5t-Sahalia, Y. and J. Yu (2009). "High frequency market microstructure noise estimates and liquidity measures." The Annals of Applied Statistics: 422-457.
6Amihud, Y. (2002). "Illiquidity and stock re- turns: cross-section and time-series effects." Journal of Financial Markets 5(1): 31-56.
7Avellaneda, M. and S. Stoikov (2008). "High- frequency trading in a limit order book." Quantitative Finance 8(3): 217-224.
8Biais, B., T. Foucault, et al. (2012). "Equilibri- um high -frequency trading." Available at SSRN 2024360.
9Biais, B., P. Hillion, et al. (1995). "An empirical analysis of the limit order book and the order flow in the Paris Bourse." The Journal of Finance 50(5): 1655-1689.
10Biais, B. and P.-O. Weill (2009). Liquidity shocks and order book dynamics, National Bureau of E- conomic Research.