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Harris, Larry. “TRADING
AND EXCHANGES: Market Microstructure for Practitioners”, Oxford
University Press, October 2003.
Although
it was published several years ago, this book still
provides the most comprehensive treatment of the institutions and trading
rules on Wall Street.
George-Levi, Gayle and
Robert A. Miller. “Insider information and performance pay,”
with,
forthcoming CESifo Economic
Studies,
January 2009.
Hollifield, Burton, Robert A. Miller, Patrik
Sandas and Joshua Slive
"Estimating the gains from trade in limit-order
markets," Journal of Finance, Vol 61, No. 6, pp. 2753-2804, December 2006
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