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Biblio
, 鈥�How the Equity Market Responds to Unanticipated Events鈥�, Journal of Business, vol. 76, no. 1, pp. 109-133, 2003.
, 鈥�Large Price Movements and Short-Lived Changes in Spreads, Volume, and Selling Pressure鈥�, Quarterly Review of Economics and Finance, vol. 39, no. 2, pp. 303-316, 1999.
, 鈥�A Simple Cost Reduction Strategy for Liquidity Traders: Trade at the Opening鈥�, Journal of Financial and Quantitative Analysis, vol. 32, no. 4, pp. 525-540, 1997.
