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1. Information revelation in the Greek exchange opening call: Daily and intraday evidence. (2015). Kanas, Angelos ; Papachristou, George ; Anagnostidis, Panagiotis .
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:38:y:2015:i:c:p:167-184.

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2. On Robust Properties of the SIML Estimation of Volatility under Micro-market noise and Random Sampling. (2013). Misaki, Hiroumi ; Kunitomo, Naoto.
   In: CIRJE F-Series.
   RePEc:tky:fseres:2013cf892.

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3. Think About Tomorrow Morning: Opening Stock Returns May Show Reversals. (2013). Kudryavtsev, Andrey.
   In: Romanian Economic Journal.
   RePEc:rej:journl:v:16:y:2013:i:50:p:51-64.

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4. Whether Cross-Listing, Stock-specific and Market-wide Calendar Events impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market using High-frequency Data. (2012). Pandey, Ajay ; Agarwalla, Sobhesh Kumar.
   In: IIMA Working Papers.
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5. Spontaneous symmetry breaking of arbitrage. (2012). Choi, Jaehyung .
   In: Papers.
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6. Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data. (2011). Matei, Marius.
   In: Journal for Economic Forecasting.
   RePEc:rjr:romjef:v::y:2011:i:2:p:116-141.

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7. Crashes and Collateralized Lending. (2011). Stafford, Erik ; Jurek, Jakub W..
   In: NBER Working Papers.
   RePEc:nbr:nberwo:17422.

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8. Intraday return spillovers and its variations across trading sessions. (2011). Chen, Sheng-Syan ; Chou, Robin ; Hsin, Chin-Wen ; Chang, Chia-Ching .
   In: Review of Quantitative Finance and Accounting.
   RePEc:kap:rqfnac:v:36:y:2011:i:3:p:355-390.

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9. Trading Mechanisms and Market Quality: Call Markets versus Continuous Auction Markets. (2011). Kuo, Weiyu ; Li, YuChing .
   In: International Review of Finance.
   RePEc:bla:irvfin:v:11:y:2011:i:4:p:417-444.

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10. Bootstrap refinements in tests of microstructure frictions. (2010). George, Thomas ; Ronen, Tavy ; Hwang, Chuan-Yang.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:35:y:2010:i:1:p:47-70.

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11. Asymmetry in return and volatility spillover between equity and bond markets in Australia. (2010). faff, robert ; Loudon, Geoffrey F. ; Dean, Warren G..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:18:y:2010:i:3:p:272-289.

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12. Price reversals versus price continuations: the transitory price effects of futures trading extension on the underlying stock market. (2009). Chan, Yue-Cheong ; Cheng, Louis.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:33:y:2009:i:2:p:159-176.

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13. Global Liquidity, Risk Premiums and Growth Opportunities. (2009). de Nicolo, Gianni ; Ivaschenko, Iryna.
    In: CESifo Working Paper Series.
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14. Decimalization, Realized Volatility, and Market Microstructure Noise. (2008). Vuorenmaa, Tommi.
    In: MPRA Paper.
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15. The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems. (2008). Sebastião, Helder ; Sebastios, Helder.
    In: GEMF Working Papers.
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16. Opening and Closing Asymmetry: Empirical Analysis from ISE Xetra. (2008). Kelly, Robert.
    In: The Economic and Social Review.
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17. A Structural Analysis of Price Discovery Measures. (2007). Yan, Bingcheng ; Zivot, Eric .
    In: Working Papers.
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18. A comparison of different trading protocols in an agent-based market. (2007). Pellizzari, Paolo ; Forno, Arianna.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:2:y:2007:i:1:p:27-43.

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19. Not all call auctions are created equal: evidence from Hong Kong. (2007). Rydge, James ; Burridge, Hayley ; Comerton-Forde, Carole.
    In: Review of Quantitative Finance and Accounting.
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20. Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange. (2007). Guo, Mingyuan ; Tian, Gary.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:28:y:2007:i:3:p:287-306.

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21. Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets. (2007). Kulp-Tg, Sofie.
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22. Risk, Jumps, and Diversification. (2007). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
    In: CREATES Research Papers.
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23. A comparison of different trading protocols in an agent-based market. (2006). Pellizzari, Paolo ; Forno, Arianna Dal.
    In: Working Papers.
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24. The Effect of Trading Halts on the Speed of Price Discovery. (2006). Hauser, Shmuel ; Shurki, Itzhak ; Kedar-Levy, Haim ; Pilo, Batia.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:29:y:2006:i:1:p:83-99.

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25. The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange. (2006). Angelidis, Timotheos ; Benos, Alexandros .
    In: Working Papers.
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26. The Impact of the Suspension of Opening and Closing Call. (2005). Green, Christopher ; Camilleri, Silvio.
    In: Finance.
    RePEc:wpa:wuwpfi:0506006.

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27. A comparison of different trading protocols in an agent-based market. (2005). Pellizzari, Paolo ; Forno, Arianna Dal.
    In: Computational Economics.
    RePEc:wpa:wuwpco:0511001.

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28. Information transmission around block trades on the Spanish stock exchange. (2005). Yzaguirre, J. ; Tapia, M. ; MARTiNEZ, M. A..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:3:p:173-186.

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29. The Impact of the Suspension of Opening and Closing Call. (2004). Green, Christopher ; Camilleri, Silvio.
    In: Finance.
    RePEc:wpa:wuwpfi:0411012.

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30. Market Design, Bidding Rules, and Long Memory in Electricity Prices. (2004). Sapio, Sandro.
    In: LEM Papers Series.
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31. Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt. (2003). Oehler, Andreas ; Hacker, Mirko .
    In: Discussion Papers.
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32. Stop-loss orders and price cascades in currency markets. (2002). Osler, Carol.
    In: Staff Reports.
    RePEc:fip:fednsr:150.

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33. Trading frequency and the efficiency of price discovery in a non-dealer market. (2001). Hauser, Shmuel.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:7:y:2001:i:3:p:187-197.

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34. Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns. (2001). Hong, Yongmiao ; Gallo, Giampiero ; Lee, Tae-Why.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2001_03.

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35. Modelling the Impact of Overnight Surprises on Intra-daily Volatility. (2001). Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
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36. Price Discovery in Auction Markets: A Look Inside the Black Box.. (2000). Madhavan, Ananth ; Panchapagesan, Venkatesh .
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:13:y:2000:i:3:p:627-58.

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37. Asymmetries of information in centralized order-driven markets. (1999). Calcagno, Riccardo ; Boccard, Nicolas.
    In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
    RePEc:ctl:louvir:1999016.

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38. Asymmetries of information in centralized order-driven markets. (1999). Boccard, Nicolas ; Calcagno, Riccardo .
    In: CORE Discussion Papers.
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39. The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange. (1999). Rhee, Ghon S. ; Hsu, Shuh-Tzy ; Chang, Rosita P. ; Huang, Nai-Kuan.
    In: Journal of Business Finance & Accounting.
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40. Effet des modes de négociation sur les échanges. (1998). Le Fol, Gaelle ; gourieroux, christian.
    In: Revue Économique.
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41. Switching to Continuous Trading and its Impact on Return Behavior and Volume of Trade. (1997). Lauterbach, Beni ; Ungar, Meyer.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:12:y:1997:i:1:p:39-50.

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42. On the Damodaran Estimator of Price Adjustment Coefficients. (1997). Safvenblad, Patrik.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0208.

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43. Learning the True Index Level: Index Return Autocorrelation in an REE Auction Market. (1997). Safvenblad, Patrik.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0190.

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44. Lead-Lag Effects When Prices Reveal Cross-Security Information. (1997). Safvenblad, Patrik.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0189.

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45. Heteroscedasticity models on the BSE. (1995). Thomas, Susan.
    In: Finance.
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46. Daily distribution of Swedish OMX-index returns over intraday-to-intraday time intervals. (1994). Norden, Lars.
    In: Finnish Economic Papers.
    RePEc:fep:journl:v:7:y:1994:i:1:p:3-16.

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47. Round-the-clock Trading: Evidence from U.K. Cross-Listed Securities. (1993). Kleidon, Allan W. ; Werner, Ingrid M..
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48. An Ordered Probit Analysis of Transaction Stock Prices. (1991). Lo, Andrew ; Hausman, Jerry ; MacKinlay, Craig A..
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49. Expectativas racionales, competencia perfecta y comportamiento estratégico en los mercados financieros. (1991). Caballe, Jordi.
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50. Network Economics with Application to Finance,. (). Economides, Nicholas.
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