File size: 3,138 Bytes
c95b927 | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 | @book{steidlmayer1986market,
title = {Market Profile: The Key to Understanding Market Dynamics},
author = {Steidlmayer, J. Peter and Koy, Kevin},
year = {1986},
publisher = {Probus Publishing}
}
@book{dalton2007markets,
title = {Markets in Profile: Profiting from the Auction Process},
author = {Dalton, James F. and Jones, Eric T. and Dalton, Robert B.},
year = {2007},
publisher = {John Wiley \& Sons}
}
@article{engle2000econometrics,
title = {The Econometrics of Ultra-High-Frequency Data},
author = {Engle, Robert F.},
journal = {Econometrica},
volume = {68},
number = {1},
pages = {1--22},
year = {2000}
}
@book{hasbrouck2007empirical,
title = {Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading},
author = {Hasbrouck, Joel},
year = {2007},
publisher = {Oxford University Press}
}
@article{ane2000order,
title = {Order Flow, Transaction Clock, and Normality of Asset Returns},
author = {An\'{e}, Thierry and Geman, H\'{e}lyette},
journal = {The Journal of Finance},
volume = {55},
number = {5},
pages = {2259--2284},
year = {2000}
}
@article{clark1973subordinated,
title = {A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices},
author = {Clark, Peter K.},
journal = {Econometrica},
volume = {41},
number = {1},
pages = {135--155},
year = {1973}
}
@article{easley1992time,
title = {Time and the Process of Security Price Adjustment},
author = {Easley, David and O'Hara, Maureen},
journal = {The Journal of Finance},
volume = {47},
number = {2},
pages = {577--605},
year = {1992}
}
@book{ohara1995market,
title = {Market Microstructure Theory},
author = {O'Hara, Maureen},
year = {1995},
publisher = {Blackwell Publishers}
}
@book{bouchaud2018trades,
title = {Trades, Quotes and Prices: Financial Markets Under the Microscope},
author = {Bouchaud, Jean-Philippe and Bonart, Julius and Donier, Jonathan and Gould, Martin},
publisher = {Cambridge University Press},
year = {2018}
}
@article{glosten1985bid,
title = {Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders},
author = {Glosten, Lawrence R. and Milgrom, Paul R.},
journal = {Journal of Financial Economics},
volume = {14},
number = {1},
pages = {71--100},
year = {1985}
}
@article{madhavan2000market,
title = {Market Microstructure: A Survey},
author = {Madhavan, Ananth},
journal = {Journal of Financial Markets},
volume = {3},
number = {3},
pages = {205--258},
year = {2000}
}
@article{harris1990estimation,
title = {Estimation of Stock Price Variances and Serial Covariances from Discrete Observations},
author = {Harris, Frederick H. deB.},
journal = {Journal of Financial and Quantitative Analysis},
volume = {25},
number = {3},
pages = {291--306},
year = {1990}
}
|