1. The Transmission of Monetary Policy to the Cost of Hedging. (2025). Minger, Stephan ; Koeniger, Winfried ; Fengler, Matthias.
   In: Economics Working Paper Series.
   RePEc:usg:econwp:2025:01.

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2. A mathematical framework for modelling order book dynamics. (2025). Degond, Pierre ; Cont, Rama ; Lifan, Xuan.
   In: Post-Print.
   RePEc:hal:journl:hal-03968767.

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3. Examining Market Quality on the Egyptian Exchange (EGX): An Intraday Liquidity Analysis. (2025). Samak, Nagwa ; Rushdy, Ahmed.
   In: JRFM.
   RePEc:gam:jjrfmx:v:18:y:2025:i:1:p:32-:d:1567350.

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4. An Investigation of Trades That Move the BBO Using Strings. (2025). Zeng, Hong Chao ; Hu, Bill ; Huang, Ying ; Hill, Matthew D.
   In: JRFM.
   RePEc:gam:jjrfmx:v:18:y:2025:i:1:p:15-:d:1558921.

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5. The transmission of monetary policy to the cost of hedging. (2024). Fengler, Matthias ; Minger, Stephan ; Koeniger, Winfried.
   In: CFS Working Paper Series.
   RePEc:zbw:cfswop:308803.

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6. New Insights into Liquidity Resiliency. (2024). Wafula, Ronald ; Papavassiliou, Vassilios ; Boubaker, Sabri ; O'Sullivan, Conall.
   In: Post-Print.
   RePEc:hal:journl:hal-04432411.

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7. New insights into liquidity resiliency. (2024). Papavassiliou, Vassilios ; Boubaker, Sabri ; Osullivan, Conall ; Wafula, Ronald Wekesa.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001609.

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8. Nonparametric estimation for high-frequency data incorporating trading information. (2024). Wang, Jiandong ; Hu, Jie ; Cui, Wenhao.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000368.

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9. The Transmission of Monetary Policy to the Cost of Hedging. (2024). Minger, Stephan ; Koeniger, Winfried ; Fengler, Matthias.
   In: CESifo Working Paper Series.
   RePEc:ces:ceswps:_11556.

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10. Who pays the liquidity cost? Central bank announcements and adverse selection. (2023). Yu, Jinyoung ; Webb, Robert I ; Ryu, Doojin.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:43:y:2023:i:7:p:904-924.

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11. Liquidity Risk and Funding Cost. (2023). Ranaldo, Angelo ; Wrampelmeyer, Jan ; Bechtel, Alexander.
    In: Review of Finance.
    RePEc:oup:revfin:v:27:y:2023:i:2:p:399-422..

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12. A mathematical framework for modelling order book dynamics. (2023). Lifan, Xuan ; Degond, Pierre ; Cont, Rama.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03968767.

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13. Power laws in market microstructure. (2023). Waelbroeck, Henri ; Etin, Umut.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:120809.

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14. Order splitting and interacting with a counterparty. (2023). van Kervel, Vincent ; Kwan, Amy ; Westerholm, Joakim P.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:66:y:2023:i:c:s1386418123000484.

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15. Banning dark pools: Venue selection and investor trading costs. (2023). Suntheim, Felix ; Oneill, Peter ; Hoffmann, Peter ; Gozluklu, Arie ; Neumeier, Christian.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000290.

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16. Market conditions and order-type preference. (2023). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis Angelos.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000753.

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17. Limit order revisions across investor sophistication. (2023). Chen, Chin-Ho ; Chiu, Junmao.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:70:y:2023:i:c:p:74-90.

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18. Statistical properties of volume in the Bitcoin/USD market. (2023). Larralde, Hern'An ; Leyvraz, Francois ; Navarro, Roberto Mota.
    In: Papers.
    RePEc:arx:papers:2304.01907.

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19. A mathematical framework for modelling order book dynamics. (2023). Xuan, Lifan ; Degond, Pierre ; Cont, Rama.
    In: Papers.
    RePEc:arx:papers:2302.01169.

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20. .

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21. A ReMeDI for Microstructure Noise. (2022). Linton, Oliver.
    In: Econometrica.
    RePEc:wly:emetrp:v:90:y:2022:i:1:p:367-389.

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22. Optimal liquidation problem in illiquid markets. (2022). Vecer, Jan ; Sadoghi, Amirhossein.
    In: Post-Print.
    RePEc:hal:journl:hal-03696768.

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23. Marked point processes and intensity ratios for limit order book modeling. (2022). Yoshida, Nakahiro ; Toke, Ioane Muni.
    In: Post-Print.
    RePEc:hal:journl:hal-02465428.

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24. Order submission, information asymmetry, and tick size. (2022). Yamamoto, Ryuichi ; Zhu, Hongyu.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x22000968.

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25. The visible hand: benchmarks, regulation, and liquidity. (2022). Steffen, Tom ; Mollica, Vito ; Ibikunle, Gbenga ; Aquilina, Matteo.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:61:y:2022:i:c:s1386418122000271.

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26. Foreign institutions and the behavior of liquidity following macroeconomic announcements. (2022). Yu, Jinyoung ; Webb, Robert I ; Ryu, Doojin.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004391.

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27. Asymmetric effects of the limit order book on price dynamics. (2022). Dionne, Georges ; Zhou, Xiaozhou ; Cenesizoglu, Tolga.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:65:y:2022:i:c:p:77-98.

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28. Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2022). Schnaubelt, Matthias.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:296:y:2022:i:3:p:993-1006.

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29. Optimal liquidation problem in illiquid markets. (2022). Vecer, Jan ; Sadoghi, Amirhossein.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:296:y:2022:i:3:p:1050-1066.

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30. Order Choices: An Intraday Analysis of the Taiwan Stock Exchange. (2022). Lo, Hsiang-Yu ; Hung, Pi-Hsia ; Lien, Donald.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000912.

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31. Reinforcement Learning Equilibrium in Limit Order Markets. (2022). Lin, Shen ; He, Xue-Zhong.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002019.

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32. Machine learning and speed in high-frequency trading. (2022). He, Xuezhong (Tony) ; Jianwei, LI ; Arifovic, Jasmina.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001439.

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33. Liquidity measurement: A comparative review of the literature with a focus on high frequency. (2022). Ekinci, Cumhur ; Guloglu, Zeynep Cobandag.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:36:y:2022:i:1:p:41-74.

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34. Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model. (2022). Kostanjvcar, Zvonko ; Gavsperov, Bruno.
    In: Papers.
    RePEc:arx:papers:2207.09951.

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35. .

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36. Order aggressiveness and flash crashes. (2021). Ibikunle, Gbenga ; Rzayev, Khaladdin.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2647-2673.

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37. An Agent?Based model for Limit Order Book: Estimation and simulation. (2021). Arjmand, Omid Naghshineh ; Zare, Mohammad ; Mohammadpour, Adel ; Salavati, Erfan.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1112-1121.

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38. Resilience in “Flash Events” in the Corn and Lean Hog Futures Markets. (2021). Serra, Teresa ; He, Xinyue ; Garcia, Philip.
    In: American Journal of Agricultural Economics.
    RePEc:wly:ajagec:v:103:y:2021:i:2:p:743-764.

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39. An empirical behavioral order-driven model with price limit rules. (2021). Zhang, Wei ; Xu, Hai-Chuan ; Xiong, Xiong ; Gu, Gao-Feng ; Zhou, Wei-Xing ; Chen, Wei.
    In: Financial Innovation.
    RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00288-4.

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40. Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model. (2021). LE, Thai-Ha ; Liu, Wai-Man ; Tu, Anh ; Fong, Kingsley Y.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-019-03384-y.

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41. Stealth Trading in FX Markets. (2021). Stenfors, Alexis ; Susai, Masayuki.
    In: Working Papers in Economics & Finance.
    RePEc:pbs:ecofin:2021-02.

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42. Modeling Market Order Arrivals on the German Intraday Electricity Market with the Hawkes Process. (2021). Kiesel, Rudiger ; von Luckner, Nikolaus Graf.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:161-:d:530243.

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43. Volatility and Depth in Commodity and FX Futures Markets. (2021). Lobanova, Olesya ; Aidov, Alexandre.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:545-:d:676575.

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44. The Relation between Intraday Limit Order Book Depth and Spread. (2021). Lobanova, Olesya ; Aidov, Alexandre.
    In: IJFS.
    RePEc:gam:jijfss:v:9:y:2021:i:4:p:60-:d:669883.

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45. An agent-based model of intra-day financial markets dynamics. (2021). Napoletano, Mauro ; Staccioli, Jacopo.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:182:y:2021:i:c:p:331-348.

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46. Are REITs more resilient than non-REITs? Evidence from natural experiments. (2021). Upadhyay, Arun ; Jain, Pawan.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:58:y:2021:i:c:s0922142521000165.

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47. Spoofing and pinging in foreign exchange markets. (2021). Stenfors, Alexis ; Susai, Masayuki.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:70:y:2021:i:c:s1042443120301621.

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48. Information content of order imbalance in an order-driven market: Indian Evidence. (2021). Dixit, Alok ; Tripathi, Abhinava ; Vipul, .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316779.

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49. Intraday order placement and execution in a limit order market: Evidence from the Indonesia stock market. (2021). Rhee, Ghon S ; Liu, Chunlin ; Ekaputra, Irwan A ; Zeng, Hongchao.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:21:y:2021:i:2:p:404-429.

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50. Simulation and estimation of an agent-based market-model with a matching engine. (2021). Gebbie, Tim ; Chang, Patrick ; Jericevich, Ivan.
    In: Papers.
    RePEc:arx:papers:2108.07806.

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51. Order flow and price formation. (2021). Lillo, Fabrizio.
    In: Papers.
    RePEc:arx:papers:2105.00521.

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52. Analytic formula for option margin with liquidity costs under dynamic delta hedging. (2021). Ki, Byoung ; Lee, Kyungsub.
    In: Papers.
    RePEc:arx:papers:2103.15302.

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53. The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network. (2021). Cartlidge, John ; Chen, YU ; Shi, Zijian.
    In: Papers.
    RePEc:arx:papers:2103.01670.

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54. Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2020). Schnaubelt, Matthias.
    In: FAU Discussion Papers in Economics.
    RePEc:zbw:iwqwdp:052020.

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55. A rare move: The effects of switching from a closing call auction to a continuous trading. (2020). Chou, Robin K ; Chang, Yakai ; Yang, Jimmy J.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:40:y:2020:i:3:p:308-328.

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56. Arbitrage opportunities, liquidity provision, and trader types in an index option market. (2020). Chiu, Junmao ; Chen, ChinHo ; Chung, Huimin.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:40:y:2020:i:3:p:279-307.

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57. Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods. (2020). Pelizzon, Loriana ; Yuferova, Darya ; Uno, Jun ; Subrahmanyam, Marti G ; Bellia, Mario.
    In: Working Papers.
    RePEc:ven:wpaper:2020:09.

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58. Which firms benefit from market making?. (2020). Kutsuna, Kenji ; Kim, Thomas S ; Chung, Peter Y ; Smith, Richard L.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:34:y:2020:i:1:d:10.1007_s11408-020-00345-5.

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59. Is Market Timing Good for Shareholders?. (2020). Wan, Pengcheng ; Tserlukevich, Yuri ; Babenko, Ilona .
    In: Management Science.
    RePEc:inm:ormnsc:v:66:y:2020:i:8:p:3542-3560.

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60. Are high–frequency traders informed?. (2020). Varsakelis, Christos ; Fontaine, Patrice ; Anagnostidis, Panagiotis.
    In: Post-Print.
    RePEc:hal:journl:hal-03062831.

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61. Do aggressive orders affect liquidity? An evidence from an emerging market. (2020). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920303780.

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62. David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs. (2020). Kashyap, Ravi.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119316206.

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63. Price discovery, order submission, and tick size during preopen period. (2020). Yamamoto, Ryuichi ; Xiao, Xijuan.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302067.

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64. Limit order submission risks, order choice, and tick size. (2020). Yamamoto, Ryuichi.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:59:y:2020:i:c:s0927538x19302732.

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65. The life of U’s: Order revisions on NASDAQ. (2020). Nikolsko-Rzhevska, Olena ; Black, Jeffrey R ; Nikolsko-Rzhevskyy, Alex.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302973.

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66. Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:217:y:2020:i:2:p:207-229.

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67. Are high–frequency traders informed?. (2020). Varsakelis, Christos ; Fontaine, Patrice ; Anagnostidis, Panagiotis.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:93:y:2020:i:c:p:365-383.

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68. Shorting in Broad Daylight: Short Sales and Venue Choice. (2020). Sokobin, Jonathan S ; Samadi, Mehrdad ; Reed, Adam V.
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:55:y:2020:i:7:p:2246-2269_6.

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69. DOES SPEED MATTER? THE ROLE OF HIGH?FREQUENCY TRADING FOR ORDER BOOK RESILIENCY. (2020). Zimmermann, Kai ; Haferkorn, Martin ; Clapham, Benjamin.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:43:y:2020:i:4:p:933-964.

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70. The What, When and Where of Limit Order Books. (2020). Dimpfl, Thomas ; Bleher, Michael.
    In: Papers.
    RePEc:arx:papers:2004.11953.

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71. Order book dynamics in the presence of liquidity fluctuations. (2020). Yambartsev, Anatoly ; Rojas, Helder.
    In: Papers.
    RePEc:arx:papers:2004.10632.

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72. Ascertaining price formation in cryptocurrency markets with DeepLearning. (2020). Li, Lingbo ; Kanthan, Leslie ; Basios, Michail ; Ventre, Carmine ; Chung, Waichung ; Fang, Fan ; Wu, Fan.
    In: Papers.
    RePEc:arx:papers:2003.00803.

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73. Marked point processes and intensity ratios for limit order book modeling. (2020). Yoshida, Nakahiro ; Toke, Ioane Muni.
    In: Papers.
    RePEc:arx:papers:2001.08442.

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74. Liquidity Risk and Funding Cost. (2019). Ranaldo, Angelo ; Bechtel, Alexander ; Wrampelmeyer, Jan.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2019:03.

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75. Did long-memory of liquidity signal the European sovereign debt crisis?. (2019). Li, Youwei ; Yang, Y C ; Hamill, P A ; Sun, Z ; Vigne, S A.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2850-y.

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76. Order dynamics during the flash crash. (2019). Zhang, Shaojun ; Hunsader, Kenneth J.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:20:y:2019:i:5:d:10.1057_s41260-019-00129-1.

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77. Order Flow Persistence in Equity Spot and Futures Markets: Evidence from a Dynamic Emerging Market. (2019). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Corbet, Shaen ; Gulay, Guzhan ; Akyildirim, Erdinc.
    In: Working Papers.
    RePEc:ipg:wpaper:2019-011.

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78. Dynamic Portfolio Execution. (2019). Giesecke, Kay ; Wang, Jiang ; Tsoukalas, Gerry.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:5:p:2015-2040.

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79. How Option Hedging Shapes Market Impact. (2019). Abergel, Frederic ; Said, Emilio .
    In: Working Papers.
    RePEc:hal:wpaper:hal-02310080.

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80. Testing Stylized Facts of Bitcoin Limit Order Books. (2019). Krauss, Christopher ; Rende, Jonas ; Schnaubelt, Matthias.
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:25-:d:203633.

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81. Slopes, spreads, and depth: Monetary policy announcements and liquidity provision in the energy futures market. (2019). Smales, L A.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:59:y:2019:i:c:p:234-252.

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82. The impact of large orders in electronic markets. (2019). Murgia, Maurizio ; Bosetti, Luisella ; Gottardo, Pietro ; Pinna, Andrea .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:59:y:2019:i:c:p:174-192.

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83. Order book model with herd behavior exhibiting long-range memory. (2019). Ruseckas, Julius ; Kononovicius, Aleksejus.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:525:y:2019:i:c:p:171-191.

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84. The systemic risk of China’s stock market during the crashes in 2008 and 2015. (2019). Zhang, Junhuan ; Chen, Xinyi ; Zhao, Shangmei.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:520:y:2019:i:c:p:161-177.

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85. Information and trading targets in a dynamic market equilibrium. (2019). Choi, Jin Hyuk ; Seppi, Duane J ; Larsen, Kasper.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:132:y:2019:i:3:p:22-49.

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86. Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange. (2019). Lien, Donald ; Hung, Pi-Hsia .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:60:y:2019:i:c:p:231-251.

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87. Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data. (2019). Stenfors, Alexis ; Susai, Masayuki.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:59:y:2019:i:c:p:36-57.

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88. Limit order books, uninformed traders and commodity derivatives: Insights from the European carbon futures. (2019). Rannou, Yves.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:81:y:2019:i:c:p:387-410.

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89. Optimal execution with regime-switching market resilience. (2019). Elliott, Robert J ; Zhu, Song-Ping ; Guo, Ivan ; Siu, Chi Chung.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:101:y:2019:i:c:p:17-40.

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90. DYNAMIC PREDICTOR SELECTION AND ORDER SPLITTING IN A LIMIT ORDER MARKET. (2019). Yamamoto, Ryuichi.
    In: Macroeconomic Dynamics.
    RePEc:cup:macdyn:v:23:y:2019:i:05:p:1757-1792_00.

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91. Priority Rules. (2019). Karagiannis, Nikolaos ; Degryse, Hans.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14127.

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92. Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks. (2019). Tran, Hoang Hai ; Horst, Ulrich ; Chen, Ying.
    In: Papers.
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93. How Option Hedging Shapes Market Impact. (2019). Fr'ed'eric Abergel, ; Said, Emilio .
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94. Clearing price distributions in call auctions. (2019). Kleijn, B ; Derksen, M.
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95. Market Making under a Weakly Consistent Limit Order Book Model. (2019). Viens, Frederi ; Law, Baron .
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96. Order book model with herd behavior exhibiting long-range memory. (2019). Ruseckas, Julius ; Kononovicius, Aleksejus.
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97. .

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98. Market uncertainty and market orders in futures markets. (2018). Tsai, Chihling ; Chang, Matthew C ; Zhu, Ning ; Wu, Rebecca Chungfern.
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99. Spoofing and Pinging in Foreign Exchange Markets. (2018). Stenfors, Alexis ; Susai, Masayuki.
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100. Do Behavioral Biases Affect Order Aggressiveness?. (2018). Bian, Jiangze ; Zhou, Hao ; Shi, Donghui ; Chan, Kalok.
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101. Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data. (2018). Tsao, Chueh-Yung ; Huang, Ya-Chi.
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102. Cross-Sided Liquidity Externalities. (2018). Skjeltorp, Johannes A ; Sojli, Elvira ; Tham, Wing Wah.
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103. A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure. (2018). Wang, Chun ; Kou, Steven ; Chen, Ningyuan.
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104. Liquidity and volatility in the U.S. treasury market. (2018). Ghysels, Eric ; Fleming, Michael ; Engle, Robert ; Nguyen, Giang.
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105. An agent-based model of intra day financial markets dynamics. (2018). Staccioli, Jacopo ; Napoletano, Mauro.
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106. A continuous and efficient fundamental price on the discrete order book grid. (2018). Bonart, Julius ; Lillo, Fabrizio.
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107. Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks. (2018). Ghadhab, Imen.
     In: Journal of Multinational Financial Management.
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108. The microstructure of a U.S. Treasury ECN: The BrokerTec platform. (2018). Fleming, Michael ; Nguyen, Giang ; Mizrach, Bruce.
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109. Bid- and ask-side liquidity in the NYSE limit order book. (2018). Cenesizoglu, Tolga ; Grass, Gunnar .
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110. A Scaling Limit for Limit Order Books Driven by Hawkes Processes. (2018). Xu, Wei ; Horst, Ulrich.
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111. A stochastic Stefan-type problem under first-order boundary conditions. (2018). Mueller, Marvin S.
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112. The Impact of Iceberg Orders in Limit Order Books. (2017). Frey, Stefan ; Sands, Patrik .
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113. STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL. (2017). Toke, Ioane Muni.
     In: International Journal of Theoretical and Applied Finance (IJTAF).
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114. Who supplies liquidity, how and when?. (2017). Moinas, Sophie ; Biais, Bruno ; Declerck, Fany .
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115. Liquidity Withdrawal in the FX Spot Market: A Cross-Country Study Using High-Frequency Data. (2017). Stenfors, Alexis ; Susai, Masayuki.
     In: Working Papers in Economics & Finance.
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116. Algorithmic Trading Behaviour and High-Frequency Liquidity Withdrawal in the FX Spot Market. (2017). Stenfors, Alexis ; Susai, Masayuki.
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117. Order cancellations across investor groups: evidence from an emerging order-driven market. (2017). Tong, Shiau-Yuan ; Wang, Zi-May ; Chiao, Chaoshin.
     In: Review of Quantitative Finance and Accounting.
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118. A Law of Large Numbers for Limit Order Books. (2017). Paulsen, Michael ; Horst, Ulrich.
     In: Mathematics of Operations Research.
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119. Optimal Liquidation of Child Limit Orders. (2017). Zhou, W ; S. C. P. Yam, .
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120. Who supplies liquidity, how and when?. (2017). Moinas, Sophie ; Biais, Bruno ; Declerck, Fany .
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121. STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL. (2017). Toke, Ioane Muni.
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122. Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets. (2017). Rannou, Yves.
     In: Research in International Business and Finance.
     RePEc:eee:riibaf:v:39:y:2017:i:pb:p:779-808.

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123. The reactions to on-air stock reports: Prices, volume, and order submission behavior. (2017). Chiao, Chaoshin ; Lee, Cheng-Few ; Lin, Tung-Ying.
     In: Pacific-Basin Finance Journal.
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124. Informed trading and price discovery before corporate events. (2017). Baruch, Shmuel ; Venkataraman, Kumar ; Panayides, Marios.
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     RePEc:eee:jfinec:v:125:y:2017:i:3:p:561-588.

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125. Short Selling Ban and Intraday Dynamics. (2017). Crego, Julio A.
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126. Short Selling Ban and Intraday Dynamics. (2017). Crego, Julio A.
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127. ODD LOT ORDER AGGRESSIVENESS AND STEALTH TRADING. (2017). Johnson, Hardy ; Roseman, Brian.
     In: Journal of Financial Research.
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128. Audit opinions and information asymmetry in the stock market. (2017). Abad, David ; Yague, Jose ; Sanchez-Ballesta, Juan P.
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129. An empirical behavioural order-driven model with price limit rules. (2017). Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong ; Gu, Gao-Feng.
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130. Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Xu, Hai-Chuan ; Zhou, Wei-Xing ; Zhang, Wei ; Xiong, Xiong ; Chen, Wei.
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131. Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods. (2016). Pelizzon, Loriana ; Bellia, Mario ; Uno, Jun ; Subrahmanyam, Marti G ; Yuferova, Darya.
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132. Asymmetric Effects of the Limit Order Book on Price Dynamics. (2016). Dionne, Georges ; Cenesizoglu, Tolga ; Zhou, Xiaozhou .
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133. Stepping out of the limit order book: Empirical evidence from the EBS FX market. (2016). Yoshida, Yushi ; Susai, Masayuki.
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134. Investors’ Interacting Demand and Supply Curves for Common Stocks. (2016). Morck, Randall ; Lee, Jason ; Dierker, Martin ; Kim, Jung-Wook .
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135. Stock Market Liquidity Measurement via the Bid-Ask Spread: Tunis Stockmarket. (2016). Mosbahi, Mohamed Nidhal ; Mosbeh, Hsini .
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136. Order aggressiveness of different broker-types in response to monetary policy news. (2016). Smales, Lee.
     In: Pacific-Basin Finance Journal.
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137. Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange. (2016). Hung, Pi-Hsia .
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     RePEc:eee:pacfin:v:39:y:2016:i:c:p:124-140.

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138. Shorting at close range: A tale of two types. (2016). Putnins, Talis ; Jones, Charles M ; Comerton-Forde, Carole .
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     RePEc:eee:jfinec:v:121:y:2016:i:3:p:546-568.

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139. Chasing trends at the micro-level: The effect of technical trading on order book dynamics. (2016). Ladley, Daniel ; Chiarella, Carl.
     In: Journal of Banking & Finance.
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140. Why do carbon prices and price volatility change?. (2016). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis Angelos .
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:63:y:2016:i:c:p:76-94.

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141. Does high-frequency trading increase systemic risk?. (2016). McInish, Thomas ; Jain, Pankaj K.
     In: Journal of Financial Markets.
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142. Latency reduction and market quality: The case of the Australian Stock Exchange. (2016). Murray, Hamish ; Singh, Harminder ; Pham, Thu Phuong.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:46:y:2016:i:c:p:257-265.

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143. Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

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144. Bid-Ask Spreads in OTC Markets. (2016). Osler, Carol ; Kathitziotis, Neophytos ; Bjonnes, Geir .
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145. The Evolution of Informed Liquidity Provision: Evidence from an Order†driven Market. (2016). Wee, Marvin ; Yang, Joey W.
     In: European Financial Management.
     RePEc:bla:eufman:v:22:y:2016:i:5:p:882-915.

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146. Who supplies liquidity, how and when?. (2016). Moinas, Sophie ; Biais, Bruno ; Declerck, Fany .
     In: BIS Working Papers.
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147. Immediate price impact of a stock and its warrant: Power-law or logarithmic model?. (2016). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Xu, Hai-Chuan.
     In: Papers.
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148. A continuous and efficient fundamental price on the discrete order book grid. (2016). Lillo, Fabrizio ; Bonart, Julius.
     In: Papers.
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149. The statistical significance of multivariate Hawkes processes fitted to limit order book data. (2016). Martins, Roger ; Hendricks, Dieter.
     In: Papers.
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150. Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact. (2016). Taranto, Damian Eduardo ; Toth, Bence ; Lillo, Fabrizio ; Bouchaud, Jean-Philippe ; Bormetti, Giacomo.
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151. Deep Learning for Limit Order Books. (2016). Sirignano, Justin.
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152. A weak law of large numbers for a limit order book model with fully state dependent order dynamics. (2016). Horst, Ulrich ; Kreher, Dorte .
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153. Quasi-Centralized Limit Order Books. (2016). Gould, Martin D. ; Howison, Sam D. ; Porter, Mason A..
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154. A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics. (2016). Horst, Ulrich ; Bayer, Christian ; Qiu, Jinniao .
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155. Dynamic predictor selection and order splitting in a limit order market. (2015). Yamamoto, Ryuichi.
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156. Essays in Market Microstructure and Investor Trading. (2015). Lo, Danny.
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157. Essays in Market Microstructure and Investor Trading. (2015). Lo, Danny .
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158. The effects of a financial transaction tax in an artificial financial market. (2015). Fricke, Daniel ; Lux, Thomas.
     In: Journal of Economic Interaction and Coordination.
     RePEc:spr:jeicoo:v:10:y:2015:i:1:p:119-150.

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159. The Effect of Limit Order Book Information on Investors with Different Risk Attitudes. (2015). Wang, Ya-Hui ; Lai, Chien-Chih .
     In: The International Journal of Business and Finance Research.
     RePEc:ibf:ijbfre:v:9:y:2015:i:1:p:113-120.

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160. Do Shareholder Coalitions Modify Dominant Owners Control? The Impact On Dividend Policy. (2015). López-Iturriaga, Félix ; Santana-Martin, Domingo Javier ; Lopez-Iturriaga, Felix J..
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161. Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?. (2015). Váradi, Kata ; Havran, Dániel ; Varadi, Kata .
     In: IEHAS Discussion Papers.
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162. Exact and asymptotic solutions of the call auction problem. (2015). Toke, Ioane Muni.
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163. The friction-free weighted price contribution. (2015). PASCUAL, ROBERTO ; Abad, David.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:37:y:2015:i:c:p:226-239.

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164. Price dynamics and market liquidity: An intraday event study on Euronext. (2015). Mazza, Paolo.
     In: The Quarterly Review of Economics and Finance.
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165. Limit order book transparency and order aggressiveness at the closing call: Lessons from the TWSE 2012 new information disclosure mechanism. (2015). Chen, Shu-Heng ; Tseng, Yi-Heng.
     In: Pacific-Basin Finance Journal.
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166. Estimating the price impact of trades in a high-frequency microstructure model with jumps. (2015). Jondeau, Eric ; Rockinger, Michael ; Lahaye, Jerome .
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s205-s224.

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167. Information revelation in the Greek exchange opening call: Daily and intraday evidence. (2015). Kanas, Angelos ; Papachristou, George ; Anagnostidis, Panagiotis .
     In: Journal of International Financial Markets, Institutions and Money.
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168. Trading costs on the Stock Exchange of Thailand. (2015). Jenwittayaroje, Nattawut ; Yang, Yung Chiang ; Ding, David K ; Charoenwong, Charlie .
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:41:y:2015:i:c:p:31-40.

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169. Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram. (2015). Li, Handong ; Ye, Xunyu ; Gao, Ping.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:46:y:2015:i:c:p:167-179.

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170. Resiliency of the limit order book. (2015). Hall, Anthony ; Lo, Danny K.
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:61:y:2015:i:c:p:222-244.

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171. Optimal order display in limit order markets with liquidity competition. (2015). Horst, Ulrich ; Cebirolu, Gokhan .
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:58:y:2015:i:c:p:81-100.

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172. Why is equity order flow so persistent?. (2015). Farmer, J. ; Toth, Bence ; Palit, Imon ; Lillo, Fabrizio.
     In: Journal of Economic Dynamics and Control.
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173. The Impact of Large Orders in Electronic Markets. (2015). Pinna, Andrea ; Murgia, Maurizio ; Gottardo, P ; Bosetti, L.
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174. When Do Listed Firms Pay for Market Making in Their Own Stock?. (2015). Ødegaard, Bernt ; Skjeltorp, Johannes Atle ; Odegaard, Bernt Arne .
     In: Financial Management.
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175. Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach. (2015). Theissen, Erik ; Schweickert, Uwe ; Gomber, Peter.
     In: European Financial Management.
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176. Liquidity and Impact in Fair Markets. (2015). Jaisson, Thibault .
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177. The Long Memory of Order Flow in the Foreign Exchange Spot Market. (2015). Gould, Martin D. ; Howison, Sam D. ; Porter, Mason A..
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178. Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo.
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179. Stationary distribution of the volume at the best quote in a Poisson order book model. (2015). Toke, Ioane Muni.
     In: Papers.
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180. A law of large numbers for limit order books. (2015). Horst, Ulrich ; Paulsen, Michael .
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181. Apparent impact: the hidden cost of one-shot trades. (2015). Mastromatteo, Iacopo.
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182. Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets. (2015). Peters, Gareth W. ; Dunsmuir, William ; Richards, Kylie-Anne .
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183. Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?. (2014). Horst, Ulrich ; Hautsch, Nikolaus ; Cebiroglu, Gokhan .
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184. A Behavioural Model of Investor Sentiment in Limit Order Markets. (2014). Wei, Lijian ; Shi, Lei ; He, Xuezhong ; Chiarella, Carl.
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185. Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market. (2014). Bień-Barkowska, Katarzyna.
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186. Effects of the Limit Order Book on Price Dynamics. (2014). Dionne, Georges ; Cenesizoglu, Tolga ; Zhou, Xiaozhou .
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187. Investors’ perception of corporate governance: a spillover effect of Taiwan corporate scandals. (2014). Fan, Whei-May ; Lee, Jie-Haun .
     In: Review of Quantitative Finance and Accounting.
     RePEc:kap:rqfnac:v:43:y:2014:i:1:p:97-119.

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188. Liquidity and the Value at Risk. (2014). Grossmass, Lidan ; Groma, Lidan .
     In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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189. IMPROVED VOLATILITY ESTIMATION BASED ON LIMIT ORDER BOOKS. (2014). Bibinger, Markus ; Jirak, Moritz ; Reiss, Markus .
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190. On Linearity Of Transaction Costs In Order Driven Market. (2014). Andreev, Nikolay.
     In: HSE Working papers.
     RePEc:hig:wpaper:38/fe/2014.

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191. Exact and asymptotic solutions of the call auction problem. (2014). Toke, Ioane Muni.
     In: Working Papers.
     RePEc:hal:wpaper:hal-01061857.

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192. Ergodicity and scaling limit of a constrained multivariate Hawkes process. (2014). Zheng, Ban ; Abergel, Frederic ; Roueff, Franois .
     In: Post-Print.
     RePEc:hal:journl:hal-00777941.

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193. Tick size reduction and price clustering in a FX order book. (2014). Abergel, Frederic ; Lallouache, Mehdi.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:416:y:2014:i:c:p:488-498.

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194. Predicting future price volatility: Empirical evidence from an emerging limit order market. (2014). Jain, Pawan ; Jiang, Christine.
     In: Pacific-Basin Finance Journal.
     RePEc:eee:pacfin:v:27:y:2014:i:c:p:72-93.

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195. Asymmetric responses of ask and bid quotes to information in the foreign exchange market. (2014). Gau, Yin-Feng ; Chen, Yu-Lun.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:38:y:2014:i:c:p:194-204.

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196. Order choices under information asymmetry in foreign exchange markets. (2014). Gau, Yin-Feng ; Wu, Zhen-Xing .
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:30:y:2014:i:c:p:106-118.

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197. Trading anonymity and order anticipation. (2014). Payne, Richard ; Friederich, Sylvain .
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:21:y:2014:i:c:p:1-24.

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198. The delta- and vega-related information content of near-the-money option market trading activity. (2014). Rourke, Thomas .
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:20:y:2014:i:c:p:175-193.

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199. Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia. (2014). Lee, Adrian ; Ainsworth, Andrew .
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:20:y:2014:i:c:p:101-128.

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200. When do stop-loss rules stop losses?. (2014). Lo, Andrew ; Kaminski, Kathryn M..
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:18:y:2014:i:c:p:234-254.

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201. An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange. (2014). Yamamoto, Ryuichi.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:29:y:2014:i:c:p:369-383.

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202. Man or machine? Rational trading without information about fundamentals. (2014). Rossi, Stefano ; Tinn, Katrin .
     In: CEPR Discussion Papers.
     RePEc:cpr:ceprdp:9958.

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203. The Impact of Large Orders in Electronic Markets. (2014). Pinna, Andrea ; Murgia, Maurizio ; Gottardo, Pietro ; Bosetti, Luisella .
     In: BEMPS - Bozen Economics & Management Paper Series.
     RePEc:bzn:wpaper:bemps15.

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204. Forecasting trading volume in the Chinese stock market based on the dynamic VWAP. (2014). Handong, Li ; Xunyu, Ye ; Rui, Yan .
     In: Studies in Nonlinear Dynamics & Econometrics.
     RePEc:bpj:sndecm:v:18:y:2014:i:2:p:20:n:5.

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205. Individuals’ Trading Prior to Earnings Announcements. (2014). Tsai, Shih-Chuan.
     In: Journal of Business Finance & Accounting.
     RePEc:bla:jbfnac:v:41:y:2014:i:9-10:p:1124-1156.

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206. Exact and asymptotic solutions of the call auction problem. (2014). Toke, Ioane Muni.
     In: Papers.
     RePEc:arx:papers:1407.4512.

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207. On Simulation of Various Effects in Consolidated Order Book. (2014). Lykov, A. ; Vaninsky, K. L. ; Glekin, A. O..
     In: Papers.
     RePEc:arx:papers:1402.4150.

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208. Agent-based models for latent liquidity and concave price impact. (2014). Toth, Bence ; Bouchaud, Jean-Philippe ; Mastromatteo, Iacopo.
     In: Papers.
     RePEc:arx:papers:1311.6262.

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209. Ergodicity and scaling limit of a constrained multivariate Hawkes process. (2014). Zheng, Ban ; Roueff, Franccois ; Fr'ed'eric Abergel, .
     In: Papers.
     RePEc:arx:papers:1301.5007.

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210. Why is order flow so persistent?. (2014). Farmer, J. ; Toth, Bence ; Palit, Imon ; Lillo, Fabrizio.
     In: Papers.
     RePEc:arx:papers:1108.1632.

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211. The effects of a financial transaction tax in an artificial financial market. (2013). Fricke, Daniel ; Lux, Thomas.
     In: Kiel Working Papers.
     RePEc:zbw:ifwkwp:1868.

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212. Identifying Cross-Sided Liquidity Externalities. (2013). Sojli, Elvira ; Tham, Wing Wah ; Skjeltorp, Johannes A..
     In: Tinbergen Institute Discussion Papers.
     RePEc:tin:wpaper:20130154.

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213. A survey of research into broker identity and limit order book. (2013). Westerholm, P. Joakim ; Pham, Thu Phuong.
     In: Working Papers.
     RePEc:tas:wpaper:17212.

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214. Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark .
     In: Quantitative Finance.
     RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742.

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215. Low-dimensional Characterisation of Liquidity of Individual Stocks in the Indian Market. (2013). .
     In: Journal of Emerging Market Finance.
     RePEc:sae:emffin:v:12:y:2013:i:2:p:151-196.

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216. Ergodicity and scaling limit of a constrained multivariate Hawkes process. (2013). Zheng, Ban ; Abergel, Frederic ; Roueff, Franois .
     In: Working Papers.
     RePEc:hal:wpaper:hal-00777941.

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217. Price Dynamics in a Markovian Limit Order Market. (2013). De Larrard, Adrien ; Cont, Rama.
     In: Post-Print.
     RePEc:hal:journl:hal-00552252.

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218. Characterizing limit order prices. (2013). Whigham, P. A. ; Crack, Timothy Falcon ; Withanawasam, R. M..
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:392:y:2013:i:21:p:5346-5355.

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219. Anonymity and order submissions. (2013). Duong, Huu Nhan ; Kalev, Petko S..
     In: Pacific-Basin Finance Journal.
     RePEc:eee:pacfin:v:25:y:2013:i:c:p:101-118.

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220. Investors information advantage and order choices in an order-driven market. (2013). Tsai, Shih-Chuan.
     In: Pacific-Basin Finance Journal.
     RePEc:eee:pacfin:v:21:y:2013:i:1:p:932-951.

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221. Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis. (2013). Anand, Amber ; Irvine, Paul ; Venkataraman, Kumar ; Puckett, Andy .
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:108:y:2013:i:3:p:773-797.

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222. Liquidity provision in a limit order book without adverse selection. (2013). Bayar, Onur.
     In: Journal of Economics and Business.
     RePEc:eee:jebusi:v:66:y:2013:i:c:p:98-124.

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223. Competition, signaling and non-walking through the book: Effects on order choice. (2013). Zer, Ilknur ; Valenzuela, Marcela.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:37:y:2013:i:12:p:5421-5435.

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224. High frequency trading and the new market makers. (2013). Menkveld, Albert.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740.

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225. How do designated market makers create value for small-caps?. (2013). Menkveld, Albert ; Wang, Ting.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:16:y:2013:i:3:p:571-603.

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226. Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; Wang, Jiang.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:16:y:2013:i:1:p:1-32.

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227. Market Liquidity—Theory and Empirical Evidence *. (2013). Vayanos, Dimitri ; Wang, Jiang.
     In: Handbook of the Economics of Finance.
     RePEc:eee:finchp:2-b-1289-1361.

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228. Intraday liquidity patterns in Indian stock market. (2013). Mishra, Vinod ; Krishnan, R..
     In: Journal of Asian Economics.
     RePEc:eee:asieco:v:28:y:2013:i:c:p:99-114.

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229. Limited attention and news arrival in limit order markets.. (2013). Dugast, Jérôme.
     In: Working papers.
     RePEc:bfr:banfra:449.

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230. The Self-Financing Equation in High Frequency Markets. (2013). Webster, Kevin ; Carmona, Rene.
     In: Papers.
     RePEc:arx:papers:1312.2302.

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231. Dynamical Trading Mechanism in Limit Order Markets. (2013). Wang, Shilei.
     In: Papers.
     RePEc:arx:papers:1303.3133.

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232. The position profiles of order cancellations in an emerging stock market. (2013). Ren, Fei ; Zhou, Wei-Xing ; Gu, Gao-Feng .
     In: Papers.
     RePEc:arx:papers:1112.6085.

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233. Limit Order Books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark .
     In: Papers.
     RePEc:arx:papers:1012.0349.

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234. Sunshine Trading: Flashes of Trading Intent at the NASDAQ. (2012). Sojli, Elvira ; Tham, Wing Wah ; Skjeltorp, Johannes A..
     In: Tinbergen Institute Discussion Papers.
     RePEc:tin:wpaper:20120141.

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235. Universal price impact functions of individual trades in an order-driven market. (2012). Zhou, Wei-Xing.
     In: Quantitative Finance.
     RePEc:taf:quantf:v:12:y:2012:i:8:p:1253-1263.

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236. Reduced form modeling of limit order markets. (2012). Malo, Pekka ; Pennanen, Teemu.
     In: Quantitative Finance.
     RePEc:taf:quantf:v:12:y:2012:i:7:p:1025-1036.

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237. Liquidity determination in an order-driven market. (2012). Payne, Richard ; Danielsson, Jon.
     In: The European Journal of Finance.
     RePEc:taf:eurjfi:v:18:y:2012:i:9:p:799-821.

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238. On the hidden side of liquidity. (2012). PASCUAL, ROBERTO ; Pardo, Angel .
     In: The European Journal of Finance.
     RePEc:taf:eurjfi:v:18:y:2012:i:10:p:949-967.

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239. Trading and liquidity with limited cognition. (2012). Weill, Pierre-Olivier ; Biais, Bruno ; Hombert, Johan.
     In: 2012 Meeting Papers.
     RePEc:red:sed012:118.

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240. The Budapest liquidity measure and the price impact function. (2012). Váradi, Kata ; Lublóy, Ágnes ; Lubloy, agnes ; Varadi, Kata ; Gyarmati, akos .
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241. Market Liquidity -- Theory and Empirical Evidence. (2012). Vayanos, Dimitri ; Wang, Jiang.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:18251.

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242. Intraday Liquidity Patterns in Indian Stock Market. (2012). Mishra, Vinod ; Krishnan, R..
     In: Monash Economics Working Papers.
     RePEc:mos:moswps:2012-34.

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243. Central bank interventions and limit order behavior in the foreign exchange market. (2012). Yoshida, Yushi ; Susai, Masayuki.
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244. Virtuális árhatás a Budapesti Értéktőzsdén. (2012). Váradi, Kata ; Lublóy, Ágnes ; Lubloy, agnes ; Varadi, Kata ; Gyarmati, akos .
     In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
     RePEc:ksa:szemle:1306.

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245. The timeline of trading fricions in the European Carbon Market. (2012). PASCUAL, ROBERTO ; Tornero, angel Pardo ; Martinez, Vicente Medina .
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246. Execution Risk in High-Frequency Arbitrage. (2012). Kozhan, Roman ; Tham, Wing Wah.
     In: Management Science.
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247. Hidden Liquidity: Determinants and Impact. (2012). Horst, Ulrich ; Cebiroglu, Gokhan .
     In: SFB 649 Discussion Papers.
     RePEc:hum:wpaper:sfb649dp2012-023.

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248. Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume. (2012). Le Fol, Gaelle ; darolles, serge ; Bialkowski, Jedrzej .
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     RePEc:hal:journl:hal-01632822.

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249. Ownership, control and market liquidity. (2012). Ginglinger, Edith ; Hamon, Jacques .
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     RePEc:hal:journl:hal-01457073.

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250. Are Market Center Trading Cost Measures Reliable?. (2012). wu, fei ; Garvey, Ryan.
     In: Czech Journal of Economics and Finance (Finance a uver).
     RePEc:fau:fauart:v:62:y:2012:i:6:p:505-517.

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251. Are informed traders reluctant to bear price risk or execution risk?. (2012). wu, fei ; Garvey, Ryan.
     In: International Journal of Managerial Finance.
     RePEc:eme:ijmfpp:v:8:y:2012:i:4:p:284-303.

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252. Intraday technical analysis of individual stocks on the Tokyo Stock Exchange. (2012). Yamamoto, Ryuichi.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:36:y:2012:i:11:p:3033-3047.

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253. Overnight public information, order placement, and price discovery during the pre-opening period. (2012). Nguyen, Lily ; Moshirian, Fariborz ; Pham, Peter Kien .
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:36:y:2012:i:10:p:2837-2851.

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254. Earnings announcements and attention constraints: The role of market design. (2012). Chakrabarty, Bidisha ; Moulton, Pamela C..
     In: Journal of Accounting and Economics.
     RePEc:eee:jaecon:v:53:y:2012:i:3:p:612-634.

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255. Modelling and forecasting liquidity supply using semiparametric factor dynamics. (2012). Mihoci, Andrija ; Härdle, Wolfgang ; Hautsch, Nikolaus ; Hardle, Wolfgang Karl.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:19:y:2012:i:4:p:610-625.

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256. Ownership, control and market liquidity. (2012). Ginglinger, Edith ; Hamon, Jacques .
     In: Economics Papers from University Paris Dauphine.
     RePEc:dau:papers:123456789/9676.

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257. Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity. (2012). Iori, Giulia ; Kovaleva, P..
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258. Identifying cross-sided liquidity externalities. (2012). Sojli, Elvira ; Skjeltorp, Johannes ; Tham, Wing Wah.
     In: Working Paper.
     RePEc:bno:worpap:2012_20.

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259. Order book dynamics in liquid markets: limit theorems and diffusion approximations. (2012). De Larrard, Adrien ; Cont, Rama.
     In: Papers.
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260. Limit order books and trade informativeness. (2011). Menkveld, Albert ; Grammig, Joachim G. ; BELTRAN-LOPEZ, Helena .
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261. Fertility Responses to Prevention of Mother-to-Child Transmission of HIV. (2011). Wilson, Nicholas ; Osler, Carol ; Nguyen, Thang .
     In: Department of Economics Working Papers.
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262. Optimal trading in a limit order book using linear strategies.. (2011). Pellizzari, Paolo.
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263. High Frequency Trading and the New-Market Makers. (2011). Menkveld, Albert.
     In: Tinbergen Institute Discussion Papers.
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264. Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic.
     In: Quantitative Finance.
     RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012.

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265. Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic.
     In: Quantitative Finance.
     RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041.

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266. Nonlinearities in stochastic clocks: trades and volume as subordinators of electronic markets. (2011). Velasco-Fuentes, Rafael ; Ng, Wing Lon .
     In: Quantitative Finance.
     RePEc:taf:quantf:v:11:y:2011:i:6:p:863-881.

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267. Provably linkable trading. (2011). Kenyon, Chris ; Camenisch, Jan .
     In: Quantitative Finance.
     RePEc:taf:quantf:v:11:y:2011:i:5:p:641-651.

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268. Trading and Liquidity with Limited Cognition. (2011). Weill, Pierre-Olivier ; Biais, Bruno ; Hombert, Johan.
     In: 2011 Meeting Papers.
     RePEc:red:sed011:475.

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269. Investment Strategies Used as Spectroscopy of Financial Markets Reveal New Stylized Facts. (2011). Zhou, Wei-Xing ; Sornette, Didier ; Chen, Wei ; Mu, Guo-Hua .
     In: PLOS ONE.
     RePEc:plo:pone00:0024391.

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270. Dynamic trade execution: a grammatical evolution approach. (2011). Brabazon, Anthony ; Cui, Wei ; O'Neill, Michael .
     In: International Journal of Financial Markets and Derivatives.
     RePEc:ids:ijfmkd:v:2:y:2011:i:1/2:p:4-31.

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271. Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models. (2011). Hautsch, Nikolaus ; Gro-Klumann, Axel .
     In: SFB 649 Discussion Papers.
     RePEc:hum:wpaper:sfb649dp2011-044.

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272. Order book dynamics in liquid markets: limit theorems and diffusion approximations. (2011). De Larrard, Adrien ; Cont, Rama.
     In: Working Papers.
     RePEc:hal:wpaper:hal-00672274.

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273. Market making behaviour in an order book model and its impact on the bid-ask spread. (2011). Toke, Ioane Muni.
     In: Post-Print.
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274. Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic.
     In: Post-Print.
     RePEc:hal:journl:hal-00621058.

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275. A test of the different implications of the overconfidence and disposition hypotheses. (2011). Chou, Robin K. ; Wang, Yun-Yi .
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:35:y:2011:i:8:p:2037-2046.

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276. On the sources of private information in FX markets. (2011). Payne, Richard ; Moore, Michael.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:35:y:2011:i:5:p:1250-1262.

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277. Extreme returns: The case of currencies. (2011). Savaser, Tanseli ; Osler, Carol .
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:35:y:2011:i:11:p:2868-2880.

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278. Information asymmetry in warrants and their underlying stocks on the stock exchange of Thailand. (2011). Visaltanachoti, Nuttawat ; Ding, David ; Charoenwong, Charlie .
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:18:y:2011:i:3:p:474-487.

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279. Markets change every day: Evidence from the memory of trade direction. (2011). Axioglou, Christos ; Skouras, Spyros .
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:18:y:2011:i:3:p:423-446.

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280. Transaction duration and asymmetric price impact of trades--Evidence from Australia. (2011). Yang, Joey Wenling .
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:18:y:2011:i:1:p:91-102.

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281. Order aggressiveness, pre-trade transparency, and long memory in an order-driven market. (2011). Yamamoto, Ryuichi.
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:35:y:2011:i:11:p:1938-1963.

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282. Impact des rachats d’actions sur la liquidité et la rentabilité des actions. (2011). Brunel, Alexandre .
     In: Economics Thesis from University Paris Dauphine.
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283. Distribution Choice for the Asymmetric ACD Models. (2011). Bień-Barkowska, Katarzyna.
     In: Dynamic Econometric Models.
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284. Sunshine trading: Flashes of trading intent at the NASDAQ. (2011). Sojli, Elvira ; Skjeltorp, Johannes ; Tham, Wing Wah.
     In: Working Paper.
     RePEc:bno:worpap:2011_17.

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285. Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market. (2011). Lo, Ingrid ; Sapp, Stephen .
     In: Staff Working Papers.
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286. Price dynamics in a Markovian limit order market. (2011). De Larrard, Adrien ; Cont, Rama.
     In: Papers.
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287. Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange. (2010). Clifton, Matthew .
     In: PhD Thesis.
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288. Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange. (2010). Clifton, Matthew .
     In: PhD Thesis.
     RePEc:uts:finphd:14.

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289. Trading and Liquidity with Limited Cognition. (2010). Weill, Pierre-Olivier ; Biais, Bruno ; Hombert, Johan.
     In: TSE Working Papers.
     RePEc:tse:wpaper:24591.

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290. Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje .
     In: Quantitative Finance.
     RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157.

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291. The effect of settlement regimes on trading cost and market efficiency: evidence from the National Stock Exchange. (2010). Nath, Golak ; Dalvi, Manoj ; Refalo, James .
     In: Macroeconomics and Finance in Emerging Market Economies.
     RePEc:taf:macfem:v:3:y:2010:i:1:p:119-130.

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292. Risk aversion, order strategy and price formation. (2010). Kuo, Chau-Jung ; Wang, Ming-Chang ; Zu, Lon-Ping .
     In: Applied Economics.
     RePEc:taf:applec:v:42:y:2010:i:5:p:627-640.

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293. Informed and uninformed traders at work: evidence from the French market. (2010). Ferriani, Fabrizio.
     In: MPRA Paper.
     RePEc:pra:mprapa:24487.

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294. Does the Open Limit Order Book Matter in Explaining Informational Volatility?. (2010). Veredas, David ; PASCUAL, ROBERTO.
     In: Journal of Financial Econometrics.
     RePEc:oup:jfinec:v:8:y:2010:i:1:p:57-87.

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295. Trading and Liquidity with Limited Cognition. (2010). Weill, Pierre-Olivier ; Biais, Bruno ; Hombert, Johan.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:16628.

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296. Imperfect Competition in Financial Markets: An Empirical Study of Island and Nasdaq. (2010). BISIÈRE, Christophe ; Biais, Bruno ; Spatt, Chester.
     In: Management Science.
     RePEc:inm:ormnsc:v:56:y:2010:i:12:p:2237-2250.

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297. Trading and Liquidity with Limited Cognition. (2010). Weill, Pierre-Olivier ; Biais, Bruno ; Hombert, Johan.
     In: IDEI Working Papers.
     RePEc:ide:wpaper:24162.

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298. EVALUATION OF THE IMPACT OF DAY TRADING ON THE EGYPTIAN STOCK MARKET. (2010). Fouad, Jasmin ; Azzam, Islam .
     In: The International Journal of Business and Finance Research.
     RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:1-21.

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299. Optimal trade execution and absence of price manipulations in limit order book models. (2010). Schied, Alexander ; Alfonsi, Aurelien.
     In: Post-Print.
     RePEc:hal:journl:hal-00397652.

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300. Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment. (2010). Switzer, Lorne ; Fan, Haibo .
     In: International Econometric Review (IER).
     RePEc:erh:journl:v:2:y:2010:i:1:p:11-35.

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301. Scaling and memory in the non-Poisson process of limit order cancelation. (2010). Ren, Fei ; Jiang, Zhi-Qiang ; Ni, Xiao-Hui ; Chen, Wei ; Zhou, Wei-Xing ; Gu, Gao-Feng .
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:389:y:2010:i:14:p:2751-2761.

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302. International order flows: Explaining equity and exchange rate returns. (2010). Moore, Michael ; Hau, Harald ; Dunne, Peter.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:29:y:2010:i:2:p:358-386.

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303. Limit-order submission strategies under asymmetric information. (2010). Schmeling, Maik ; Osler, Carol ; Menkhoff, Lukas.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:34:y:2010:i:11:p:2665-2677.

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304. Order aggressiveness and quantity: How are they determined in a limit order market?. (2010). Lo, Ingrid ; Sapp, Stephen G..
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:20:y:2010:i:3:p:213-237.

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305. Speed, distance, and electronic trading: New evidence on why location matters. (2010). wu, fei ; Garvey, Ryan.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:13:y:2010:i:4:p:367-396.

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306. Whose trades convey information? Evidence from a cross-section of traders. (2010). Schmeling, Maik ; Menkhoff, Lukas.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:13:y:2010:i:1:p:101-128.

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307. Order aggressiveness and the diagonal effect in experimental double auction markets. (2010). Majois, Christophe .
     In: Economics Letters.
     RePEc:eee:ecolet:v:107:y:2010:i:2:p:304-309.

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308. Order aggressiveness as a metric to assess the usefulness of accounting information. (2010). Perotti, Pietro.
     In: The International Journal of Accounting.
     RePEc:eee:accoun:v:45:y:2010:i:3:p:306-333.

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309. Limit-Order Submission Strategies under Asymmetric Information. (2010). Schmeling, Maik ; Osler, Carol ; Menkhoff, Lukas.
     In: CESifo Working Paper Series.
     RePEc:ces:ceswps:_3054.

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310. Price Discovery in Currency Markets. (2010). Osler, Carol ; Menkhoff, Lukas ; Mende, Alexander .
     In: Working Papers.
     RePEc:brd:wpaper:03.

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311. DYNAMIC ORDER SUBMISSION AND HERDING BEHAVIOR IN ELECTRONIC TRADING. (2010). Ng, Wing Lon .
     In: Journal of Financial Research.
     RePEc:bla:jfnres:v:33:y:2010:i:1:p:27-43.

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312. Market making behaviour in an order book model and its impact on the bid-ask spread. (2010). Toke, Ioane Muni.
     In: Papers.
     RePEc:arx:papers:1003.3796.

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313. The impact of iceberg orders in limit order books. (2009). Sands, Patrik ; Frey, Stefan .
     In: CFR Working Papers.
     RePEc:zbw:cfrwps:0906.

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314. Electronic limit order book and order submission choice around macroeconomic news. (2009). Lasser, Dennis ; Erenburg, Grigori .
     In: Review of Financial Economics.
     RePEc:wly:revfec:v:18:y:2009:i:4:p:172-182.

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315. Liquidity Shocks and Order Book Dynamics. (2009). Weill, Pierre-Olivier ; Biais, Bruno.
     In: TSE Working Papers.
     RePEc:tse:wpaper:21944.

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316. Diffusive behavior and the modeling of characteristic times in limit order executions. (2009). Mantegna, Rosario ; Lillo, Fabrizio ; Eisler, Zoltan ; Kertesz, Janos.
     In: Quantitative Finance.
     RePEc:taf:quantf:v:9:y:2009:i:5:p:547-563.

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317. What pieces of limit order book information matter in explaining order choice by patient and impatient traders?. (2009). Veredas, David ; PASCUAL, ROBERTO.
     In: Quantitative Finance.
     RePEc:taf:quantf:v:9:y:2009:i:5:p:527-545.

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318. A Dynamic Model of the Limit Order Book. (2009). Rosu, Ioanid.
     In: Review of Financial Studies.
     RePEc:oup:rfinst:v:22:y:2009:i:11:p:4601-4641.

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319. Algorithmic Trading and Information. (2009). Riordan, Ryan ; Hendershott, Terrence.
     In: Working Papers.
     RePEc:net:wpaper:0908.

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320. Liquidity Shocks and Order Book Dynamics. (2009). Weill, Pierre-Olivier ; Biais, Bruno.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:15009.

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321. Order submission behaviors and opening price behaviors: evidence from an emerging market. (2009). Wang, Zi-May ; Lai, Hsiu-Ling ; Chiao, Chaoshin.
     In: Review of Quantitative Finance and Accounting.
     RePEc:kap:rqfnac:v:33:y:2009:i:3:p:253-278.

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322. Commonalities in the order book. (2009). Grammig, Joachim ; Giot, Pierre ; BELTRAN-LOPEZ, Helena .
     In: Financial Markets and Portfolio Management.
     RePEc:kap:fmktpm:v:23:y:2009:i:3:p:209-242.

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323. Liquidity Shocks and Order Book Dynamics. (2009). Weill, Pierre-Olivier ; Biais, Bruno.
     In: IDEI Working Papers.
     RePEc:ide:wpaper:20653.

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324. A Dynamic Model of the Limit Order Book. (2009). Rosu, Ioanid.
     In: Post-Print.
     RePEc:hal:journl:hal-00515873.

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325. Rise of the machines: algorithmic trading in the foreign exchange market. (2009). Hjalmarsson, Erik ; Chaboud, Alain ; Vega, Clara ; Chiquoine, Benjamin .
     In: International Finance Discussion Papers.
     RePEc:fip:fedgif:980.

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326. Electronic limit order book and order submission choice around macroeconomic news. (2009). Lasser, Dennis ; Erenburg, Grigori .
     In: Review of Financial Economics.
     RePEc:eee:revfin:v:18:y:2009:i:4:p:172-182.

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327. Order aggressiveness of institutional and individual investors. (2009). Krishnamurti, Chandrasekhar ; Duong, Huu Nhan ; Kalev, Petko S..
     In: Pacific-Basin Finance Journal.
     RePEc:eee:pacfin:v:17:y:2009:i:5:p:533-546.

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328. Commonality in liquidity: Evidence from the Stock Exchange of Thailand. (2009). Visaltanachoti, Nuttawat ; Pukthuanthong-Le, Kuntara .
     In: Pacific-Basin Finance Journal.
     RePEc:eee:pacfin:v:17:y:2009:i:1:p:80-99.

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329. Hidden liquidity: An analysis of order exposure strategies in electronic stock markets. (2009). Bessembinder, Hendrik ; Panayides, Marios ; Venkataraman, Kumar.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:94:y:2009:i:3:p:361-383.

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330. A market-clearing role for inefficiency on a limit order book. (2009). Large, Jeremy.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:91:y:2009:i:1:p:102-117.

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331. Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China. (2009). Wang, Fenghua ; Cheung, YanLeung ; Bailey, Warren ; Cai, Jun.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:33:y:2009:i:1:p:9-19.

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332. Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext. (2009). Giot, Pierre ; Durré, Alain ; Durre, Alain ; BELTRAN, Helena .
     In: Global Finance Journal.
     RePEc:eee:glofin:v:20:y:2009:i:1:p:80-97.

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333. Anonymity, liquidity and fragmentation. (2009). Comerton-Forde, Carole ; Tang, Kar Mei .
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:12:y:2009:i:3:p:337-367.

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334. Technology and liquidity provision: The blurring of traditional definitions. (2009). Saar, Gideon ; Hasbrouck, Joel .
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172.

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335. Monitoring and limit order submission risks. (2009). Liu, Wai-Man.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:12:y:2009:i:1:p:107-141.

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336. Do stylised facts of order book markets need strategic behaviour?. (2009). Schenk-Hoppé, Klaus ; Ladley, Daniel ; Schenk-Hoppe, Klaus Reiner.
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:33:y:2009:i:4:p:817-831.

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337. Functional modelling of volatility in the Swedish limit order book. (2009). Elezovic, Suad .
     In: Computational Statistics & Data Analysis.
     RePEc:eee:csdana:v:53:y:2009:i:6:p:2107-2118.

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338. Liquidity cycles and make/take fees in electronic markets. (2009). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
     In: HEC Research Papers Series.
     RePEc:ebg:heccah:0920.

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339. Liquidity cycles and make/take fees in electronic markets. (2009). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
     In: CEPR Discussion Papers.
     RePEc:cpr:ceprdp:7551.

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340. Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets. (2009). Lin, Tsaiyin ; Chiang, Minhsien ; Yu, Chihhsien Jerry.
     In: Journal of Business Finance & Accounting.
     RePEc:bla:jbfnac:v:36:y:2009:i:7-8:p:1007-1038.

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341. Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading. (2009). Tse, Yiuman ; Ning, ZI.
     In: Journal of Business Finance & Accounting.
     RePEc:bla:jbfnac:v:36:y:2009:i:1-2:p:230-252.

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342. Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets. (2009). YU, CHIH-HSIEN JERRY ; Lin, Tsai-Yin ; Chiang, Min-Hsien .
     In: Journal of Business Finance & Accounting.
     RePEc:bla:jbfnac:v:36:y:2009-09:i:7-8:p:1007-1038.

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343. Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading. (2009). Tse, Yiuman ; Ning, Zi.
     In: Journal of Business Finance & Accounting.
     RePEc:bla:jbfnac:v:36:y:2009-01:i:1-2:p:230-252.

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344. The Components of the Bid-Ask Spread: the Case of the Athens Stock Exchange. (2009). Angelidis, Timotheos ; Benos, Alexandros .
     In: European Financial Management.
     RePEc:bla:eufman:v:15:y:2009:i:1:p:112-144.

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345. The impact of liquidity shocks through the limit order book. (2008). Wuyts, Gunther .
     In: CFS Working Paper Series.
     RePEc:zbw:cfswop:200853.

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346. Pro-rata matching and one-tick futures markets. (2008). Large, Jeremy ; Field, Jonathan .
     In: CFS Working Paper Series.
     RePEc:zbw:cfswop:200840.

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347. Quantifying the efficiency of the Xetra LOB market: Detailed recipe. (2008). Sperl, Miriam .
     In: CFS Working Paper Series.
     RePEc:zbw:cfswop:200821.

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348. Thought and Behavior Contagion in Capital Markets. (2008). Teoh, Siew Hong ; Hirshleifer, David.
     In: MPRA Paper.
     RePEc:pra:mprapa:9164.

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349. Thought and Behavior Contagion in Capital Markets. (2008). Teoh, Siew Hong ; Hirshleifer, David.
     In: MPRA Paper.
     RePEc:pra:mprapa:9142.

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350. Order Dynamics in the Italian Treasury Security Wholesale Secondary Market. (2008). Coluzzi, Chiara ; Ginebri, Sergio .
     In: Economics & Statistics Discussion Papers.
     RePEc:mol:ecsdps:esdp08050.

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351. Liquidity on the Scandinavian Order-driven Stock Exchanges. (2008). Soderberg, Jonas .
     In: CAFO Working Papers.
     RePEc:hhs:vxcafo:2009_011.

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352. Empirical distributions of Chinese stock returns at different microscopic timescales. (2008). Gu, Gao-Feng ; Chen, Wei ; Zhou, Wei-Xing.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:387:y:2008:i:2:p:495-502.

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353. The effect of price limits on intraday volatility and information asymmetry. (2008). Yang, Jimmy J. ; Kim, Yong H..
     In: Pacific-Basin Finance Journal.
     RePEc:eee:pacfin:v:16:y:2008:i:5:p:522-538.

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354. The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system. (2008). Lo, Ingrid ; Sapp, Stephen G..
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:27:y:2008:i:7:p:1056-1073.

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355. Splitting orders in overlapping markets: A study of cross-listed stocks. (2008). Menkveld, Albert.
     In: Journal of Financial Intermediation.
     RePEc:eee:jfinin:v:17:y:2008:i:2:p:145-174.

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356. Improving VWAP strategies: A dynamic volume approach. (2008). Le Fol, Gaelle ; darolles, serge ; Bialkowski, Jedrzej.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:32:y:2008:i:9:p:1709-1722.

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357. Overnight information and stochastic volatility: A study of European and US stock exchanges. (2008). Tsiakas, Ilias.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:32:y:2008:i:2:p:251-268.

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358. Liquidity distribution in the limit order book on the stock exchange of Thailand. (2008). Visaltanachoti, Nuttawat ; Ding, David ; Charoenwong, Charlie .
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:17:y:2008:i:2:p:291-311.

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359. Information content of inter-trade time on the Chinese market. (2008). Chen, Tao ; Li, Jie ; Cai, Jun.
     In: Emerging Markets Review.
     RePEc:eee:ememar:v:9:y:2008:i:3:p:174-193.

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360. ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET. (2008). Cao, Charles ; Wang, Xiaoxin ; Hansch, Oliver .
     In: Journal of Financial Research.
     RePEc:bla:jfnres:v:31:y:2008:i:2:p:113-140.

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361. Universal price impact functions of individual trades in an order-driven market. (2008). Zhou, Wei-Xing.
     In: Papers.
     RePEc:arx:papers:0708.3198.

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362. Customer trading in the foreign exchange market empirical evidence from an internet trading platform. (2007). Nolte, Ingmar ; Lechner, Sandra .
     In: CoFE Discussion Papers.
     RePEc:zbw:cofedp:0703.

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363. Do supply and demand drive stock prices?. (2007). Hopman, Carl.
     In: Quantitative Finance.
     RePEc:taf:quantf:v:7:y:2007:i:1:p:37-53.

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364. Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision. (2007). Schied, Alexander ; Schöneborn, Torsten.
     In: MPRA Paper.
     RePEc:pra:mprapa:5548.

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365. Mispricing Persistence and the Effectiveness of Arbitrage Trading. (2007). Alphonse, Pascal.
     In: Multinational Finance Journal.
     RePEc:mfj:journl:v:11:y:2007:i:1-2:p:123-156.

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366. Whose trades convey information? Evidence from a cross-section of traders. (2007). Schmeling, Maik ; Menkhoff, Lukas.
     In: Hannover Economic Papers (HEP).
     RePEc:han:dpaper:dp-357.

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367. Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information. (2007). Derviz, Alexis.
     In: Working Papers IES.
     RePEc:fau:wpaper:wp2007_16.

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368. Stock Market Liquidity.Determinants and Implications. (2007). Wuyts, G.
     In: Review of Business and Economic Literature.
     RePEc:ete:revbec:20070205.

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369. Limit theorems in financial market models. (2007). Murai, Joshin ; Kuroda, Koji .
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:383:y:2007:i:1:p:28-34.

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370. Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange. (2007). Vo, Minh T..
     In: Global Finance Journal.
     RePEc:eee:glofin:v:17:y:2007:i:3:p:379-396.

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371. Modelling the buy and sell intensity in a limit order book market. (2007). Hall, Anthony ; Hautsch, Nikolaus.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:10:y:2007:i:3:p:249-286.

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372. The PIN anomaly around M&A announcements. (2007). Declerck, Fany ; de Bodt, Eric ; Aktas, Nihat ; VAN OPPENS, Herve .
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:10:y:2007:i:2:p:169-191.

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373. Liquidity supply in electronic markets. (2007). McInish, Thomas ; Aitken, Michael ; deB. Harris, Frederick H., ; Almeida, Niall.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:10:y:2007:i:2:p:144-168.

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374. Measuring the resiliency of an electronic limit order book. (2007). Large, Jeremy.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25.

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375. Order dynamics: Recent evidence from the NYSE. (2007). Jain, Pankaj ; Ellul, Andrew ; Jennings, Robert ; Holden, Craig W..
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:14:y:2007:i:5:p:636-661.

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376. Empirical distributions of Chinese stock returns at different microscopic timescales. (2007). Gu, Gao-Feng ; Chen, Wei ; Zhou, Wei-Xing.
     In: Papers.
     RePEc:arx:papers:0708.3472.

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377. Liquidity commonality beyond best prices. (2006). Kempf, Alexander ; Mayston, Daniel .
     In: CFR Working Papers.
     RePEc:zbw:cfrwps:0604.

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378. Order aggressiveness and order book dynamics. (2006). Hall, Anthony ; Hautsch, Nikolaus.
     In: Empirical Economics.
     RePEc:spr:empeco:v:30:y:2006:i:4:p:973-1005.

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379. How large is liquidity risk in an automated auction market?. (2006). Grammig, Joachim ; Giot, Pierre.
     In: Empirical Economics.
     RePEc:spr:empeco:v:30:y:2006:i:4:p:867-887.

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380. Liquidity supply and adverse selection in a pure limit order book market. (2006). Grammig, Joachim ; Frey, Stefan.
     In: Empirical Economics.
     RePEc:spr:empeco:v:30:y:2006:i:4:p:1007-1033.

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381. The Venezuelan Overnight Fund Market: Understanding a Credit Constraint Limit Order Market. (2006). Pagliacci, Carolina.
     In: MPRA Paper.
     RePEc:pra:mprapa:106541.

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382. Kyle v. Kyle (’85 v. ’89). (2006). Bernhardt, Dan.
     In: Annals of Finance.
     RePEc:kap:annfin:v:2:y:2006:i:1:p:23-38.

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383. Imperfect Competition in Financial Markets: ISLAND versus NASDAQ. (2006). BISIÈRE, Christophe ; Biais, Bruno ; Spatt, Chester.
     In: IDEI Working Papers.
     RePEc:ide:wpaper:1569.

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384. Price Discovery in Currency Markets. (2006). Osler, Carol ; Menkhoff, Lukas ; Mende, Alexander.
     In: Hannover Economic Papers (HEP).
     RePEc:han:dpaper:dp-351.

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385. Improving VWAP strategies: A dynamical volume approach. (2006). Le Fol, Gaelle ; darolles, serge ; Biakowski, Jedrzej .
     In: Documents de recherche.
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386. Trades outside the quotes: Reporting delay, trading option, or trade size?. (2006). Stoll, Hans ; Schenzler, Christoph .
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:79:y:2006:i:3:p:615-653.

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387. Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market. (2006). Skjeltorp, Johannes ; Næs, Randi ; Naes, Randi .
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:9:y:2006:i:4:p:408-432.

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388. On the presence and market-structure of exchanges around the world. (2006). Jorgensen, Bjorn ; Kavajecz, Kenneth A. ; Clayton, Matthew J..
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:9:y:2006:i:1:p:27-48.

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389. The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange. (2006). Angelidis, Timotheos ; Benos, Alexandros .
     In: Working Papers.
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390. Does the open limit order book matter in explaining long run volatility ?. (2006). Veredas, David ; PASCUAL, ROBERTO.
     In: CORE Discussion Papers.
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391. Market reaction to temporary liquidity crises and the permanent market impact. (2006). Mantegna, Rosario ; Ponzi, Adam ; Lillo, Fabrizio.
     In: Papers.
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392. Does anonymity matter in electronic limit order markets?. (2005). Theissen, Erik ; Moinas, Sophie ; Foucault, Thierry.
     In: CFR Working Papers.
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393. Liquiditätsdynamik am deutschen Aktienmarkt. (2005). Kempf, Alexander ; Griese, Knut .
     In: CFR Working Papers.
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394. Understanding the limit order book: Conditioning on trade informativeness. (2005). Menkveld, Albert ; Grammig, Joachim ; BELTRAN, Helena .
     In: CFR Working Papers.
     RePEc:zbw:cfrwps:0505.

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395. Price and tick size preferences in trading activity changes around stock split executions. (2005). Gomez Sala, Juan ; Yague, Jose ; Gomez-Sala, J..
     In: Spanish Economic Review.
     RePEc:spr:specre:v:7:y:2005:i:2:p:111-138.

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396. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
     In: Economics Papers.
     RePEc:nuf:econwp:0505.

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397. Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
     In: NBER Working Papers.
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398. Order Submission Strategies and Information: Empirical Evidence from the NYSE. (2005). Beber, Alessandro ; Caglio, Cecilia.
     In: FAME Research Paper Series.
     RePEc:fam:rpseri:rp146.

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399. Managing Uncertainty: Financial, Actuarial and Statistical Modeling. (2005). Goovaerts, Marc ; Dhaene, Geert ; Degryse, Hans ; Dewachter, Hans ; Roodhooft, F ; Hubert, M ; Gijbels, I ; Croux, C ; Claeskens, G ; Beirlant, J ; Willekens, M ; Schouten, W.
     In: Review of Business and Economic Literature.
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400. A local non-parametric model for trade sign inference. (2005). Blazejewski, Adam ; Coggins, Richard .
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:348:y:2005:i:c:p:481-495.

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401. The Asian financial crisis: The role of derivative securities trading and foreign investors in Korea. (2005). Ghysels, Eric ; Seon, Junghoon.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:24:y:2005:i:4:p:607-630.

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402. The make or take decision in an electronic market: Evidence on the evolution of liquidity. (2005). Saar, Gideon ; Bloomfield, Robert ; O'Hara, Maureen .
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:75:y:2005:i:1:p:165-199.

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403. Liquidity commonality and return co-movement. (2005). Domowitz, Ian ; Hansch, Oliver ; Wang, Xiaoxin .
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:8:y:2005:i:4:p:351-376.

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404. Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders. (2005). Chakravarty, Sugato ; Anand, Amber ; Martell, Terrence.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:8:y:2005:i:3:p:288-308.

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405. Market microstructure: A survey of microfoundations, empirical results, and policy implications. (2005). Biais, Bruno ; Spatt, Chester ; Glosten, Larry .
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:8:y:2005:i:2:p:217-264.

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406. Price limit performance: evidence from transactions data and the limit order book. (2005). Kim, Kenneth ; Rhee, Ghon S. ; Chan, Soon Huat.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:12:y:2005:i:2:p:269-290.

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407. Commonalities in the order book. (2005). Grammig, Joachim ; Giot, Pierre ; Helena, BELTRAN ; Joachim, GRAMMIG.
     In: Discussion Papers (ECON - Département des Sciences Economiques).
     RePEc:ctl:louvec:2005014.

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408. The speed of limit order execution in the Spanish stock exchange. (2005). Gava, Luana.
     In: DEE - Working Papers. Business Economics. WB.
     RePEc:cte:wbrepe:wb057718.

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409. Decomposing Volume for VWAP Strategies. (2005). Le Fol, Gaelle ; darolles, serge ; Bialkowski, Jedrzej ; Jedrzej Bialkowski ; Serge Darolles ; Gaelle Le Fo, .
     In: Working Papers.
     RePEc:crs:wpaper:2005-16.

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410. Volatility regimes and the provision of liquidity in order book markets. (2005). Giot, Pierre ; Durré, Alain ; Durre, Alain ; BELTRAN, Helena .
     In: CORE Discussion Papers.
     RePEc:cor:louvco:2005012.

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411. Commonalities in the order book. (2005). Grammig, Joachim ; Giot, Pierre ; BELTRAN, Helena .
     In: CORE Discussion Papers.
     RePEc:cor:louvco:2005011.

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412. Price Movement Effects on the State of the Electronic Limit‐Order Book. (2005). Chan, Yue-Cheong .
     In: The Financial Review.
     RePEc:bla:finrev:v:40:y:2005:i:2:p:195-221.

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413. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
     In: Staff Working Papers.
     RePEc:bca:bocawp:05-42.

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414. A piecewise linear model for trade sign inference. (2004). Blazejewski, Adam ; Coggins, Richard .
     In: Finance.
     RePEc:wpa:wuwpfi:0412012.

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415. A local non-parametric model for trade sign inference. (2004). Blazejewski, Adam ; Coggins, Richard .
     In: Finance.
     RePEc:wpa:wuwpfi:0408009.

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416. A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange. (2004). Ekinci, Cumhur.
     In: Finance.
     RePEc:wpa:wuwpfi:0305006.

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417. The components of bid‐ask spread and their determinants: TAIFEX versus SGX‐DT. (2004). Yu Chuan Huang, .
     In: Journal of Futures Markets.
     RePEc:wly:jfutmk:v:24:y:2004:i:9:p:835-860.

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418. A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market. (2004). Hall, Anthony ; Hautsch, Nikolaus.
     In: Research Paper Series.
     RePEc:uts:rpaper:121.

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419. Does Anonymity Matter in Electronic Limit Order Markets?. (2004). Theissen, Erik ; Moinas, Sophie ; Foucault, Thierry.
     In: Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems.
     RePEc:trf:wpaper:3.

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420. What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio.
     In: Quantitative Finance.
     RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397.

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421. Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model.. (2004). Heinen, Andréas ; Grammig, Joachim ; Rengifo, Erick .
     In: MPRA Paper.
     RePEc:pra:mprapa:8115.

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422. Cancellation and uncertainty aversion on limit order books. (2004). Large, Jeremy .
     In: Economics Series Working Papers.
     RePEc:oxf:wpaper:2004-fe-04.

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423. Cancellation and Uncertainty Aversion on Limit Order Books. (2004). Large, Jeremy.
     In: Economics Papers.
     RePEc:nuf:econwp:045.

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424. How does liquidity react to stress periods in a limit order market?. (2004). Giot, Pierre ; Durré, Alain ; BELTRAN, Helena .
     In: Working Paper Research.
     RePEc:nbb:reswpp:200405-5.

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425. Order Aggressiveness and Order Book Dynamics. (2004). Hall, Anthony ; Hautsch, Nikolaus.
     In: FRU Working Papers.
     RePEc:kud:kuiefr:200504.

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426. ESTIMATING THE PROBABILITY OF INFORMED TRADING: FURTHER EVIDENCE FROM AN ORDER-DRIVEN MARKET. (2004). Rubia, Antonio ; Abad, David.
     In: Working Papers. Serie AD.
     RePEc:ivi:wpasad:2004-38.

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427. Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications. (2004). Biais, Bruno ; Spatt, Chester ; Glosten, Larry .
     In: IDEI Working Papers.
     RePEc:ide:wpaper:825.

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428. Aggressive dealer pricing. (2004). Sarajoti, Pattarake ; Locke, Peter R..
     In: The Quarterly Review of Economics and Finance.
     RePEc:eee:quaeco:v:44:y:2004:i:4:p:559-573.

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429. Determinants of the decision to submit market or limit orders on the ASX. (2004). Ng, Hock Guan ; Ching, Simon ; Verhoeven, Peter .
     In: Pacific-Basin Finance Journal.
     RePEc:eee:pacfin:v:12:y:2004:i:1:p:1-18.

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430. Does an electronic stock exchange need an upstairs market?. (2004). Bessembinder, Hendrik ; Venkataraman, Kumar.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:73:y:2004:i:1:p:3-36.

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431. Why markets should not necessarily reduce the tick size. (2004). Declerck, Fany ; Bourghelle, David .
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:28:y:2004:i:2:p:373-398.

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432. Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis. (2004). PASCUAL, ROBERTO ; Escribano, Alvaro ; Tapia, Mikel.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:28:y:2004:i:1:p:107-128.

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433. Expandable limit order markets. (2004). Leach, Chris ; Boni, Leslie.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:7:y:2004:i:2:p:145-185.

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434. Order aggressiveness in limit order book markets. (2004). Ranaldo, Angelo.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74.

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435. High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market. (2004). Tyurin, Konstantin.
     In: Econometric Society 2004 North American Summer Meetings.
     RePEc:ecm:nasm04:579.

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436. Understanding limit order book depth: conditioning on trade informativeness. (2004). Menkveld, Albert ; BELTRAN, Helena .
     In: Econometric Society 2004 Latin American Meetings.
     RePEc:ecm:latm04:142.

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437. Bullish/Bearish Strategies of Trading: A Nonlinear Equilibrium. (2004). Germain, Laurent ; Dridi, Ramdan .
     In: Journal of Financial and Quantitative Analysis.
     RePEc:cup:jfinqa:v:39:y:2004:i:04:p:873-886_00.

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438. Volatility regimes and the provisions of liquidity in order book markets. (2004). Giot, Pierre ; Durré, Alain ; Helena, BELTRAN.
     In: Discussion Papers (ECON - Département des Sciences Economiques).
     RePEc:ctl:louvec:2005015.

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439. Trading activity and liquidity supply in a pure limit order book market. (2004). Heinen, Andréas ; Grammig, Joachim ; Rengifo, Erick .
     In: CORE Discussion Papers.
     RePEc:cor:louvco:2004058.

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440. What pieces of limit order book information are informative ?. (2004). Veredas, David ; PASCUAL, ROBERTO.
     In: CORE Discussion Papers.
     RePEc:cor:louvco:2004033.

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441. Ownership Structure and Stock Market Liquidity. (2004). Næs, Randi ; Nas, Randi .
     In: Working Paper.
     RePEc:bno:worpap:2004_06.

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442. A steady-state model of the continuous double auction. (2003). Luckock, Hugh .
     In: Quantitative Finance.
     RePEc:taf:quantf:v:3:y:2003:i:5:p:385-404.

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443. IMPACTO SOBRE EL MERCADO BURSATIL ESPAÑOL DE LOS CAMBIOS EN LAS VARIACIONES MÍNIMAS DE PRECIOS TRAS LA INTRODUCCIÓN DEL EURO. (2003). Abad, David ; Tapia, Mikel.
     In: Working Papers. Serie EC.
     RePEc:ivi:wpasec:2003-17.

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444. Limit Order Book as a Market for Liquidity. (2003). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
     In: Discussion Paper Series.
     RePEc:huj:dispap:dp321.

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445. A comprehensive test of order choice theory: recent evidence from the NYSE. (2003). Jain, Pankaj ; Ellul, Andrew ; Jennings, Robert ; Holden, Craig W..
     In: LSE Research Online Documents on Economics.
     RePEc:ehl:lserod:24896.

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446. More statistical properties of order books and price impact. (2003). Bouchaud, Jean-Philippe ; Potters, Marc .
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:324:y:2003:i:1:p:133-140.

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447. Equity trading by institutional investors: Evidence on order submission strategies. (2003). Skjeltorp, Johannes ; Næs, Randi.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:27:y:2003:i:9:p:1779-1817.

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448. The trading mechanism, cross listed stocks: a comparison of the Paris Bourse and SEAQ-International. (2003). Chelley-Steeley, Patricia.
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:13:y:2003:i:4:p:401-417.

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449. Specialist participation and limit orders. (2003). Sung, Jaeyoung ; Bondarenko, Oleg.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:6:y:2003:i:4:p:539-571.

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450. Traders choice between limit and market orders: evidence from NYSE stocks. (2003). Jang, Hasung ; Park, Kyung Suh ; Bae, Kee-Hong .
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:6:y:2003:i:4:p:517-538.

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451. Quote setting and price formation in an order driven market. (2003). Tiwari, Ashish ; Schwartz, Robert ; Handa, Puneet.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:6:y:2003:i:4:p:461-489.

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452. Emerging markets and trading costs: lessons from Casablanca. (2003). Ghysels, Eric ; Cherkaoui, Mouna .
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:10:y:2003:i:1-2:p:169-198.

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453. Does anonymity matter in electronic limit order markets ?. (2003). Theissen, Erik ; Moinas, Sophie ; Foucault, Thierry ; Thierry, FOUCAULT ; Erik, THEISSEN ; Sophie, MOINAS.
     In: HEC Research Papers Series.
     RePEc:ebg:heccah:0784.

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454. Does Anonymity Matter in Electronic Limit Order Markets?. (2003). Theissen, Erik ; Moinas, Sophie ; Foucault, Thierry.
     In: CEPR Discussion Papers.
     RePEc:cpr:ceprdp:4091.

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455. A comparison of alternative spread décomposition models on Euronext Brussels. (2003). Majois, Christophe ; de Winne, Rudy ; DEWINNE, Rudy .
     In: Brussels Economic Review.
     RePEc:bxr:bxrceb:y:2003:v:46:i:4:p:91-135.

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456. Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets. (2003). Skjeltorp, Johannes ; Næs, Randi ; Naes, Randi .
     In: Working Paper.
     RePEc:bno:worpap:2003_09.

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457. Modelling Intraday Trading Activity Using Box-Cox-ACD Models. (2002). Hautsch, Nikolaus.
     In: CoFE Discussion Papers.
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458. Aggressive Orders and the Resiliency of a Limit Order Market. (2002). Degryse, Hans ; Wuyts, G ; Van Ravenswaaij, M ; de Jong, F. C. J. M., .
     In: Other publications TiSEM.
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459. Aggressive Orders and the Resiliency of a Limit Order Market. (2002). de Jong, Frank ; Degryse, Hans ; de Jong, F. C. J. M., ; van Ravenswaaij, M. ; Wuyts, G..
     In: Discussion Paper.
     RePEc:tiu:tiucen:8e62b849-399d-469e-91c6-4f91d821f827.

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460. Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc .
     In: Quantitative Finance.
     RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256.

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461. More statistical properties of order books and price impact. (2002). Potters, Marc ; Bouchaud, Jean-Philippe.
     In: Science & Finance (CFM) working paper archive.
     RePEc:sfi:sfiwpa:0210710.

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462. Statistical properties of stock order books: empirical results and models. (2002). Potters, Marc ; Bouchaud, Jean-Philippe ; Mezard, Marc .
     In: Science & Finance (CFM) working paper archive.
     RePEc:sfi:sfiwpa:0203511.

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463. Transparency and Fragmentation. (2002). Wells, Stephen ; Sutcliffe, Charles ; Board, John.
     In: Palgrave Macmillan Books.
     RePEc:pal:palbok:978-1-4039-0707-3.

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464. Liquidity, Transaction Costs, and Reintermediation in Electronic Markets. (2002). Domowitz, Ian.
     In: Journal of Financial Services Research.
     RePEc:kap:jfsres:v:22:y:2002:i:1:p:141-157.

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465. Market Dynamics Around Public Information Arrivals. (2002). Ranaldo, Angelo.
     In: FAME Research Paper Series.
     RePEc:fam:rpseri:rp45.

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466. Understanding the ex-ante cost of liquidity in the limit order book: A note. (2002). Martinez Sedano, Miguel ; Tapia, Mikel ; Irigoyen, Gonzalo Rubio .
     In: DFAEII Working Papers.
     RePEc:ehu:dfaeii:6756.

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467. Understanding the ex-ante cost of liquidity in the limit order book: A note. (2002). Rubio, Gonzalo ; Tapia, Mikel ; Martinez, Miguel Angel.
     In: DFAEII Working Papers.
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468. Real trading patterns and prices in spot foreign exchange markets. (2002). Payne, Richard ; Danielsson, Jon.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:21:y:2002:i:2:p:203-222.

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469. Econometric models of limit-order executions. (2002). Lo, Andrew ; Craig, MacKinlay A. ; June, Zhang.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:65:y:2002:i:1:p:31-71.

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470. Components of execution costs: evidence of asymmetric information at the Mexican Stock Exchange. (2002). SILVA, ANA CRISTINA ; Chavez, Gonzalo .
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:12:y:2002:i:3:p:253-278.

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471. The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange. (2002). Hamao, Yasushi ; Ahn, Hee-Joon ; Cai, Jun ; Ho, Richard Y. K., .
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:9:y:2002:i:4:p:399-430.

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472. Intraday trade in dealership markets. (2002). Bernhardt, Dan ; Hughson, Eric.
     In: European Economic Review.
     RePEc:eee:eecrev:v:46:y:2002:i:9:p:1697-1732.

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473. Liquidity Supply and Demand in Limit Order Markets. (2002). Slive, Joshua ; Hollifield, Burton ; Miller, Robert A. ; Sands, Patrik .
     In: CEPR Discussion Papers.
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474. The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse. (2002). Hau, Harald.
     In: CEPR Discussion Papers.
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475. Imperfect Competition in Financial Markets: ISLAND vs. NASDAQ. (2002). BISIÈRE, Christophe ; Biais, Bruno ; Spatt, Chester.
     In: GSIA Working Papers.
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476. Continuous Trading or Call Auctions: Revealed Preferences of Investors at the Tel Aviv Stock Exchange. (2002). Kalay, Avner .
     In: Journal of Finance.
     RePEc:bla:jfinan:v:57:y:2002:i:1:p:523-542.

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477. Strategic Behavior and Price Discovery.. (2001). Vives, Xavier ; MEDRANO, LUIS.
     In: RAND Journal of Economics.
     RePEc:rje:randje:v:32:y:2001:i:2:p:221-48.

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478. Price fluctuations from the order book perspective—empirical facts and a simple model. (2001). Mills, Mark ; Maslov, Sergei.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:299:y:2001:i:1:p:234-246.

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479. The use of undisclosed limit orders on the Australian Stock Exchange. (2001). Aitken, Michael ; Mak, Derek ; Berkman, Henk .
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:25:y:2001:i:8:p:1589-1603.

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480. Volatility and market structure. (2001). Odders-White, Elizabeth R. ; Kavajecz, Kenneth A..
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:4:y:2001:i:4:p:359-384.

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481. Market microstructure and securities values: : Evidence from the Paris Bourse. (2001). Muscarella, Chris J. ; Piwowar, Michael S..
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482. Limit order book as a market for liquidity. (2001). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
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483. Empirical Analysis of Limit Order Markets. (2001). Hollifield, Burton ; Sands, Patrik ; Miller, Robert.
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484. Price fluctuations from the order book perspective - empirical facts and a simple model. (2001). Mills, Mark ; Maslov, Sergei.
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485. Relations intrajournalieres entre lindice CAC 40 et les options sur indice. Quel est le marche prefere des investisseurs informes ?. (2000). Vandelanoite, Severine ; Capelle-Blancard, Gunther.
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486. Intraday relations between CAC 40 cash index and CAC 40 index options. (2000). Vandelanoite, Severine ; Capelle-Blancard, Gunther.
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487. Intraday relations between CAC 40 cash index and CAC 40 index options. (2000). Vandelanoite, Severine ; Capelle-Blancard, Gunther.
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488. The costs and determinants of order aggressiveness. (2000). Griffiths Mark D., ; White Robert W., ; Turnbull D. Alasdair S., ; Smith Brian F., .
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489. An exploratory analysis of the order book, and order flow and execution on the Saudi stock market. (2000). Kryzanowski, Lawrence ; Al-Suhaibani, Mohammad.
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490. Market microstructure: A survey. (2000). Madhavan, Ananth.
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491. The price impact of trading on the stock exchange of Hong Kong. (2000). Chan, Yue-Cheong .
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492. Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context. (2000). Escribano, Alvaro ; Tapia, Mikel ; Pascual, Roberto.
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493. Dynamic asymmetries in bid-ask responses to innovations in the trading process. (2000). Escribano, Alvaro ; Pascual, Roberto.
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494. Understanding liquidity: a closer look at the limit order book. (2000). Martinez, Miguel Angel ; Tapia, Mikel ; Rubio, Gonzalo.
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495. The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors. (2000). Ghysels, Eric ; Seon, Junghoon.
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496. Impacts of Trades in an Error-Correction Model of Quote Prices. (2000). Patton, Andrew ; Engle, Robert.
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497. Liquidity Dynamics Across Small and Large Firms. (2000). Subrahmanyam, Avanidhar ; Shivakumar, L ; Chordia, Tarun .
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498. The Demand for and Supply of Shares. An Empirical Study of the Limit Order Book on the ASX. (1999). Yang, W..
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499. Price Discovery and Learning during the Preopening Period in the Paris Bourse. (1999). Biais, Bruno ; Spatt, Chester.
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500. On the Formation and Structure of International Exchanges. (1999). Jorgensen, Bjorn ; Clayton, Matthew J. ; Kavajecz, Kenneth A..
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501. Market Microstructure: Theory and Empirics. (1999). Calamia A., .
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502. An Empirical Analysis of Limit Order Markets. (1999). Hollifield, Burton ; Sandas, Patrik ; Miller, Robert A..
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503. On the Formation and Structure of International Exchanges. (1999). Jorgensen, Bjorn ; Kavajecz, Kenneth A. ; Clayton, Matthew J..
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504. On the Formation and Structure of International Exchanges. (1999). Jorgensen, Bjorn ; Kavajecz, Kenneth A. ; Clayton, Matthew J..
     In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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505. The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong. (1999). Ahn, Hee-Joon ; Cheung, Yan-Leung.
     In: Pacific-Basin Finance Journal.
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506. Minimum Price Variations, Time Priority, and Quote Dynamics. (1999). Foucault, Thierry ; Cordella, Tito.
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507. The total cost of trading Belgian shares: Brussels versus London. (1999). Degryse, Hans.
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508. Characteristics of the order flow through an electronic open limit order book. (1999). Walsh, David ; Brown, Philip ; Thomson, Nathanial.
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509. Intra-day market activity. (1999). Le Fol, Gaelle ; Jasiak, Joann ; gourieroux, christian.
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510. Order flow composition and trading costs in a dynamic limit order market1. (1999). Foucault, Thierry.
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511. Market depth and order size1. (1999). Kempf, Alexander ; Korn, Olaf .
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512. Pricing behavior in an off-hours computerized market. (1999). Domowitz, Ian ; Coppejans, Mark .
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513. How does liquidity behave? A multidimensional analysis of NYSE stocks. (1999). Escribano, Alvaro ; Tapia, Mikel ; Pascual, Roberto.
     In: DEE - Working Papers. Business Economics. WB.
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514. Does Market Organization Speed Up Market Stabilization? First Lessons From the Budapest and Warsaw Stock Exchanges. (1999). Zalewska-Mitura, Anna.
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515. Time transformations, intraday data and volatility models. (1999). Giot, Pierre.
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516. Emerging Markets and Trading Costs. (1999). Ghysels, Eric ; Cherkaoui, Mouna .
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517. Time and the Price Impact of a Trade. (1999). Engle, Robert ; Dufour, Alfonso.
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518. BID-ASK SPREAD COMPONENTS IN AN ORDER-DRIVEN ENVIRONMENT. (1999). Chung, Dennis Y. ; Brockman, Paul.
     In: Journal of Financial Research.
     RePEc:bla:jfnres:v:22:y:1999:i:2:p:227-246.

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519. Market depth and order size: an analysis of permanent price effects of DAX futures trades. (1998). Kempf, Alexander ; Korn, Olaf .
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520. Beta, size and returns: a study on the French Stock Exchange. (1998). Rainelli-Weiss, Helene ; LILTI, Jean-Jacques ; Montagner, Helene Rainelli-Le .
     In: Applied Financial Economics.
     RePEc:taf:apfiec:v:8:y:1998:i:1:p:13-20.

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521. The Changing Microstructure of European Equity Markets. (1998). Pagano, Marco.
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522. Fragmentation, competition, and limit orders: New evidence from interday spreads. (1998). Porter, David C. ; Thatcher, John G..
     In: The Quarterly Review of Economics and Finance.
     RePEc:eee:quaeco:v:38:y:1998:i:1:p:111-128.

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523. The Role of Tick Size in Upstairs Trading and Downstairs Trading. (1998). Smith, Brian F. ; Turnbull, D. Alasdair S., ; White, Robert W. ; Griffiths, Mark D..
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524. Inter- and intra-day liquidity patterns on the Stock Exchange of Hong Kong. (1998). Chung, Dennis Y. ; Brockman, Paul.
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525. Information flows and open outcry: evidence of imitation trading. (1998). Smith, Brian F. ; Turnbull, D. Alasdair S., ; White, Robert W. ; Griffiths, Mark D..
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526. Floors, dealer markets and limit order markets. (1998). Salanié, François ; Foucault, Thierry ; Biais, Bruno ; Salanie, Francois .
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527. Asymmetric ACD models: introducing price information in ACD models with a two state transition model. (1998). Giot, Pierre ; Bauwens, Luc.
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528. Econometric Models of Limit-Order Executions. (1997). Lo, Andrew ; MacKinlay, Craig A. ; Zhang, June.
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529. Learning the True Index Level: Index Return Autocorrelation in an REE Auction Market. (1997). Safvenblad, Patrik.
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530. Lead-Lag Effects When Prices Reveal Cross-Security Information. (1997). Safvenblad, Patrik.
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531. The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange. (1997). Bacidore, Jeffrey M..
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     RePEc:eee:jfinin:v:6:y:1997:i:2:p:92-120.

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532. High frequency data in financial markets: Issues and applications. (1997). Goodhart, Charles A. E., ; O'Hara, Maureen .
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     RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114.

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533. Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange. (1997). Rosenqvist, Gunnar ; Niemeyer, Jonas ; Hedvall, Kaj .
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534. Price effects of trading and components of the bid-ask spread on the Paris Bourse. (1996). Roell, A. A. ; Nijman, T. E. ; de Jong, F. C. J. M., .
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535. Microstructural dynamics in a foreign exchange electronic broking system. (1996). Payne, Richard ; Goodhart, Charles A. E., .
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536. Price effects of trading and components of the bid-ask spread on the Paris Bourse. (1996). Nijman, Theo ; de Jong, Frank ; Roell, Ailsa .
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537. An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange. (1995). Niemeyer, Jonas ; Sands, Patrik .
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538. Round-the-clock Trading: Evidence from U.K. Cross-Listed Securities. (1993). Kleidon, Allan W. ; Werner, Ingrid M..
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539. Ownership, control and market liquidity. (1989). Ginglinger, Edith ; Hamon, Jacques .
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540. Strategies used as Spectroscopy of Financial Markets Reveal New Stylized Facts. (). Sornette, Didier ; Zhou, Wei-Xing ; Chen, Si-Wei ; Mu, Guo-Hua .
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1. Insider Trading in the Bond Market: Evidence from Loan Sale Events. (2015). Schmidt, Daniel ; Massa, Massimo.
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8. Bid-ask spread and order size in the foreign exchange market: an empirical investigation. (2009). Ding, Liang.
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13. Insiders-Outsiders, Transparency and the Value of the Ticker. (2008). Foucault, Thierry ; Cespa, Giovanni.
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17. The Impact of Stock Exchange Rules on Volatility and Error Transmission -- The Case of Frankfurt and Zurich Cross-Listed Equities. (2006). Katrakilidis, Constantinos ; Koulakiotis, Athanasios .
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18. Liquidity and Expected Returns: Lessons from Emerging Markets. (2006). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
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19. SIZE AND HETEROGENEITY MATTER. A MICROSTRUCTURE-BASED ANALYSIS OF REGULATION OF SECONDARY MARKETS FOR GOVERNMENT BONDS.. (2005). Martinez-Resano, Ramon J..
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20. Liquidity and Expected Returns: Lessons From Emerging Markets. (2005). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
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21. Market microstructure: A survey of microfoundations, empirical results, and policy implications. (2005). Biais, Bruno ; Spatt, Chester ; Glosten, Larry .
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22. Trade disclosure and price dispersion. (2005). Manzano, Carolina ; de Frutos, Maria-Angeles.
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23. A search model of centralized and decentralized trade. (2005). Miao, Jianjun.
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24. A Search Model of Centralzied and Decentralized Trade. (2005). Miao, Jianjun.
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25. Size and heterogeneity matter. A microstructure-based analysis of regulation of secondary markets for governments bonds. (2005). Martinez-Resano, Jose Ramon .
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26. A Search Model of Centralized and Decentralized Trade. (2004). Miao, Jianjun.
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27. The cross-sectional determinants of inventory control and the subtle effects of ADRs. (2004). Hansch, Oliver .
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28. A comparison of stock market mechanisms. (2003). Cespa, Giovanni.
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29. A Comparison of Stock Market Mechanism. (2003). .
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30. Inventory Information. (2003). Lyons, Richard ; Evans, Martin ; Cao, Huining.
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32. Privatization and Financial Market Development: Theoretical Issues. (2003). Nicodano, Giovanna ; Chiesa, Gabriella.
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33. Do thinly-traded stocks benefit from specialist intervention?. (2003). Petrella, Giovanni ; Nimalendran, M..
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34. Trading your neighbors ETFs: Competition or fragmentation?. (2003). Boehmer, Ekkehart.
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35. An empirical examination of the impact of market microstructure changes on the determinants of option bid-ask spreads. (2003). Pinder, Sean .
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36. Auction versus Dealership Markets. (2003). Bennouri, Moez.
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37. Positivity of bid-ask spreads and symmetrical monotone risk aversion *. (2002). Chateauneuf, Alain ; Abouda, Moez .
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38. Market-making, inventories and martingale pricing. (2002). ROGER, Patrick ; At, Christian ; Flochel, Laurent .
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39. Market architecture: limit-order books versus dealership markets. (2002). Viswanathan, S ; Wang, James J. D., .
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40. Quote revision and information flow among foreign exchange dealers. (2001). Wang, Jianxin.
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41. Market microstructure: A survey. (2000). Madhavan, Ananth.
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42. Darwinian selection does not eliminate irrational traders. (2000). Biais, Bruno ; Shadur, Raphael.
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43. The total cost of trading Belgian shares: Brussels versus London. (1999). Degryse, Hans.
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44. Sterilised central bank intervention in the foreign exchange market. (1999). Vitale, Paolo.
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45. Does Market Organization Speed Up Market Stabilization? First Lessons From the Budapest and Warsaw Stock Exchanges. (1999). Zalewska-Mitura, Anna.
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46. Floors, dealer markets and limit order markets. (1998). Salanié, François ; Foucault, Thierry ; Biais, Bruno ; Salanie, Francois .
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47. Risk allocation and inter-dealer trading. (1997). Vogler, Karl-Hubert.
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48. An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse.. (1995). Biais, Bruno ; Spatt, Chester ; Hillion, Pierre .
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49. Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange. (1994). Werner, Ingrid M. ; Reiss, Peter C..
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50. Optimal Transparency in a Dealership Market with an Application to Foreign Exchange. (1993). Lyons, Richard.
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