type":[{"value":"1932-4553","type":"print"},{"value":"1941-0484","type":"electronic"}],"subject":[],"published":{"date-parts":[[2012,8]]}}}