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  1. Limit Order Book and Commonality in Liquidity

    Financial Review

    Volume 48, Issue 1, February 2013, Pages: 97–122, Wenjin Kang and Huiping Zhang

    Version of Record online : 19 MAR 2013, DOI: 10.1111/j.1540-6288.2012.00348.x

  2. The Provision of Liquidity by High-Frequency Participants

    Financial Review

    Volume 49, Issue 2, May 2014, Pages: 371–394, Elvis Jarnecic and Mark Snape

    Version of Record online : 7 APR 2014, DOI: 10.1111/fire.12040

  3. Liquidity Commonality in Individuals’ Order Flows: New Evidence from the Taiwanese Stock Market

    Asia-Pacific Journal of Financial Studies

    Volume 45, Issue 4, August 2016, Pages: 606–645, Wen-liang Gideon Hsieh and Yuan-yi Lin

    Version of Record online : 12 SEP 2016, DOI: 10.1111/ajfs.12141

  4. Trading Patience, Order Flows, and Liquidity in an Index Futures Market

    Journal of Futures Markets

    Volume 34, Issue 8, August 2014, Pages: 731–756, Caihong Xu

    Version of Record online : 5 MAR 2014, DOI: 10.1002/fut.21664

  5. Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market

    Journal of Futures Markets

    Junmao Chiu, Huimin Chung and George H. K. Wang

    Version of Record online : 21 DEC 2016, DOI: 10.1002/fut.21832

  6. The information content of an open limit-order book

    Journal of Futures Markets

    Volume 29, Issue 1, January 2009, Pages: 16–41, Charles Cao, Oliver Hansch and Xiaoxin Wang

    Version of Record online : 21 NOV 2008, DOI: 10.1002/fut.20334

  7. Price Movement Effects on the State of the Electronic Limit-Order Book

    Financial Review

    Volume 40, Issue 2, May 2005, Pages: 195–221, Yue-cheong Chan

    Version of Record online : 21 APR 2005, DOI: 10.1111/j.1540-6288.2005.00100.x

  8. Do uninformed crossed and internalized trades tap into unexpressed liquidity? The case of Nokia

    Accounting & Finance

    Volume 49, Issue 2, June 2009, Pages: 407–424, P. Joakim Westerholm

    Version of Record online : 21 OCT 2008, DOI: 10.1111/j.1467-629X.2008.00282.x

  9. You have full text access to this OnlineOpen article
    Two Order Books are Better than One? Trading at Settlement (TAS) in VIX Futures

    Journal of Futures Markets

    Volume 35, Issue 6, June 2015, Pages: 506–521, Bujar Huskaj and Lars L. Nordén

    Version of Record online : 1 DEC 2014, DOI: 10.1002/fut.21702

  10. Depth Characteristics for the Electronic Futures Limit Order Book

    Journal of Futures Markets

    Volume 35, Issue 6, June 2015, Pages: 542–560, Alexandre Aidov and Robert T. Daigler

    Version of Record online : 6 JAN 2015, DOI: 10.1002/fut.21706

  11. Liquidity and Optimal Market Transparency

    European Financial Management

    Volume 16, Issue 4, September 2010, Pages: 599–623, Ariadna Dumitrescu

    Version of Record online : 19 AUG 2010, DOI: 10.1111/j.1468-036X.2008.00474.x

  12. Volatility Discovery Across Stock Limit Order Book and Options Markets

    Journal of Futures Markets

    Volume 34, Issue 10, October 2014, Pages: 934–956, Qin Wang

    Version of Record online : 28 JUN 2013, DOI: 10.1002/fut.21628

  13. Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange

    Journal of Futures Markets

    Volume 26, Issue 12, December 2006, Pages: 1147–1167, Luke Bortoli, Alex Frino, Elvis Jarnecic and David Johnstone

    Version of Record online : 18 OCT 2006, DOI: 10.1002/fut.20236

  14. OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY

    Mathematical Finance

    Volume 24, Issue 4, October 2014, Pages: 651–695, Antje Fruth, Torsten Schöneborn and Mikhail Urusov

    Version of Record online : 11 FEB 2013, DOI: 10.1111/mafi.12022

  15. OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR

    Mathematical Finance

    Volume 24, Issue 4, October 2014, Pages: 696–727, Arne Løkka

    Version of Record online : 6 JUN 2013, DOI: 10.1111/mafi.12033

  16. ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET

    Journal of Financial Research

    Volume 31, Issue 2, Summer 2008, Pages: 113–140, Charles Cao, Oliver Hansch and Xiaoxin Wang

    Version of Record online : 20 MAY 2008, DOI: 10.1111/j.1475-6803.2008.00234.x

  17. An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

    The Journal of Finance

    Volume 50, Issue 5, December 1995, Pages: 1655–1689, BRUNO BIAIS, PIERRE HILLION and CHESTER SPATT

    Version of Record online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1995.tb05192.x

  18. You have free access to this content
    DYNAMIC ORDER SUBMISSION AND HERDING BEHAVIOR IN ELECTRONIC TRADING

    Journal of Financial Research

    Volume 33, Issue 1, Spring 2010, Pages: 27–43, Wing Lon Ng

    Version of Record online : 18 MAR 2010, DOI: 10.1111/j.1475-6803.2009.01261.x

  19. Block Trade Price Asymmetry and Changes in Depth: Evidence from the Australian Stock Exchange

    Financial Review

    Volume 41, Issue 2, May 2006, Pages: 247–271, Hamish D. Anderson, Sapphire Cooper and Andrew K. Prevost

    Version of Record online : 11 APR 2006, DOI: 10.1111/j.1540-6288.2006.00140.x

  20. Behind order book dynamics: advances using the global approach

    Wilmott Journal

    Volume 1, Issue 5-6, October - December 2009, Pages: 227–244, François Ghoulmié

    Version of Record online : 13 OCT 2009, DOI: 10.1002/wilj.16