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My group has been doing some work in this area.

In particular, see the following papers:

Also, though not networks per se, we also have a survey article on limit 
order books [and are planning on doing networky stuff with such data]:

And if you look in, say, a couple of months, there should be another paper 
on limit order books on my website.  (Well, let me be optimistic about 
when we will be ready to post the paper, even though it always takes 
longer than I think it will to finish...)


  Mason A. Porter
  University Lecturer (and Tutorial Fellow, Somerville College)
  Oxford Centre for Industrial and Applied Mathematics
  Mathematical Institute, University of Oxford

  Homepage:, IM: tepid451
  "That's my new excuse, and I'm sticking to it." (Me)

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