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Financial modelling : theory, implementation and practice (with Matlab source)
Kienitz, Jörg, (2012)
Stochastic simulation and applications in finance with MATLAB programs
Huynh, Huu Tue, (2008)
Estimation of the bid - ask spread on Danish stocks, and evaluation of Roll's estimator
Nyholm, Ken, (1995)
Estimation of the bid-ask spread on Danish stocks, an evaluation of Roll's estimator
Nyholm, Ken, (1997)
Inferring the private information content of trades : a regime-switching approach
Nyholm, Ken, (1999)