Measures of Implicit Trading Costs and Buy-Sell Asymmetry
Gang Hu
June 2004

Psychological dispositions and trading behaviour
Bruno Biais, Denis Hilton, Karine Mazurier and Sebastien Pouget
February 2002

The Microstructure of Stock Markets
Bruno Biais, Larry Glosten and Chester Spatt
Revised March 8, 2002

The information content of the trading process
David Easley, Nicholas M Kiefer, Maureen O'Hara
Journal of Empirical Finance Volume 4 (1997)

Information Sharing, Liquidity and Transaction costs in Floor-Based Trading Systems
Thierry Foucault, Laurence Lescourret
November 2001

Limit Order Book as a Market for Liquidity
Thierry Foucault, Ohad Kadan, Eugene Kandel
January 23, 2003

Impact of Trades in an error-Correction Model of Quote Prices
Robert F Engle and Andrew J Patton
This Draft: September 2, 2001

Trades and Quotes: A Bivariate Point Process
Robert F Engle, Asger Lunde
This Version February 1999

Intraday periodicity and volatility persistence in financial markets
Torben G Anderson and Tim Bollerslev
Journal of Empirical finance 4 (1997) 115-118

Optimal control of execution costs
Dimitris Bertsimas, Andrew W Lo *
Journal of Financial Markets 1 (1998) 1-50

Optimal control of Execution Costs for Portfolios
Dimitris Bertsimas, Andrew W Lo and Paul Hummel
Undated

Trade Size and Components of the Bid-Ask Spread
Ji-Chai Lin, Gary C. Sanger, G. Geoffrey Booth
The Review of Financial Studies Winter 1995 Vol 8 No 4

A Guide To Transaction Cost Analysis
Gordon Midgley
January 2003

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