Hawkes Process: Fast Calibration, Application to Trade Clustering and Diffusive Limit(Jose Da Fonseca, Riadh Zaatour)

Impact of the Introduction of Call Auction on Price Discovery: Evidence from the Indian Stock Market Using High-Frequency Data(Sobhesh Kumar Agarwalla, Joshy Jacob, Ajay Pandey)

The Informational Role of Trade Duration: The Case of an Index Options Market(Doojin Ryu)

Trading Behaviour in Closely Related Markets for S&P500 Index Futures(Lee A. Smales)