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| 2. | Hasbrouck, Joel(1991)。The Summary Informativeness of Stock Trades: An Econometric Analysis。The Review of Financial Studies，4(3)，571-595。 |
| 3. | Shuch,H. Paul(20040200)。The Only Game in Town。Journal of Futures Studies，8:3，頁55-60。 |
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| 5. | Grossman, Sanford J.、Miller, Merton H.(1988)。Liquidity and market structure。Journal of Finance，43(3)，617-633。 |
| 6. | Fremault, A.(1991)。Stock index futures and index arbitrage in a rational expectations model。Journal of Business，64，523-547。 |
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| 8. | Garbade, K. D.、Silber, W. L.(1983)。Price Movements and Price Discovery in Futures and Cash Markets。The Review of Economics and Statistics，65(2)，281-297。 |
| 9. | Roll, Richard(1984)。A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market。Journal of Finance，39(4)，1127-1139。 |
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| 12. | Subrahmanyam, A.(1991)。A Theory of Trading in Stock Index Futures。Review of Financial Studies，4(1)，17-51。 |
| 13. | Grunbichler, Andreas、Longstaff, Francis A.、Schwartz, Eduardo S.(1994)。Electronic Screen Trading and the Transmission of Information: An Empirical Examination。Journal of Financial Intermediation，3(2)，166-187。 |
| 14. | Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis，25(4)，441-468。 |
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| 31. | Domowitz, Ian(1993)。A Taxonomy of Automated Trade Execution Systems。Journal of International Money and Finance，12，607-631。 |
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| 37. | Lyons, Richard(1995)。Tests of Microstructural Hypotheses in Foreign Exchange Market。Journal of Financial Economics，39，321-351。 |
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研究報告| 1. | 陳孝琪、劉曦敏(2000)。Spreads, Depths, and Optimal Submission Strategies of Market and Limit Orders。Taipei。 |
| 2. | Kavajecz, Kevin A.(1996)。A Specialist's Quoted Depth as A Strategic Choice Variable。0。 |
| 3. | 陳孝琪、劉曦敏、Slezak, Steve L.(1999)。Liquidity and Joint Determination of Spreads and Depths。0。 |
| 4. | Chordia, Tarun、Roll, Richard、Subrahmanyam, Avanidhar(1999)。Commonality in Liquidity。0。 |
| 5. | Dupont, Dominique Y.(1995)。Market Making, Prices and Quantity Limits。Board of Governors of the Federal Reserve System。 |
| 6. | Hasbrouck, Joel、Seppi, Duane J.(1998)。Common Factors in Prices, Order Flows and Liquidity。0。 |
| 7. | Hietala, Pekka、Jokivuolle, Esa、Koskinen, Yrjo(2000)。Informed Trading, Short Sales Constraints, and Futures' Pricing。Stockholm, Sweden。 |
| 8. | Huberman, Gur、Halka, Dominika(1999)。Systematic Liquidity。0。 |
| 9. | Madhavan, Ananth(2000)。Market Microstructure: A Survey。0。 |