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K.、Yau, Jot(2000)。Trading volume, bid-ask spread, and price volatility in futures markets。Journal of Futures Markets,20(10),943-970。 | 30. | Wood, Robert A.、McInish, Thomas H.、Ord, J. Keith(1985)。An investigation of transactions data for NYSE stocks。Journal of Finance,40(3),723-739。 | 31. | Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Ebens, Heiko(2001)。The Distribution of Realised Stock Return Volatility。Journal of Financial Economics,61(1),43-76。 | 研究報告1. | Hu, Grace X.、Pan, Jun、Wang, Jiang(2014)。Early peek advantage?。 | 2. | Biais, Bruno、Woolley, Paul(2011)。High-Frequency trading。 | 3. | Leis, Diego(2012)。High Frequency Trading: Market Manipulation and Systemic Risks from an EU Perspective。 | 其他1. | Hope, Bradley,Albanese, Chiara,Viswanatha, Aruna(20150506)。Navinder Sarao's "Flash Crash" Case Highlights Problem of "Spoofing" in Complex Markets。 | 圖書論文1. | Kyle, Albert S.(1984)。A theory of futures market manipulation。The Industrial Organization of Futures Markets。Lexington, MA:Lexington Books。 | |