非常感谢,下面的文章很多,希望尽力找
1. Garman, M. 1976,”Market Miscrosturcture,” Jouunal of Financial Economics, 82
2. Amihud,.Y,.and.H..Mendelson.(1980),.”Dealership Market: Market Making with Inventory,”Journal of Financial Economics, 8,
3. Stoll, H. 1978, “The Supply of Dealer Service in Securities Markets,” Journal of Finance,33.
5. O’Hara, M., and G. Oldfield 1986, “The Microeconomics of Market Making” Journal of Financial and Quantitative Analysis, 21 , December
6. Ho, T., and H. Stoll 1983, “The Dynamics of Dealer Markets Under Competition,” Journal of Finance, 38.
7. Hasbrouck, J. 1988,”Traders, Quotes, Inventories and Information,”Journal of Financial Economics,22.
9. Hasbrouck, J. 1991b,”The Summary Informativeness of Stock Traders,” Review of Financial Studies, 4.
10. Madhavan, A,. and S. Smidt 1991,”A Bayesian Model of Intraday Specialist Pricing,” Journal of Financial Economics,30.
11. Madhavan, A,. and S. Smidt 1993, “An Analysis of Daily Changes in Specialists’ Inventories and Quotations, ” Journal of Finance,48.
12. Hasbrouck, J.,and G. Sofianos 1993,”The Trades of Market Makers:An Empirical Analysis of NYSE Specialists,” Journal of Finance,48
13. Bagehot,W., 1971,”The Only Game in Town,” Financial Analysis of Journal,27
14. Copeland,T and Galai, 1983,”Information Effects on the Bid-Ask Spread, ” Journal of Finance,38.。
15. Glosten, L, and P. Milgrom, 1985, “Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders,” Journal of Financial Economics,13.
16. Easley, D, and M. O’Hara ,1987 “Price, Trade Size, and Information in Securities Markets, ” Journal of Finanacial Economics, 19
17. Kraus, A., and Stoll, H.(1972),”Price Impacts of Block Trading on the New York Stock Exchange,” Journal of Finance, 27
18. Dann, L. Y. , D. Mayers and R.J. Rabb,1977,”Trading Rules,Large Blocks and the Spread of Price Adjustment,” Journal of Financial Economics,4