Forecasting High-Frequency Futures Returns Using Online Langevin Dynamics. - Hugh L. Christensen; James K. Murphy; Simon J. Godsill (IEEE J. Sel. Top. Signal Process., 2012)

A Correction Note for Price Dynamics in a Markovian Limit Order Market. - Geliang Zhang; Hugh L. Christensen; Guolong Li; Simon J. Godsill (SIAM J. Financial Math., 2016)