1、a statistical properties of the roll serial covariance bid/ask spread estimator, L Harris - Journal of Finance, 1990 - JSTOR
2、an ordered probit analysis of stock transaction prices, JA Hausman,  Journal of financial economics, 1992 - Elsevier
3、Rydberg, TH and N. Shephard (2003): Dynamics of Trade-by-Trade Price Movement: Decomposition and Models, Journal of Financial Econometrics, Vol 1,No 1, p 2-25.

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