1Avenaneda, M., S. Stoikov. High-frequency trading in a limit order book[J]. Qnanftative Finance, 2008, 8(3): 217-224.
2Blmne, L., D. Easley, M. O'Hara. Market statistics and technical analysis: The role of volume[J]. Journal of Finance, 1994: 153-181.
3Brogaard, J. High frequency trading and its impact on market quality[J].Northwestern University Kellogg School of Management Working Paper, 2010.
4Chaboud, A., B. Chiquoine, E. Hjahnarssonet al. Rise of the machines: Algorithmic trading in the reign exchange market[J]. Board of Governors nfthe Federal Reserve System, mimeo, 2009.
5Cvitanic, J A. A. Kirilenko. High frequency traders and asset prices[J]. Cal. Tech. Working Paper, 2010.
6Durkin, Bryan. The impact of algorithm and high frequency trading on CME group inc. markets[M]. 2010.
7Foucault, T., O. Kadan, E. Kandel. Liquidity. Cycles and Make/ Take Fees in Electronic Markets[J]. 2009.
8Garman, M. B. Market microstructure[J]. Journal of Financial Economics, 1976, 3(3): 257-275.
9Glosten, L. IK., P. IK. Milom. Bid, ask and transaction prices in a specialist market with heterogeneously infomaed traders[J]. Journal of financial economics, 1985, 14(1): 71-100.
10Grundy, B. D., M. McNichols. Trade and the revelation of information through prices and direct disclosure[J]. Review of Financial Studies, 1989, 2(4): 495.