7Biais B, Hillion P, Spatt C. An empirical analysis of thelimit order book and the order flow in the Paris Bourse[J]. Journal of Finance, 1995,50:1655.
8GourierouxC, Jasiak J, Le Fol G. Intra-day marketactivity [ J]. Journal of Financial Markets, 1999,2(3):193.
9Easley D,O’Hara M Price, trade size, and informationin securities markets[J], Journal of Financial Economics,1987, 19(1): 69.
10Andersen T G. Return volatility and trading volume : aninformation flow interpretation of stochastic volatility[J].Journal of Finance, 1996,51:169.