1. Hee-Joon Ahn, 2001. "Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong," Journal of Finance, American Finance Association, vol. 56(2), pages 767-788, 04. [Downloadable!] (restricted)
2. Brockman, Paul & Chung, Dennis Y., 1998. "Inter- and intra-day liquidity patterns on the Stock Exchange of Hong Kong," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 277-298, December. [Downloadable!] (restricted)
3. Bondonio, Daniele, 2002. "Evaluating the Employment Impact of Business Incentive Programs in EU Disadvantaged Areas. A case from Northern Italy," P.O.L.I.S. department's Working Papers 27, Department of Public Policy and Public Choice - POLIS. [Downloadable!]
4. Parlour, Christine A, 1998. "Price Dynamics in Limit Order Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 11(4), pages 789-816.
5. Chung, Kee H. & Van Ness, Bonnie F. & Van Ness, Robert A., 1999. "Limit orders and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 53(2), pages 255-287, August. [Downloadable!] (restricted)
6. Thierry Foucault & Ohad Kadan & Eugene Kandel, 2003. "Limit Order Book as a Market for Liquidity," Discussion Paper Series dp321, Center for Rationality and Interactive Decision Theory, Hebrew University, Jerusalem. [Downloadable!]
   Other versions:
   • FOUCAULT, Thierry & KADAN, Ohad & KANDEL, Eugene, 2001. "Limit order book as a market for liquidity," Les Cahiers de Recherche 728, HEC Paris. [Downloadable!]
   • Foucault, Thierry & Kadan, Ohad & Kandel, Eugene, 2001. "Limit Order Book as a Market for Liquidity," CEPR Discussion Papers 2889, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
   • Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005. "Limit Order Book as a Market for Liquidity," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 18(4), pages 1171-1217. [Downloadable!] (restricted)
7. Ananth Madhavan & Matthew Richardson & Mark Roomans, 1996. "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-34, New York University, Leonard N. Stern School of Business-.
   Other versions:
   • Ananth Madhavan & Matthew Richardson & Mark Roomans, . "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," Rodney L. White Center for Financial Research Working Papers 20-94, Wharton School Rodney L. White Center for Financial Research.
   • Madhavan, Ananth & Richardson, Matthew & Roomans, Mark, 1997. "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(4), pages 1035-64.
8. Ahn, Hee-Joon & Cheung, Yan-Leung, 1999. "The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 539-556, December. [Downloadable!] (restricted)
9. Pierre Giot & Joachim Grammig, 2006. "How large is liquidity risk in an automated auction market?," Empirical Economics, Springer, vol. 30(4), pages 867-887, January. [Downloadable!] (restricted)
   Other versions:
   • Pierre Giot & Joachim Grammig, 2002. "How large is liquidity risk in an automated auction market?," University of St. Gallen Department of Economics working paper series 2002 2002-23, Department of Economics, University of St. Gallen. [Downloadable!]
   • GIOT, Pierre & GRAMMIG, Joachim, 2002. "How large is liquidity risk in an automated auction market ?," CORE Discussion Papers 2002054, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
10. Bae, Kee-Hong & Jang, Hasung & Park, Kyung Suh, 2003. "Traders' choice between limit and market orders: evidence from NYSE stocks," Journal of Financial Markets, Elsevier, vol. 6(4), pages 517-538, August. [Downloadable!] (restricted)
11. Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489. [Downloadable!] (restricted)
12. Stoll, Hans R, 1978. "The Supply of Dealer Services in Securities Markets," Journal of Finance, American Finance Association, vol. 33(4), pages 1133-51, September. [Downloadable!] (restricted)
    Other versions:
    • Hans R. Stoll, . "The Supply of Dealer Services in Securities Markets," Rodney L. White Center for Financial Research Working Papers 2-78, Wharton School Rodney L. White Center for Financial Research.
    • Hans R. Stoll, . "The Supply of Dealer Services in Securities Markets," Rodney L. White Center for Financial Research Working Papers 02-78, Wharton School Rodney L. White Center for Financial Research.
13. Huang, Roger D & Stoll, Hans R, 1997. "The Components of the Bid-Ask Spread: A General Approach," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(4), pages 995-1034.
14. Boehmer, Ekkehart, 2005. "Dimensions of execution quality: Recent evidence for US equity markets," Journal of Financial Economics, Elsevier, vol. 78(3), pages 553-582, December. [Downloadable!] (restricted)
15. Coughenour, Jay F. & Saad, Mohsen M., 2004. "Common market makers and commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 73(1), pages 37-69, July. [Downloadable!] (restricted)
16. Degryse, Hans, 1999. "The total cost of trading Belgian shares: Brussels versus London," Journal of Banking & Finance, Elsevier, vol. 23(9), pages 1331-1355, September. [Downloadable!] (restricted)
    Other versions:
    • Degryse, Hans, 1997. "The Total Cost of Trading Belgian Shares: Brussels versus London," CEPR Discussion Papers 1581, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
17. Glosten, Lawrence R, 1994. " Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, American Finance Association, vol. 49(4), pages 1127-61, September. [Downloadable!] (restricted)
18. Helena Beltran & Alain Durré & Pierre Giot, 2004. "How does liquidity react to stress periods in a limit order market?," Research series 200405-5, National Bank of Belgium. [Downloadable!]
19. Karl Ludwig Keiber, 2005. "The Informational Content of Transactions," Financial Markets and Portfolio Management, Springer, vol. 19(1), pages 47-60, June. [Downloadable!] (restricted)
20. Naes, Randi & Skjeltorp, Johannes A., 2006. "Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market," Journal of Financial Markets, Elsevier, vol. 9(4), pages 408-432, November. [Downloadable!] (restricted)
21. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-89, December. [Downloadable!] (restricted)
22. Madhavan, Ananth, 1992. " Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-41, June. [Downloadable!] (restricted)
    Other versions:
    • Ananth N. Madhavan, . "Trading Mechanisms in Securities Markets," Rodney L. White Center for Financial Research Working Papers 16-90, Wharton School Rodney L. White Center for Financial Research.
23. Chan, K C & Christie, William G & Schultz, Paul H, 1995. "Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities," Journal of Business, University of Chicago Press, vol. 68(1), pages 35-60, January. [Downloadable!] (restricted)
24. Rudy De Winne & Catherine D'hondt, 2007. "Hide-and-Seek in the Market: Placing and Detecting Hidden Orders," Review of Finance, Oxford University Press for European Finance Association, vol. 11(4), pages 663-692. [Downloadable!] (restricted)
25. Seppi, Duane J, 1997. "Liquidity Provision with Limit Orders and a Strategic Specialist," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(1), pages 103-50.
26. Paul Brockman & Dennis Y. Chung, 2002. "Commonality in Liquidity: Evidence from an Order-Driven Market Structure," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 25(4), pages 521-539. [Downloadable!] (restricted)
27. Yakov Amihud & Haim Mendelson, 2006. "Stock and Bond Liquidity and its Effect on Prices and Financial Policies," Financial Markets and Portfolio Management, Springer, vol. 20(1), pages 19-32, April. [Downloadable!] (restricted)

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

1. Grammig, Joachin & Heinen, Andreas & Rengifo, Erick, 2004. "Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model," MPRA Paper 8115, University Library of Munich, Germany. [Downloadable!]