References
- Ahn , H. , Bae , K. and Chan , K. 2001 . Limit orders, depth, and volatility: Evidence from the stock exchange of Hong Kong . Journal of Finance , 56 ( 2 ) : 767 – 88 . (doi:10.1111/0022-1082.00345)
- Andersen , T. , Bollerslev , T. , Diebold , F. and Labys , P. 2003 . Modeling and forecasting realized volatility . Econometrica , 71 ( 2 ) : 579 – 625 . (doi:10.1111/1468-0262.00418)
- Biais , B. , Hillion , P. and Spatt , C. 1995 . An empirical analysis of the limit order book and the order flow in the Paris Bourse . Journal of Finance , 50 ( 5 ) : 1655 – 89 . (doi:10.1111/j.1540-6261.1995.tb05192.x)
- Biais , B. , Foucault , T. and Salanié , F. 1998 . Floors, dealer markets, and limit order markets . Journal of Financial Markets , 1 ( 3–4 ) : 253 – 84 . (doi:10.1016/S1386-4181(98)00003-2)
- Biais , B. , Martimort , D. and Rochet , J. 2000 . Competing mechanisms in a common value environment . Econometrica , 68 ( 4 ) : 799 – 837 . (doi:10.1111/1468-0262.00138)
- Biais , B. , Glosten , L. and Spatt , C. 2005 . A survey of microfoundations, empirical results, and policy implications . Journal of Financial Markets , 8 ( 2 ) : 217 – 64 . (doi:10.1016/j.finmar.2004.11.001)
- Bloomfield , R. , O'Hara , M. and Saar , G. 2009 . How noise trading affects markets: An experimental analysis . Review of Financial Studies , 22 ( 6 ) : 2275 – 302 . (doi:10.1093/rfs/hhn102)
- Dufour , A. and Engle , R. 2000 . Time and the price impact of a trade . Journal of Finance , 55 ( 6 ) : 2467 – 99 . (doi:10.1111/0022-1082.00297)
- Easley , D. , Kiefer , N. , O'Hara , M. and Paperman , J. 1996 . Liquidity, information, and less-frequently traded stocks . Journal of Finance , 51 ( 4 ) : 1405 – 36 . (doi:10.1111/j.1540-6261.1996.tb04074.x)
- Easley , D. , Hvidkjaer , S. and O'Hara , M. 2002 . Is information risk a determinant of asset returns? . Journal of Finance , 57 ( 5 ) : 2185 – 221 . (doi:10.1111/1540-6261.00493)
- Foucault , T. 1999 . Order flow composition and trading costs in a dynamic limit order market . Journal of Financial Markets , 2 ( 2 ) : 99 – 134 . (doi:10.1016/S1386-4181(98)00012-3)
- Foucault , T. , Kadan , O. and Kandel , E. 2005 . Limit order book as a market for liquidity . Review of Financial Studies , 18 ( 4 ) : 1171 – 217 . (doi:10.1093/rfs/hhi029)
- Glosten , L. 1994 . Is the electronic limit order book inevitable? . Journal of Finance , 49 ( 4 ) : 1127 – 61 . (doi:10.1111/j.1540-6261.1994.tb02450.x)
- Goettler , R. , Parlour , C. and Rajan , U. 2005 . Equilibrium in a dynamic limit order market . Journal of Finance , 60 ( 5 ) : 2149 – 92 . (doi:10.1111/j.1540-6261.2005.00795.x)
- Goettler , R. , Parlour , C. and Rajan , U. 2009 . Informed traders and limit order markets . Journal of Financial Economics , 93 ( 1 ) : 67 – 87 . (doi:10.1016/j.jfineco.2008.08.002)
- Grammig, J., E. Theissen, and O. Wünsche. 2007. Time and price impact of a trade: A structural approach. Discussion paper, EFA 2007 tConference Paper, Universities Tübingen and Mannheim
- Griffiths , M. , Smith , B. , Turnbull , D. and White , R. 2000 . The costs and determinants of order aggressiveness . Journal of Financial Economics , 56 ( 1 ) : 65 – 88 . (doi:10.1016/S0304-405X(99)00059-8)
- Harris , L. and Hasbrouck , J. 1996 . Market vs. limit orders: the superDOT evidence on order submission strategy . Journal of Financial and Quantitative Analysis , 31 ( 2 ) : 213 – 31 . (doi:10.2307/2331180)
- Hasbrouck , J. 1991 . Measuring the information content of stock trades . Journal of Finance , 46 ( 1 ) : 179 – 207 . (doi:10.1111/j.1540-6261.1991.tb03749.x)
- Hasbrouck, J., and G. Saar. 2007. Limit orders and volatility in a hybrid market: the island ECN. Discussion paper, New York University.
- Hasbrouck , J. and Saar , G. 2009 . Technology and liquidity provision: The blurring of traditional definitions . Journal of Financial Markets , 12 ( 2 ) : 143 – 72 . (doi:10.1016/j.finmar.2008.06.002)
- Hollifield , B. , Miller , R. and Sandås , P. 2004 . Empirical analysis of limit order markets . Review of Economic Studies , 71 ( 4 ) : 1027 – 63 . (doi:10.1111/0034-6527.00313)
- Hollifield , B. , Miller , R. and Sandås , P. 2006 . Estimating the gains from trade in limit order markets . Journal of Finance , 61 ( 6 ) : 2753 – 804 . (doi:10.1111/j.1540-6261.2006.01004.x)
- Huang , R. and Stoll , H. 1997 . The components of the bid–ask spread: A general approach . Review of Financial Studies , 10 ( 4 ) : 995 – 1034 . (doi:10.1093/rfs/10.4.995)
- Madhavan , A. 2000 . Market microstructure: A survey . Journal of Financial Markets , 3 ( 3 ) : 205 – 58 . (doi:10.1016/S1386-4181(00)00007-0)
- Menkveld , A. 2008 . Splitting orders in overlapping markets: A study of cross-listed stocks . Journal of Financial Intermediation , 17 ( 2 ) : 145 – 74 . (doi:10.1016/j.jfi.2007.05.004)
- Parlour , C. 1998 . Price dynamics in limit order markets . Review of Financial Studies , 11 ( 4 ) : 789 – 816 . (doi:10.1093/rfs/11.4.789)
- Parlour , C. and Seppi , D. 2003 . Liquidity-based competition for order flow . Review of Financial Studies , 16 ( 2 ) : 301 – 43 . (doi:10.1093/rfs/hhg008)
- Ranaldo , A. 2004 . Order aggressiveness in limit order book markets . Journal of Financial Markets , 7 ( 1 ) : 53 – 74 . (doi:10.1016/S1386-4181(02)00069-1)
- Rosu , I. 2009 . A dynamic model of the limit order book . Review of Financial Studies , 22 ( 11 ) : 4601 – 4641 . (doi:10.1093/rfs/hhp011)
- Sandås , P. 2001 . Adverse selection and competitive market making: Empirical evidence from a limit order market . Review of Financial Studies , 14 ( 3 ) : 705 – 734 . (doi:10.1093/rfs/14.3.705)
- Seppi , D. 1997 . Liquidity provision with limit orders and a strategic specialist . Review of Financial Studies , 10 ( 1 ) : 103 – 150 . (doi:10.1093/rfs/10.1.103)
- Vayanos , D. 2001 . Strategic trading in a dynamic noisy market . Journal of Finance , 56 ( 1 ) : 131 – 171 . (doi:10.1111/0022-1082.00321)