1. Aitken, M., Brown, P., Walter, T., 1993. Intraday patterns in returns, trading volume, volatility and trading frequency on SEATS. Working Paper 93-32, Department of Accounting and Finance, University of Western Australia, Perth.
2. Stealth trading and volatility: Which trades move prices;Barclay;Journal of Financial Economics,1993
3. Order imbalances and stock price movements on October 19 and 20, 1987;Blume;Journal of Finance,1989
4. Enders, W., 1995. Applied Econometric Time Series. John Wiley and Sons, New York.
5. Insider trading, liquidity and the role of the monopolist specialist;Glosten;Journal of Business,1989