References

Abergel, Frédéric. 2016. Limit Order Books. Delhi: Cambridge University Press.

Bouchaud, Jean-Philippe, and Julius Bonart. 2018. Trades, Quotes and Prices: Financial Markets Under the Microscope. Cambridge, UK ; New York: Cambridge University Press.

Hautsch, Nikolaus. 2004. Modelling Irregularly Spaced Financial Data. Edited by G. Fandel and W. Trockel. Vol. 539. Lecture Notes in Economics and Mathematical Systems. Berlin, Heidelberg: Springer Berlin Heidelberg. http://link.springer.com/10.1007/978-3-642-17015-7.