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| 文件名: Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets.pdf | |
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1、Amihud, Y., and H. Mendelson (1986), Asset Pricing and theBid-Ask Spread, Journal of Financial Economics 17, 223-249. 2、Amihud,Y., and H. Mendelson (1980), Dealership Markets: Market Making with Inventory,Journal of Financial Economics 8, 31-53. 3、Biais,B. (1993), Price Formation and Equilibrium Liquidity in Fragmented andCentralized Markets, Journal of Finance 48, 157-185. 4、Easley, D and M. OHara (1987), Price, Trade Size, andInformation in Securities Markets, Journal of Financial Economics 19, 69-90. 5、Easley,D. and M. O’Hara, 1992, Time and the process of security price adjustment,Journal of Finance, 47: 577-605. 6、Wang, J. (1993), A Model of Intertemporal Asset Prices UnderAsymmetric Information, Review of Economic Studies 60, 249-282. |
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