3Hasbrouch.Jocl,“Security Marker,Information and Liquidity,”Financial Practice & Education,Fall／Winter91,Vol.1 Issue2.
4J.Hasbrouck,“Measuring the Information Content of Stock Trades,”Journal of Finance,March,1991.
5K.J.Cohen and R.A.Schwartz,“Realizing the Potential of an Electronic Trading System”,in Information Technology and Security Markets Under Stress,New York University,1988.
6K.J.Cohen,S.Maier,R.Schwartz and D.Whircomb,“Transaction Costs,Order Placement Strategy and the Existence of the Bid-Ask Spread,”Journal of Political Economy,April,1981.
7M. Garman.Market Microstructure[].The Journal of Finance.1976
8M. O’Hara.Market Microstructure Theory[]..1995
9Y. Amihud,and H. Mendelson.Dealership Market: Market Making with Inventory[].The Journal of Finance.1980
10L. Y. Copeland,and D. Galai.Information Effects and the Bid-Ask Spread[].The Journal of Finance.1983
