محتوای اطلاعاتی دفتر سفارش در بورس اوراق بهادار تهران

*    Baillie, Richard T., G. Geoffrey Booth, Yiuman Tse, and Tatyana Zabotina. "Price discovery and common factor models." Journal of Financial Markets 5, no. 3 (2002): 309-321.

*    Baruch, Shmuel. "Who Benefits from an Open Limit‐Order Book?*." The Journal of Business 78, no. 4 (2005): 1267-1306.

*   Biais, Bruno, Pierre Hillion, and Chester Spatt. "An empirical analysis of the limit order book and the order flow in the Paris Bourse." the Journal of Finance 50, no. 5 (1995): 1655-1689.

*   Bloomfield, Robert, Maureen O’hara, and Gideon Saar. "The “make or take” decision in an electronic market: Evidence on the evolution of liquidity." Journal of Financial Economics 75, no. 1 (2005): 165-199.

*   Boehmer, Ekkehart, Gideon Saar, and Lei Yu. "Lifting the veil: An analysis of Pre‐trade transparency at the NYSE." The Journal of Finance 60, no. 2 (2005): 783-815.

*   Booth, G. Geoffrey, Ji‐Chai Lin, Teppo Martikainen, and Yiuman Tse. "Trading and pricing in upstairs and downstairs stock markets." Review of Financial Studies 15, no. 4 (2002): 1111-1135.

*   Cao, Charles, Oliver Hansch, and Xiaoxin Wang Beardsley. "The informational content of an open limit order book." In AFA 2005 Philadelphia Meetings. 2004.

*   Cao, Charles, Oliver Hansch, and Xiaoxin Wang. "The information content of an open limit‐order book." Journal of futures markets 29, no. 1 (2009): 16-41.

*   Dufour, Alfonso, and Satchit Sagade. "The Shape and Information Content of a Post-MiFID Limit Order Book." Available at SSRN 2232700 (2013).

*  Eun, Cheol S., and Sanjiv Sabherwal. "Forecasting exchange rates: Do banks know better?." Global Finance Journal 13, no. 2 (2002): 195-215.

*   Foucault, Thierry. "Order flow composition and trading costs in a dynamic limit order market." Journal of Financial markets 2, no. 2 (1999): 99-134.

*   Glosten, Lawrence R. "Is the electronic open limit order book inevitable?." The Journal of Finance 49, no. 4 (1994): 1127-1161.

*   Gonzalo, Jesus, and Clive Granger. "Estimation of common long-memory components in cointegrated systems." Journal of Business & Economic Statistics 13, no. 1 (1995): 27-35.

*  Griffiths, Mark D., Brian F. Smith, D. Alasdair S. Turnbull, and Robert W. White. "The costs and determinants of order aggressiveness." Journal of Financial Economics 56, no. 1 (2000): 65-88.

*   Handa, Puneet, and Robert A. Schwartz. "Limit order trading." The Journal of Finance 51, no. 5 (1996): 1835-1861.

*   Harris, Lawrence, and Joel Hasbrouck. "Market vs. limit orders: the SuperDOT evidence on order submission strategy." Journal of Financial and Quantitative analysis 31, no. 02 (1996): 213-231.

*    Harris, Lawrence E., and Venkatesh Panchapagesan. "The information content of the limit order book: evidence from NYSE specialist trading decisions." Journal of Financial Markets 8, no. 1 (2005): 25-67.

*  Hasbrouck, Joel. "One security, many markets: Determining the contributions to price discovery." The journal of Finance 50, no. 4 (1995): 1175-1199.

*  Huang, Roger D. "The quality of ECN and Nasdaq market maker quotes." The Journal of Finance 57, no. 3 (2002): 1285-1319.

*       Kaniel, Ron, and Hong Liu. "So What Orders Do Informed Traders Use?." The Journal of Business 79, no. 4 (2006): 1867-1913.

*       Latza, Torben, and Richard Payne. "Measuring the information content of limit order flows." Unpublished manuscript (2010).

*       Lehmann, Bruce N. "Some desiderata for the measurement of price discovery across markets." Journal of Financial Markets 5, no. 3 (2002): 259-276.

*       Madhavan, Ananth, David Porter, and Daniel Weaver. "Should securities markets be transparent?." Journal of Financial Markets 8, no. 3 (2005): 265-287.

*       Parlour, Christine A. "Price dynamics in limit order markets." Review of Financial Studies 11, no. 4 (1998): 789-816.

*       Ranaldo, Angelo. "Order aggressiveness in limit order book markets." Journal of Financial Markets 7, no. 1 (2004): 53-74.

*       Seppi, Duane J. "Liquidity provision with limit orders and a strategic specialist." Review of Financial Studies 10, no. 1 (1997): 103-150.

Yan, Bingcheng, and Eric Zivot. "A structural analysis of price discovery measures." Journal of Financial Markets 13, no. 1 (2010): 1-19.