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1. Stock-return volatility and daily equity trading by investor groups in Korea. (2015). Umutlu, Mehmet ; Shackleton, Mark.
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2. Does it take volume to move fx rates? Evidence from quantile regressions. (2012). Bień-Barkowska, Katarzyna ; Bien-Barkowska, Katarzyna .
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3. The Risk Components of Liquidity. (2008). Skjeltorp, Johannes ; Næs, Randi ; Chollete, Loran ; Nas, Randi .
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4. Does FOMC News Increase Global FX Trading?. (2008). Ranaldo, Angelo ; Fischer, Andreas.
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5. Whether commodity futures market in agriculture is efficient in price discovery? - An econometric analysis. (2008). Ramasundaram, P. ; Easwaran, Salvadi R..
   In: Agricultural Economics Research Review.
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6. Intraday stock prices, volume, and duration: a nonparametric conditional density analysis. (2006). Tay, Anthony S ; Ting, Christopher.
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7. Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
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8. Feedback trading This paper is also available at www.riskresearch.org. (2006). Danielsson, Jon ; Jon Daníelsson, ; Love, Ryan .
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9. Two-sided markets and intertemporal trade clustering: insights into trading motives. (2006). Sarkar, Asani ; Schwartz, Robert A..
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10. Transmission of volatility and trading activity in the global interdealer foreign exchange market: evidence from electronic broking services (EBS) data. (2006). Wongswan, Jon ; Howorka, Edward ; Cai, Fang.
    In: International Finance Discussion Papers.
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11. Asymmetric Information in the Stock Market: Economic News and Co-movement. (2006). Vega, Clara ; Albuquerque, Rui.
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12. Order Flow, Transaction Clock, and Normality of Asset Returns: A Comment on Ané and Geman (2000). (2005). Murphy, Anthony ; Izzeldin, Marwan.
    In: Finance.
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13. A Dynamic Analysis of Bid-Ask Spreads with Multiple Trade Sizes. (2005). Takayama, Shino ; Ozsoylev, Han.
    In: Finance.
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14. The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market. (2005). Nath, Purnendu ; Goldreich, David ; Hanke, Bernd.
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15. The joint dynamics of liquidity, returns, and volatility across small and large firms. (2005). Subrahmanyam, Avanidhar ; Chordia, Tarun .
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16. Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs. (2005). van der Sluis, Pieter ; Bikker, Jacob ; Spierdijk, Laura.
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17. Measuring Liquidity in the Greek Government Securities Market. (2005). Grigoratou, Ioulia ; Christodoulopoulos, Thanasis N..
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18. Deflationary Dynamics in Hong Kong: Evidence from Linear and Neural Network Regime Switching Models. (2004). McNelis, Paul ; Carrie K. C. Chan, .
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19. The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong. (2004). Henry, Ólan ; McKenzie, Michael .
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20. High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market. (2004). Tyurin, Konstantin.
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21. The Impact of the Japanese Banking Crisis on the Intraday FX Market. (2004). Hashimoto, Yuko .
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22. Sources of gains from international portfolio diversification.. (2004). Fernandes, Nuno ; Campa, Jose.
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23. Ownership Structure and Stock Market Liquidity. (2004). Næs, Randi ; Nas, Randi .
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24. Structural Changes in Volatility and Stock Market Development: Evidence for Spain. (2003). Pérez de Gracia, Fernando ; Gómez Biscarri, Javier ; Cuñado, Juncal ; Cunado, Juncal.
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25. The role of information in Hong Kong individual stock futures trading. (2003). McKenzie, M. D. ; Brooks, R. D..
    In: Applied Financial Economics.
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26. How is Macro News Transmitted to Exchange Rates?. (2003). Lyons, Richard ; Evans, Martin.
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27. The Impact of Short Selling on the Price–Volume Relationship: Evidence from Hong Kong. (2003). Henry, Ólan ; McKenzie, Michael .
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28. Determinants of Daily Fluctuations in Liquidity and Trading Activity. (2003). Subrahmanyam, Avanidhar ; Roll, Richard ; Chordia, Tarun .
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29. An empirical analysis of stock and bond market liquidity. (2003). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun .
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30. The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market. (2003). Hanke, Bernd ; Nath, Purnendu ; Goldreich, David .
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31. Are Different-Currency Assets Imperfect Substitutes?. (2003). Lyons, Richard ; Evans, Martin.
    In: CESifo Working Paper Series.
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32. Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets. (2003). Skjeltorp, Johannes ; Næs, Randi ; Naes, Randi .
    In: Working Paper.
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33. Trading activity and price volatility in the municipal bond market. (2002). Downing, Chris .
    In: Finance and Economics Discussion Series.
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34. What can we learn about monetary policy transparency from financial market data?. (2001). Clare, Andrew ; Courtenay, Roger.
    In: Discussion Paper Series 1: Economic Studies.
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35. Trading volume in models of financial derivatives. (2001). lamper, David ; Howison, Sam .
    In: Applied Mathematical Finance.
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36. Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows. (2001). Subrahmanyam, Avanidhar ; Chordia, Tarun .
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37. Measuring treasury market liquidity. (2001). Fleming, Michael.
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38. Intraday futures market behaviour around major scheduled macroeconomic announcements: Australian evidence. (2001). Frino, Alex ; Hill, Amelia.
    In: Journal of Banking & Finance.
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39. Cross-listing, price discovery and the informativeness of the trading process. (2001). PASCUAL, ROBERTO ; Pascual-Fuster, Bartolomé ; Climent, Francisco.
    In: DEE - Working Papers. Business Economics. WB.
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40. Assessing the impact of macroeconomic news announcements on securities prices under different monetary policy regimes. (2001). Clare, Andrew ; Courtenay, Roger.
    In: Bank of England working papers.
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41. Financial Development and the Distributional Effects of Monetary Policy Do the distributional consequences of monetary policy depend on the extent of financial development? Should optimal monetary pol. (2000). Chen, An-Sing ; Leung, Mark ; Gao, Hui-Jyuan.
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42. Microstructure Effects on Daily Return Volatility in Financial Markets. (2000). Krause, Andreas.
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43. What a Difference a Day Makes: On the Common Market Microstructure of Trading Days. (1999). Pohlmeier, Winfried ; Hess, Dieter ; Gerhard, Frank .
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44. Order Flow and Exchange Rate Dynamics.. (1999). Lyons, Richard ; Evans, Martin.
    In: Research Program in Finance Working Papers.
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45. Order Flow and Exchange Rate Dynamics. (1999). Lyons, Richard ; Evans, Martin.
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46. Time transformations, intraday data and volatility models. (1999). Giot, Pierre.
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47. Market depth and order size: an analysis of permanent price effects of DAX futures trades. (1998). Kempf, Alexander ; Korn, Olaf .
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48. Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model. (1998). Engle, Robert ; Russell, Jeffrey R..
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49. DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. (1996). Bollerslev, Tim ; Andersen, Torben.
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50. Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements. (1996). Remolona, Eli ; Fleming, Michael.
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