This paper has been announced in the following NEP Reports:

• NEP-ALL-2004-10-30 (All new papers)
• NEP-IFN-2004-10-30 (International Finance)

1. Burton Hollifield & Robert A. Miller & patrik Sandas, . "An Empirical Analysis of Limit Order Markets," Rodney L. White Center for Financial Research Working Papers 29-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
2. Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley. [Downloadable!]
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   • Martin Evans & Richard Lyons, 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance, Working Paper Series 1007, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
   • Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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4. Lo, Andrew W. & MacKinlay, A. Craig & Zhang, June, 2002. "Econometric models of limit-order executions," Journal of Financial Economics, Elsevier, vol. 65(1), pages 31-71, July. [Downloadable!] (restricted)
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   • Andrew W. Lo & A. Craig MacKinlay & June Zhang, 1997. "Econometric Models of Limit-Order Executions," NBER Working Papers 6257, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Andrew W. Lo & A. Craig MacKinlay & June Zhang, . "Econometric Models of Limit-Order Executions," Rodney L. White Center for Financial Research Working Papers 12-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
5. 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)
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   • FOUCAULT, Thierry & KADAN, Ohad & KANDEL, Eugene, 2001. "Limit order book as a market for liquidity," Les Cahiers de Recherche 728, Groupe HEC. [Downloadable!]
   • 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!]
   • 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)
6. 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.
7. Foucault, Thierry, 1999. "Order flow composition and trading costs in a dynamic limit order market1," Journal of Financial Markets, Elsevier, vol. 2(2), pages 99-134, May. [Downloadable!] (restricted)
8. Easley, David & O'Hara, Maureen, 1992. " Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
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10. Chakravarty Sugato & Holden Craig W., 1995. "An Integrated Model of Market and Limit Orders," Journal of Financial Intermediation, Elsevier, vol. 4(3), pages 213-241, July. [Downloadable!] (restricted)
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    • Sugato Chakravarty & Craig Holden, 2002. "An Integrated Model of Market and Limit Orders," Finance 0201004, EconWPA. [Downloadable!]
11. 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.
12. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June. [Downloadable!] (restricted)
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    • Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, Archie Craig, 1955-, 1990. "An ordered probit analysis of transaction stock prices," Working papers 3234-90., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    • Hausman, J.A. & Lo, A.W. & MacKinlay, A.C., 1991. "An Ordered Probit Analysis of Transaction Stock Prices," Weiss Center Working Papers 26-91, Wharton School - Weiss Center for International Financial Research.
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13. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June. [Downloadable!] (restricted)
14. Brown, Philip & Thomson, Nathanial & Walsh, David, 1999. "Characteristics of the order flow through an electronic open limit order book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(4), pages 335-357, November. [Downloadable!] (restricted)
15. Hasbrouck, Joel, 2002. "Stalking the "efficient price" in market microstructure specifications: an overview," Journal of Financial Markets, Elsevier, vol. 5(3), pages 329-339, July. [Downloadable!] (restricted)
16. Engle, Robert F. & Russell, Jeffrey R., 1997. "Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 187-212, June. [Downloadable!] (restricted)
    Other versions:
    • Robert F. Engle & Jeffrey R. Russell, 1995. "Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model," University of California at San Diego, Economics Working Paper Series 95-33, Department of Economics, UC San Diego.
17. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York. [Downloadable!]
18. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 3-40. [Downloadable!] (restricted)
19. Hamao, Yasushi & Hasbrouck, Joel, 1995. "Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(3), pages 849-78. [Downloadable!] (restricted)
20. Lyons, Richard K, 2001. "New Perspective on FX Markets: Order-Flow Analysis," International Finance, Blackwell Publishing, vol. 4(2), pages 303-20, Summer. [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. Handa, Puneet & Schwartz, Robert A, 1996. " Limit Order Trading," Journal of Finance, American Finance Association, vol. 51(5), pages 1835-61, December. [Downloadable!] (restricted)