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| publisher = {John Wiley \& Sons} | |
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| @article{engle2000econometrics, | |
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| @book{hasbrouck2007empirical, | |
| title = {Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading}, | |
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| publisher = {Oxford University Press} | |
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| @article{ane2000order, | |
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| @article{clark1973subordinated, | |
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| @article{easley1992time, | |
| title = {Time and the Process of Security Price Adjustment}, | |
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| title = {Market Microstructure Theory}, | |
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| publisher = {Blackwell Publishers} | |
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| @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} | |
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| @article{glosten1985bid, | |
| title = {Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders}, | |
| author = {Glosten, Lawrence R. and Milgrom, Paul R.}, | |
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| year = {1985} | |
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| @article{madhavan2000market, | |
| title = {Market Microstructure: A Survey}, | |
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| journal = {Journal of Financial Markets}, | |
| volume = {3}, | |
| number = {3}, | |
| pages = {205--258}, | |
| year = {2000} | |
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| @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}, | |
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| year = {1990} | |
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