【正文】
f Finance, 2001, 56(2):5015305 Kyle A. Continuous auctions and insider trading. Econometrica, 1985. 53(6): 131513356 Pagano M, Roell A. Transparency and liquidity: a parison of auction and dealer markets with informed trading. Journal of Finance, 1996, 51(2): 5796127 Chowdhry B, Nanda V. Multimarket trading and market liquidity. Review of Financial Studies, 1991, 4(2):4835118 Bagehot W A. The only game in town. Financial Analysis Journal, 1971, 27,12149 Black F. Toward a fully automated stock exchange: Part I. Financial Analysis Journal, 1971, 27: 283510 Engle R F, Lange J. Predicting VNET: A model of the dynamics of market depth, Journal of Financial Markets, 2001, 4(2): 11314211 Biais B, Hillton P, Spatt C. An empirical analysis of the limit order book and the order flow in the Paris Bourse. Journal of Finance, 1995, 50(4): 1655–168912 Hamao Y, Hasbrouck J. Securities trading in the absence of dealers: Trades and quotes in the Tokyo Stock Exchange. Review of Financial Studies, 1995, 8(3): 849–87813 Hedvall K. Niemeyer J, Rosenqvist G. Do buyers and sellers behave similarly in a limit order book? A highfrequency data examination of the Finnish Stock Exchange. Journal of Empirical Finance, 1997, 4: 279–29314 Lehmann B N, Modest DM. Trading and liquidity on the Tokyo Stock Exchange: A bird’s eye view. Journal of Finance, 1994, 48(