1、Order aggressiveness in limit order book markets

Angelo Ranaldo
Journal of Financial Markets
Volume 7, Issue 1, January 2004, Pages 53-74

2、Security Prices and Market Transparency

Ananth Madhavan
Journal of Financial Intermediation
Volume 5, Issue 3, July 1996, Pages 255-283

3、Pre-trade transparency and market quality

Kyong Shik Eom, Jinho Ok,  and Jong-Ho Park,
Journal of Financial Markets
Volume 10, Issue 4, November 2007, Pages 319-341

4、Price discovery in floor and screen trading systems

Erik Theissen
Journal of Empirical Finance
Volume 9, Issue 4, November 2002, Pages 455-474

5、Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong

Hee-Joon Ahn, Jun Cai ,  and Yan Leung Cheung
Journal of Financial Markets
Volume 8, Issue 4, November 2005, Pages 421-451

6、Price discovery around trading halts on the Montreal Exchange using trade-by-trade data
Lawrence Kryzanowski , Howard Nemiroff
Financial Review
Volume 33 Issue 2, Pages 195 - 212

[此贴子已经被作者于2008-9-29 9:08:01编辑过]