Uncovering Discrete Non-Linear Dependence with Information Theory. - Anton Golub; Gregor Chliamovitch; Alexandre Dupuis; Bastien Chopard (Entropy, 2015)

Multi-scale representation of high frequency market liquidity. - Anton Golub; Gregor Chliamovitch; Alexandre Dupuis; Bastien Chopard (Algorithmic Finance, 2016)