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The intra-day effect of program trades on stock returns : evidence from October 1987
Neal, Robert S., (1994)
Program trading and individual stock returns : ingredients of the triple-witching brew
Stoll, Hans R., (1990)
Information in the cash market and stock index future market
Chan, Kalok, (1990)
Estimating linear models of expectations and uncertainty
Hasbrouck, Joel, (1988)
The summary informativeness of stock trades : an econometric analysis
Hasbrouck, Joel, (1991)
Measuring the information content of stock trades