Liquidity and Market Structure
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- Grossman, Sanford J, 1988.
"An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies,"
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University of Chicago Press, vol. 61(3), pages 275-298, July.
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- Glosten, Lawrence R. & Milgrom, Paul R., 1985.
"Bid, ask and transaction prices in a specialist market with heterogeneously informed traders,"
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