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Financial markets : preliminary observations on the October 1987 crash ; report to congressional requesters
(1988)
SETS, arbitrage activity, and stock price dynamics
Taylor, Nicholas, (1999)
Exact ruin probabilities and the evaluation of program trading on financial markets
Kennedy, D. P., (1993)
Circuit breakers and program trading limits : the lessons learned
Harris, Lawrence E., (1998)
Cross-security tests of the mixture of distributions hypothesis
Harris, Lawrence E., (1986)
A transaction data study of weekly and intradaily patterns in stock returns