Aitken, Michael J., Berkman, Henk, and Derek Mak, 2001, The Use of Undisclosed Limit Orders on the Australian Stock Exchange, Journal of Banking and Finance 25, 1589-1603.

Anand, Amber, Paul J. Irvine, Andy Puckett, and Kumar Venkataraman, 2010, Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Cost, AFA 2010 Atlanta Meetings Paper.

Anand, Amber, Andy Puckett, Paul J. Irvine, and Kumar Venkataraman, 2011, Market Crashes and Institutional Trading, Working Paper.

Anand, Amber, and Daniel G. Weaver, 2004, Can Order Exposure be Mandated?, Journal of Financial Markets 7, 405-426.

Angel, James, Lawrence Harris, and Chester S. Spatt, 2010, Equity Trading in the 21^st Century, Marshall School of Business Working Paper.

Angel, James and Douglas M. McCabe, 2010, Fairness in Financial Markets: The Case of High Frequency Trading, Working Paper.

Bandi, F., and J. Russell, 2006, Separating Market Microstructure Noise From Volatility, Journal of Financial Economics 79, 655-692.

Bank for International Settlements, 2011, High Frequency Trading in the Foreign Exchange Market.

Belter, Klaus, 2007, Supply and Information Content of Order Book Depth: the Case of Displayed and Hidden Depth, Working Paper.

Belter, Klaus, 2007, Partial vs. Full Display Limit Orders: The Order Display Choice and its Effects on Order Management and Execution Quality, Working Paper.

Ben-David, Itzhak, Francesco A. Franzoni, and Rabih Moussawi, 2011, ETFs, Arbitrage, and Contagion, Working Paper.

Bessembinder, Hendrik, Jia Hao, and Michael L. Lemmon, 2011, Why Designate Market Makers? Affirmative Obligations and Market Quality, Working Paper.

Bessembinder, Hendrik, Marios Panayides, and Kumar Venkataraman, 2009, In Search of Liquidity: An Analysis of Order Submission Strategies in Automated Markets, Journal of Financial Economics 94, 361-383.

Bloomfield, Robert J. and Maureen OHara, 2000, Can Transparent Markets Survive? Journal of Financial Economics, Vol. 55, Issue 3.

Bloomfield, Robert, and Maureen OHara, 1998, Does Order Preferencing Matter? Journal of Financial Economics 50, 3-37.

Bloomfield, Robert J. and Maureen OHara, 1998, Market Transparency: Who Wins and Who Loses? Review of Financial Studies, Vol. 12, No. 1.

Bloomfield, Robert J., Maureen OHara, and Gideon Saar, 2007, How Noise Trading Affects Markets: An Experimental Analysis, Working Paper.

Bloomfield, Robert, Maureen OHara, and Gideon Saar, 2005, The Make-or-Take Decision in an Electronic Market: Evidence on the Evolution of Liquidity, Journal of Financial Economics 75, 165-199.

Bloomfield, Robert J., Maureen OHara, and Gideon Saar, 2011, Hidden Liquidity: Some New Light on Dark Trading, Johnson School Working Paper.

Boehmer, Ekkehart, Gideon Saar, and Lei Yu, 2005, Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE, The Journal of Finance 60, 783-815.

Brogaard, Jonathan, 2012, High Frequency Trading and Volatility, University of Washington Working Paper.

Brogaard, Jonathan, 2010, The Activity of High Frequency Traders, University of Washington Working Paper.

Brogaard, Jonathan, 2010, High Frequency Trading and Market Quality, University of Washington Working Paper.

Buti, Sabrina, Barbara Rindi, and Ingrid M. Werner, 2010, Diving into Dark Pools, Working Paper.

Buti, Sabrina, and Barbara Rindi, 2011, Undisclosed Orders and Optimal Submission Strategies in a Dynamic Limit Order Market, EFA 2008 Athens Meetings Paper.

Cao, C., Hansch, O., Wang, X., 2009, The Information Content of an Open Limit-Order Book, Journal of Futures Markets 29 (1), 16-41.

Cardella, Laura, Jia Hao, and Ivalina Kalcheva, 2010, The Floor Trader vs. Automation: A Survey of Theory and Empirical Evidence, Working Paper.

Cartea, Alvaro and Jose Penalva, 2011, Where is the Value in High Frequency Trading?, Working Paper.

CFTC-SEC, 2010, Preliminary Findings Regarding the Market Events of May 6, 2010, Report of the Staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues.

CFTC-SEC, 2010, Findings Regarding the Market Events of May 6, 2010, Report of the Staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues.

CFTC-SEC, 2011, Recommendations Regarding Regulatory Responses to the Market Events of May 6, 2010. Summary Report of the Joint CFTC-SEC Advisory Committee o Emerging Regulatory Issues.

Chaboud, Alain, Erik Hjalmarsson, Clara Vega, and Ben Chiquoine, 2009, Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market, FRB International Finance Discussion Paper.

Chakravarty, Sugato, Pankaj K. Jain, Robert Wood, and James Upson, 2009, Clean Sweep: Informed Trading Through Intermarket Sweep Orders, Working Paper.

Chung, Kee H., and Chairat Chuwonganant, Regulation NMS and Market Quality, Financial Management, Forthcoming.

Cohen, Samuel N., and Lukasz Szpruch, 2011, A Limit Order Book Model for Latency Arbitrage, Working Paper.

Cvitanic, Jaksa, and Andrei A. Kirilenko, 2010, High Frequency Traders and Asset Prices, Cal. Tech. Working Paper.

De Winne, Rudy., and Catherine DHondt, 2007, Hide-and-Seek in the Market: Placing and Detecting Hidden Orders, Review of Finance 11, 663-692.

Diamond, Stephen F., and Jennifer W. Kuan, 2012, The Importance of Institutional Design: Evidence from the New York Stock Exchange IPO and Reg. NMS, Working Paper.

Easley, David, Nicholas M. Kiefer, and Maureen OHara, 1998, Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow, Cornell UniversityWorking Paper.

Easley, David., Nicholas M. Kiefer, and Maureen O'Hara, (1997). The Information Content of the Trading Process, Journal of Empirical Finance, 159 - 186.

Easley, David, Marcos M. Lopez de Prado, and Moreen O'Hara, 2012, The Volume Clock: Insights into the High Frequency Paradigm, Working Paper.

Easley, David, Marcos M. Lopez de Prado, and Maureen OHara, 2011, Flow Toxicity and Liquidity in a High Frequency World, Johnson School Working Paper.

Easley, David, Marcos M. Lopez de Prado, and Maureen O'Hara, 2010, The Microstructure of the `Flash Crash': Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading, Working Paper.

Easley, David, Maureen OHara, and Liyan Yang, 2011, Opaque Trading and Asset Prices, Working Paper.

Egginton, Jared F., Bonnie F. Van Ness, and Robert A. Van Ness, 2011, Quote Stuffing, Working Paper.

Engelberg, Joseph, Pengjie Gao, and Ravi Jagannathan, 2009, An Anatomy of Pairs Trading: The Role of Idiosyncratic News, Common Information and Liquidity, Working Paper.

Foucault, Thierry, Sophie Moinas, and Bruno Biais, 2011, Equilibrium High Frequency Trading, International Conference of the French Finance Association (AFFI).

Frey, Stefan, and Patrik Sandas, 2009, The Impact of Iceberg Orders in Limit Order Books, AFA 2009 San Francisco Meetings Paper.

Froot, Kenneth A., David S. Scharfstein, and Jeremy C. Stein, 1992, Herd on the street: Informational Inefficiencies in a Market With Short-Term Speculation, Journal of Finance47, 1461-1484.

Gozluklu, Arie E., 2010, Pre-Trade Transparency and Informed Trading: An Experimental Approach to Hidden Liquidity, Bocconi University Working Paper.

Government Office for Science, 2011, The Future of Computer Trading in Financial Markets, High Frequency Trading, Information, and Profits- Foresight Driver Review.

Government Office for Science, The Future of Computer Trading in Financial Markets - Foresight Driver Review.

Gsell, Markus, 2008, Assessing the Impact of Algorithmic Trading on Markets: A Simulation Approach, Proceedings of the 16th European Conference on Information Systems.

Hanson, Thomas A., 2011, The Effects of High Frequency Traders in a Simulated Market,Working Paper.

Harris, L., Panchapagesan, V., 2005, The Information Content of the Limit Order Book: Evidence From NYSE Specialist Trading Decisions, Journal of Financial Markets 8 (1), 25-67.

Harris, Lawrence and George Sofianos, 1994, Program Trading and Intraday Volatility, Review of Financial Studies, Vol. 7 No. 4.

Harris, Lawrence, 1996, Does a Large Minimum Price Variation Encourage Order Exposure?, Working Paper.

Harris, Lawrence, 1997, Order Exposure and Parasitic Traders, Working Paper.

Hasbrouck, Joel and Gideon Saar, 2010, Low-Latency Trading, AFA 2012 Chicago Meetings Paper.

Hasbrouck, Joel, and Gideon Saar, 2009, Technology and Liquidity Provision: The Blurring of Traditional Definitions, Journal of Financial Markets 12, 143-172.

Hendershott, Terrence., Charles M. Jones, and Albert J. Menkveld, 2010, Does Algorithmic Trading Improve Liquidity? Journal of Finance, Vol. 66, pp. 1-33.

Hendershott, Terrence and Ryan Riordan, 2011, Algorithmic Trading and Information. Working Paper.

Irvine, Paul J., Michale A. Goldstein, Eugene Kandel, and Zvi Wiener, 2007, Brokerage Commissions and Institutional Trading Patterns, Working Paper.

Jarnecic, Elvis and Mark Snape, 2010, An Analysis of Trades by High Frequency Participants on the London Stock Exchange. We believethat this paper is currently unavailable pending resolution of the status of the data used in that study.

Jarrow, Robert A. and Philip Protter, 2011, A Dysfunctional Role of High Frequency Trading in Electronic Markets, Johnson School Research Paper.

Katika, Afroditi, Babis Theodoulidis, and David Diaz, 2011, Investigating Financial Fraud in High Frequency Trading, Working Paper.

Kearns, Michael., Alex Kulesza, and Yuriy Nevmyvaka, 2010, Empirical Limitations on High Frequency Trading Profitability,Univ.of PennsylvaniaWorking Paper.

Kirilenko, Andrei A., Albert S. Kyle, Mehrdad Samadi, and Tugkan Tuzun, 2011, The Flash Crash: The Impact of High Frequency Trading on an Electronic Market, WorkingPaper.

Madhavan, Ananth, David Porter, and Daniel Weaver, 2005, Should Securities Markets be Transparent?, Journal of Financial Markets 8, 266-288.

Namvar, Ethan and Lawrence Harris, 2011, The Economics of Flash Orders and Trading, Working Paper.

Nimalendran, Mahendrarajah and Sugata Ray, 2011  Informational Linkages Between Dark and Lit Trading Venues, Working Paper. 

OHara, Maureen and Mao Ye, 2009, Is Market Fragmentation Harming Market Quality?, Working Paper.

Pagnotta, Emiliano and Thomas Philippon, 2011, Competing on Speed, Working Paper.

Pardo, Angel, and Roberto Pascual, 2007, On the Hidden Side of Liquidity, Working Paper.

Parlour, C., & Seppi, D., 2003, Liquidity-Based Competition for Order Flow. Review of Financial Studies , 301-343.

Sornette, Didier and Susanne Von der Becke, 2011, Crashes and High Frequency Trading, Swiss Finance Institute Research Paper.

Stoll, H., 1989, Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests. Journal of Finance , 115 - 134.

Tuttle, Laura, 2006, Hidden Orders, Trading Costs and Information, Working Paper.

Venkataraman, Kumar and Hendrik Bessembinder, 2002, Does and Electronic Stock Exchange Need an Upstairs Market?, Working Paper.

Venkataraman, Kumar and Andy Waisburd, 2006, The Value of the Designated Market Maker, Journal of Financial and Quantitateve Analysis (JFQA), forthcoming.

Weaver, Daniel G., 2011, Internalization and Market Quality in a Fragmented Market Structure, Working Paper.

Weaver, Daniel G. and Xing Zhou, 2009, The Value of the Floor, Working Paper.

Weber, Bruce, 2011, High Frequency Trading: The Growing Threat of Rogue Trading, Business Strategy Review, Vol. 22, Issue 2, pp. 50-53.

Weild, David and Edward Kim, 2010, Market Structure is Causing the IPO Crisis and More, Grant Thornton Capital Markets Series.

Zhang, Frank, 2010, High-Frequency Trading, Stock Volatility, and Price Discovery, Working Paper.

Zhu, Haoxiang, 2012, Do Dark Pools Harm Price Discovery?, Working Paper.

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