1. For a detailed survey of the existing theoretical research, major results and concepts, and a general perspective on the development and evolution of market microstructure theory see O'Hara (1995)
2. For a comprehensive review including theoretical, empirical, and experimental studies see Madhavan (2000)
3. For a review of major theoretical research see Hirth (1998)
4. Cohen, Maier, Schwartz and Withcomb (1986) provide a survey of the early literature.
5. See Spulber (1999), p. ix