期刊論文1. | Daigler, R. T.(1997)。Intraday futures volatility and theories of market behavior。Journal of Futures Markets,17(1),45-74。 |
2. | Grossman, Sanford J.、Miller, Merton H.、Cone, Kenneth R.、Fischel, Daniel R.、Ross, David J.(1997)。Clustering and Competition in Asset Markets。Journal of Law and Economics,40(1),23-60。 |
3. | Ball, Clifford A.、Torous, Walter N.、Tschoegl, Adrian E.(1985)。The Degree of Price Resolution: The Case of the Gold Market。Journal of Futures Markets,5,29-43。 |
4. | Shuch,H. Paul(20040200)。The Only Game in Town。Journal of Futures Studies,8:3,頁55-60。 |
5. | Christie, William G.、Schultz, Paul H.(1994)。Why Do NASDAQ Market Makers Avoid Odd-eighth Quotes?。The Journal of Finance,49(5),1813-1840。 |
6. | Connolly, Robert A.(1989)。An Examination of the Robustness of the Weekend Effect。The Journal of Financial and Quantitative Analysis,24(2),133-169。 |
7. | Crain, S. J.、Lee, J. H.(1995)。Intraday volatility in interest rate and foreign exchange spot and futures markets。Journal of Futures Markets,15(4),395-421。 |
8. | Kim, Kenneth A.、Rhee, S. Ghon(1997)。Price Limit Performance: Evidence From the Tokyo Stock Exchange。Journal of Finance,52(2),885-901。 |
9. | Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。 |
10. | Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1(1),3-40。 |
11. | Garman, Mark B.、Klass, Michael J.(1980)。On the Estimation of Security Price Volatilities from Historical Data。The Journal of Business,53(1),67-78。 |
12. | Gwilym, Owain Ap、Clare, Andrew、Thomas, Stephen(1998)。Extreme price clustering in the London equity index futures and options markets。Journal of Banking and Finance,22,1193-1206。 |
13. | Harris, L.(1991)。Stock price clustering and discreteness。Review of Financial Studies,4,389-415。 |
14. | Samuelson, Paul A.(1965)。Proof that Properly Anticipated Prices Fluctuate Randomly。Industrial Management Review,6(2),41-49。 |
15. | Wood, R. A.、McInish, T. H.、Ord, J. K.(1985)。An Investigation of Transactions Data for NYSE Stocks。Journal of Finance,40(3),723-739。 |
16. | Schwarz, Gideon(1978)。Estimating the Dimension of a model。The Annals of Statistics,6(2),461-464。 |
17. | Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。 |
18. | Glosten, Lawrence R.、Milgrom, Paul R.(1985)。Bid, ask and transaction prices in a specialist market with heterogeneously informed traders。Journal of Financial Economics,14(1),71-100。 |
19. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。 |
20. | Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。 |
21. | Schultz, P. H.、Christie, W. G.、Harris, J. H.(1994)。Why Did NASDAQ Market Makers Stop Avoiding Odd-Eighth Quotes?。The Journal of Finance,49(5),1841-1860。 |
22. | Ekman, P. D.(1992)。Intraday Patterns in the S&P 500 Index Futures Market。The Journal of Futures Markets,12(4),365-381。 |
23. | Copeland, T.、Galai, D.(1983)。Information Effects and the Bid-Ask Spread。The Journal of Finance,38(5),1457-1469。 |
24. | Brooks, R. M.(1994)。Bid-ask spread components around anticipated announcements。The Journal of Financial Research,17(4),375-386。 |
25. | Osborne, M. F. M.(1962)。Periodic structure in the Brownian motion of stock prices。Operations Research,10(3),345-379。 |
26. | Ding, D. K.(1999)。The determinants of bid-ask spread in the foreign exchange futures market: A microstructure analysis。The Journal of Futures Markets,19(3),307-324。 |
27. | Docking, D. S.、Koch, P. D.、Kawaller, I. G.(1999)。Mid-day volatility spikes in U. S. futures markets。The Journal of Futures Markets,19(2),195-216。 |
28. | Mathur, I.、Lee, Chun I.、Gleason, K. C.(1999)。A comprehensive examination of the compass rose pattern in futures markets。The Journal of Futures Markets,19(5),541-564。 |