Reference health
From Glosten-Milgrom to the Whole Limit Order Book and Applications to Financial Regulation
28/28 checkable references clean · checked 2026-08-03
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
5 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
The 28 checked references that resolve
resolves10.1214/16-aap1265
A functional limit theorem for limit order books with state dependent price dynamics
resolves10.1016/s1386-4181(98)00012-3
Order flow composition and trading costs in a dynamic limit order market
resolves10.1016/0304-405X(85)90044-3
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
resolves10.1016/0304-405x(81)90020-9
Optimal dealer pricing under transactions and return uncertainty
resolves10.1080/01621459.2014.982278
Simulating and Analyzing Order Book Data: The Queue-Reactive Model
resolves10.1142/s2382626617500010
How to Predict the Consequences of a Tick Value Change? Evidence from the Tokyo Stock Exchange Pilot Program
resolves10.1137/16m1064337
Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework
resolves10.1007/s11579-015-0157-1
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
resolves10.2139/ssrn.3256453
Assessing MiFID 2 Regulation on Tick Sizes: A Transaction Costs Analysis Viewpoint
resolves10.1093/rfs/10.4.1035
Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks
resolves10.1142/s2382626618500053
The Behavior of High-Frequency Traders Under Different Market Stress Scenarios
resolves10.1080/14697680701344515
Relation between bid–ask spread, impact and volatility in order-driven markets
The 5 references without a DOI — listed, not checked
no DOI — not checkedref4
no DOI — not checkedSur la r�partition de la partie fractionnaire d'une variable
no DOI — not checkedContinuous auctions and insider trading
no DOI — not checkedref27
no DOI — not checkedOn the distribution of the fractional part of a statistical variable
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work were clean at the dated check: each resolved to a known work in a public registry, and none
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or importance of the work itself, and nothing about references deposited without a DOI.
checked 2026-08-03 — re-checked daily as this page is visited; titles and statuses come from Crossref and DataCite and are not part of the signed record
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