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Chapter 17 Microstructure and asset pricing
Easley, David, (2003)
The effects of the LIBOR scandal on volatility and liquidity in LIBOR futures markets
Bachmair, Kilian, (2023)
Foreign exchange order flow as a risk factor
Burnside, Craig, (2023)
Market Microstructure Invariance : A Dynamic Equilibrium Model
Kyle, Albert S., (2017)
Adverse Selection and Liquidity : From Theory to Practice
Kyle, Albert S., (2018)
Large Bets and Stock Market Crashes
Kyle, Albert S., (2019)