Y. Ait-sahalia and M. Saglam, High frequency traders: Taking advantage of speed. NBER Working Papers, National Bureau of Economic Research, 2013.

M. Aloud, E. Tsang, R. Olsen, and A. Dupuis, A directional-change events approach for studying financial time series, Economics Discussion Paper, pp.2011-2039, 2011.

M. Aloud, E. Tsang, R. Olsen, B. Alexandrova-kabadjova, S. Martinez-jaramillo et al., Modeling the fx market traders' behavior: An agent-based approach, Simulation in Computational Finance and Economics: Tools and Emerging Applications, 2013.

T. Ané and H. Geman, Order Flow, Transaction Clock, and Normality of Asset Returns, The Journal of Finance, vol.45, issue.5, pp.2259-2284, 2000.
DOI : 10.1111/0022-1082.00286

M. Avellaneda and S. Stoikov, High-frequency trading in a limit order book, Quantitative Finance, vol.8, issue.3, pp.217-224, 2008.
DOI : 10.1080/14697680500244411

M. Bartolozzi, A multi agent model for the limit order book dynamics, The European Physical Journal B, vol.57, issue.2, pp.265-273, 2010.
DOI : 10.1140/epjb/e2010-10406-4

J. Bouchaud, M. Mézard, and M. Potters, Statistical properties of stock order books: empirical results and models, Quantitative Finance, vol.2, issue.4, pp.251-256, 2002.
DOI : 10.1103/PhysRevE.62.R4493

URL : https://hal.archives-ouvertes.fr/hal-00002329

W. Brock and C. Hommes, Heterogeneous beliefs and routes to chaos in a simple asset pricing model, Journal of Economic Dynamics and Control, vol.22, issue.8-9, pp.1235-1274, 1998.
DOI : 10.1016/S0165-1889(98)00011-6

J. Brogaard, High frequency trading and its impact on market quality, 2010.

A. Chakraborti, I. Toke, M. Patriarca, and F. Abergel, Econophysics review: I. Empirical facts, Quantitative Finance, vol.382, issue.7, pp.991-1012, 2011.
DOI : 10.1016/j.jebo.2004.11.016

C. Chiarella, The dynamics of speculative behaviour, Annals of Operations Research, vol.1, issue.10, pp.101-123, 1992.
DOI : 10.1007/BF02071051

C. Chiarella and X. He, HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER, Macroeconomic Dynamics, vol.7, issue.04, pp.503-536, 2003.
DOI : 10.1017/S1365100502020114

C. Chiarella, X. He, and C. Hommes, A dynamic analysis of moving average rules, Journal of Economic Dynamics and Control, vol.30, issue.9-10, pp.1729-1753, 2006.
DOI : 10.1016/j.jedc.2005.08.014

P. Clark, A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, Econometrica, vol.41, issue.1, pp.135-155, 1973.
DOI : 10.2307/1913889

R. Cont, Empirical properties of asset returns: stylized facts and statistical issues, Quantitative Finance, vol.1, issue.2, pp.223-236, 2001.
DOI : 10.1080/713665670

R. Cont, M. Potters, and J. Bouchaud, Scaling in stock market data: stable laws and beyond, 1997.

J. Cvitanic and A. Kirilenko, High frequency traders and asset prices. Available at, 2010.

D. Easley, L. De-prado, M. , O. Hara, and M. , The Volume Clock: Insights into the High Frequency Paradigm, SSRN Electronic Journal, vol.39, issue.1, pp.19-29, 2012.
DOI : 10.2139/ssrn.2034858

E. Fama, Efficient Capital Markets: A Review of Theory and Empirical Work, The Journal of Finance, vol.25, issue.2, pp.383-417, 1970.
DOI : 10.2307/2325486

J. Farmer, Market force, ecology and evolution, Industrial and Corporate Change, vol.11, issue.5, pp.895-953, 2002.
DOI : 10.1093/icc/11.5.895

URL : http://arxiv.org/abs/adap-org/9812005

J. Farmer, L. Gillemot, F. Lillo, M. Szabolcs, and A. Sen, What really causes large price changes?, Quantitative Finance, vol.2, issue.4, pp.383-397, 2004.
DOI : 10.1080/14697680400008627

J. Farmer, P. Patelli, and I. Zovko, The predictive power of zero intelligence in financial markets, PNAS, vol.102, issue.6, 2005.

T. Hanson, The effects of high frequency traders in a simulated market. Available at SSRN, 2011.

J. Hasbrouck and G. Saar, Technology and liquidity provision: The blurring of traditional definitions, Journal of Financial Markets, vol.12, issue.2, pp.143-172, 2009.
DOI : 10.1016/j.finmar.2008.06.002

C. Hommes, H. Huang, and D. Wang, A robust rational route to randomness in a simple asset pricing model, Journal of Economic Dynamics and Control, vol.29, issue.6, pp.1043-1072, 2005.
DOI : 10.1016/j.jedc.2004.08.003

A. Kirilenko, A. Kyle, M. Samadi, and T. Tuzun, The Flash Crash: The Impact of High Frequency Trading on an Electronic Market, SSRN Electronic Journal, 2011.
DOI : 10.2139/ssrn.1686004

A. Lo and A. Mackinlay, A Non-Random Walk Down Wall Street, 1999.

H. Luckock, A steady-state model of the continuous double auction, Quantitative Finance, vol.72, issue.5, pp.385-404, 2003.
DOI : 10.1086/258609

T. Lux, Herd Behaviour, Bubbles and Crashes, The Economic Journal, vol.105, issue.431, pp.881-896, 1995.
DOI : 10.2307/2235156

T. Lux, Financial power laws: Empirical evidence, models, and mechanisms, Chaos, Solitons & Fractals, vol.88, 2006.
DOI : 10.1016/j.chaos.2016.01.020

T. Lux and M. Marchesi, VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS, International Journal of Theoretical and Applied Finance, vol.03, issue.04, pp.675-702, 2000.
DOI : 10.1142/S0219024900000826

B. Mandelbrot and M. Taylor, On the Distribution of Stock Price Differences, Operations Research, vol.15, issue.6, pp.1057-162, 1967.
DOI : 10.1287/opre.15.6.1057

S. Maslov, Simple model of a limit order-driven market. Physica A: Statistical Mechanics and its Applications, pp.571-578, 2000.

A. Menkveld, High frequency trading and the new-market makers, Quarterly Journal of Economics, vol.128, issue.1, pp.249-85, 2013.

M. Paddrik, R. Hayes, A. Todd, S. Yang, W. Scherer et al., An agent based model of the e-mini s&p 500 and the flash crash Available at SSRN, 2011.

A. Pagan, The econometrics of financial markets, Journal of Empirical Finance, vol.3, issue.1, pp.15-102, 1996.
DOI : 10.1016/0927-5398(95)00020-8

S. Patterson and A. Ackerman, Sec may ticket speeding traders, Wall Street Journal, 2012.

P. Pellizzari and F. Westerhoff, Some effects of transaction taxes under different microstructures, Journal of Economic Behavior & Organization, vol.72, issue.3, pp.850-863, 2009.
DOI : 10.1016/j.jebo.2009.08.010

URL : https://hal.archives-ouvertes.fr/hal-00727590

F. Slanina, Critical comparison of several order-book models for stock-market fluctuations, The European Physical Journal B, vol.57, issue.2, pp.225-240, 2008.
DOI : 10.1140/epjb/e2008-00059-3

E. Smith, J. Farmer, G. Ls, and S. Krishnamurthy, Statistical theory of the continuous double auction, Quantitative Finance, vol.3, issue.6, pp.481-514, 2003.
DOI : 10.1017/CBO9780511755767

D. Sornette, V. Der-becke, and S. , Crashes and high frequency trading. Swiss Finance Institute Research Paper, pp.11-63, 2011.
DOI : 10.2139/ssrn.1976249

E. Wah and M. Wellman, Latency arbitrage, market fragmentation, and efficiency, Proceedings of the fourteenth ACM conference on Electronic commerce, EC '13, pp.855-872, 2013.
DOI : 10.1145/2492002.2482577

F. Westerhoff, The use of agent-based financial market models to test the effectiveness of regulatory policies, Jahr Nationaloekon Statist, vol.228, issue.2, p.195, 2008.

F. Zhang, High-Frequency Trading, Stock Volatility, and Price Discovery, SSRN Electronic Journal, 2010.
DOI : 10.2139/ssrn.1691679

I. Zovko and J. Farmer, The power of patience: a behavioural regularity in limit-order placement, Quantitative Finance, vol.37, issue.5, pp.387-392, 2002.
DOI : 10.1016/0167-2789(92)90102-S