% References enter this file ONLY after verification per CLAUDE.md §21.3
% (title, authors, year, journal, volume/pages, DOI, and that the work supports
% the sentence citing it). Candidates and their verification status live in
% docs/LITERATURE_MAP.md.

% ---- Stream: liquidity, commonality, OHLCV-based measurement ----
% Verified via OpenAlex/Crossref 2026-07-13.
@article{chordia2000commonality,
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  title   = {Commonality in liquidity},
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  year    = {2000},
  volume  = {56},
  number  = {1},
  pages   = {3--28},
  doi     = {10.1016/S0304-405X(99)00057-4}
}
@article{hasbrouck2001common,
  author  = {Hasbrouck, Joel and Seppi, Duane J.},
  title   = {Common factors in prices, order flows, and liquidity},
  journal = {Journal of Financial Economics},
  year    = {2001},
  volume  = {59},
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  pages   = {383--411},
  doi     = {10.1016/S0304-405X(00)00091-X}
}
@article{amihud2002illiquidity,
  author  = {Amihud, Yakov},
  title   = {Illiquidity and stock returns: cross-section and time-series effects},
  journal = {Journal of Financial Markets},
  year    = {2002},
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}
@article{corwin2012simple,
  author  = {Corwin, Shane A. and Schultz, Paul},
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  volume  = {67},
  number  = {2},
  pages   = {719--760},
  doi     = {10.1111/j.1540-6261.2012.01729.x}
}
@article{roll1984simple,
  author  = {Roll, Richard},
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}
@article{pastor2003liquidity,
  author  = {P{\'a}stor, {\v{L}}ubo{\v{s}} and Stambaugh, Robert F.},
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}
@article{acharya2005asset,
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}
@article{karolyi2012understanding,
  author  = {Karolyi, G. Andrew and Lee, Kuan-Hui and van Dijk, Mathijs A.},
  title   = {Understanding commonality in liquidity around the world},
  journal = {Journal of Financial Economics},
  year    = {2012},
  volume  = {105},
  number  = {1},
  pages   = {82--112},
  doi     = {10.1016/j.jfineco.2011.12.008}
}
@article{parkinson1980extreme,
  author  = {Parkinson, Michael},
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}
@article{garman1980estimation,
  author  = {Garman, Mark B. and Klass, Michael J.},
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}
@article{goyenko2009liquidity,
  author  = {Goyenko, Ruslan Y. and Holden, Craig W. and Trzcinka, Charles A.},
  title   = {Do liquidity measures measure liquidity?},
  journal = {Journal of Financial Economics},
  year    = {2009},
  volume  = {92},
  number  = {2},
  pages   = {153--181},
  doi     = {10.1016/j.jfineco.2008.06.002}
}
% ---- Stream: HFT / algorithmic trading / fragility / fragmentation / ETF ----
% Verified via OpenAlex 2026-07-13.
@article{hendershott2011algorithmic,
  author  = {Hendershott, Terrence and Jones, Charles M. and Menkveld, Albert J.},
  title   = {Does Algorithmic Trading Improve Liquidity?},
  journal = {Journal of Finance},
  year    = {2011},
  volume  = {66},
  number  = {1},
  pages   = {1--33},
  doi     = {10.1111/j.1540-6261.2010.01624.x}
}
@article{kirilenko2017flash,
  author  = {Kirilenko, Andrei and Kyle, Albert S. and Samadi, Mehrdad and Tuzun, Tugkan},
  title   = {The Flash Crash: High-Frequency Trading in an Electronic Market},
  journal = {Journal of Finance},
  year    = {2017},
  volume  = {72},
  number  = {3},
  pages   = {967--998},
  doi     = {10.1111/jofi.12498}
}
@article{menkveld2013high,
  author  = {Menkveld, Albert J.},
  title   = {High Frequency Trading and the New Market Makers},
  journal = {Journal of Financial Markets},
  year    = {2013},
  volume  = {16},
  number  = {4},
  pages   = {712--740},
  doi     = {10.1016/j.finmar.2013.06.006}
}
@article{brogaard2014high,
  author  = {Brogaard, Jonathan and Hendershott, Terrence and Riordan, Ryan},
  title   = {High-Frequency Trading and Price Discovery},
  journal = {Review of Financial Studies},
  year    = {2014},
  volume  = {27},
  number  = {8},
  pages   = {2267--2306},
  doi     = {10.1093/rfs/hhu032}
}
@article{budish2015high,
  author  = {Budish, Eric and Cramton, Peter and Shim, John},
  title   = {The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response},
  journal = {Quarterly Journal of Economics},
  year    = {2015},
  volume  = {130},
  number  = {4},
  pages   = {1547--1621},
  doi     = {10.1093/qje/qjv027}
}
@article{ohara2015high,
  author  = {O'Hara, Maureen},
  title   = {High Frequency Market Microstructure},
  journal = {Journal of Financial Economics},
  year    = {2015},
  volume  = {116},
  number  = {2},
  pages   = {257--270},
  doi     = {10.1016/j.jfineco.2015.01.003}
}
@article{bendavid2018etfs,
  author  = {Ben-David, Itzhak and Franzoni, Francesco and Moussawi, Rabih},
  title   = {Do {ETFs} Increase Volatility?},
  journal = {Journal of Finance},
  year    = {2018},
  volume  = {73},
  number  = {6},
  pages   = {2471--2535},
  doi     = {10.1111/jofi.12727}
}
@article{madhavan2012exchange,
  author  = {Madhavan, Ananth},
  title   = {Exchange-Traded Funds, Market Structure, and the Flash Crash},
  journal = {Financial Analysts Journal},
  year    = {2012},
  volume  = {68},
  number  = {4},
  pages   = {20--35},
  doi     = {10.2469/faj.v68.n4.6}
}
@article{boehmer2021algorithmic,
  author  = {Boehmer, Ekkehart and Fong, Kingsley and Wu, Juan Julie},
  title   = {Algorithmic Trading and Market Quality: International Evidence},
  journal = {Journal of Financial and Quantitative Analysis},
  year    = {2021},
  volume  = {56},
  number  = {8},
  pages   = {2659--2688},
  doi     = {10.1017/S0022109020000782}
}
@article{hasbrouck2013low,
  author  = {Hasbrouck, Joel and Saar, Gideon},
  title   = {Low-Latency Trading},
  journal = {Journal of Financial Markets},
  year    = {2013},
  volume  = {16},
  number  = {4},
  pages   = {646--679},
  doi     = {10.1016/j.finmar.2013.05.003}
}
@article{baldauf2020high,
  author  = {Baldauf, Markus and Mollner, Joshua},
  title   = {High-Frequency Trading and Market Performance},
  journal = {Journal of Finance},
  year    = {2020},
  volume  = {75},
  number  = {3},
  pages   = {1495--1526},
  doi     = {10.1111/jofi.12882}
}
% ---- Stream: spillover networks, contagion, systemic risk, Hawkes ----
% Verified via OpenAlex/Crossref 2026-07-13.
@article{diebold2014network,
  author  = {Diebold, Francis X. and Y{\i}lmaz, Kamil},
  title   = {On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms},
  journal = {Journal of Econometrics},
  year    = {2014},
  volume  = {182},
  number  = {1},
  pages   = {119--134},
  doi     = {10.1016/j.jeconom.2014.04.012}
}
@article{diebold2012better,
  author  = {Diebold, Francis X. and Y{\i}lmaz, Kamil},
  title   = {Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers},
  journal = {International Journal of Forecasting},
  year    = {2012},
  volume  = {28},
  number  = {1},
  pages   = {57--66},
  doi     = {10.1016/j.ijforecast.2011.02.006}
}
@article{billio2012econometric,
  author  = {Billio, Monica and Getmansky, Mila and Lo, Andrew W. and Pelizzon, Loriana},
  title   = {Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors},
  journal = {Journal of Financial Economics},
  year    = {2012},
  volume  = {104},
  number  = {3},
  pages   = {535--559},
  doi     = {10.1016/j.jfineco.2011.12.010}
}
@article{barigozzi2019nets,
  author  = {Barigozzi, Matteo and Brownlees, Christian},
  title   = {{NETS}: Network Estimation for Time Series},
  journal = {Journal of Applied Econometrics},
  year    = {2019},
  volume  = {34},
  number  = {3},
  pages   = {347--364},
  doi     = {10.1002/jae.2676}
}
@article{acemoglu2012network,
  author  = {Acemoglu, Daron and Carvalho, Vasco M. and Ozdaglar, Asuman and Tahbaz-Salehi, Alireza},
  title   = {The Network Origins of Aggregate Fluctuations},
  journal = {Econometrica},
  year    = {2012},
  volume  = {80},
  number  = {5},
  pages   = {1977--2016},
  doi     = {10.3982/ECTA9623}
}
@article{aitsahalia2015modeling,
  author  = {A{\"i}t-Sahalia, Yacine and Cacho-Diaz, Julio and Laeven, Roger J. A.},
  title   = {Modeling Financial Contagion Using Mutually Exciting Jump Processes},
  journal = {Journal of Financial Economics},
  year    = {2015},
  volume  = {117},
  number  = {3},
  pages   = {585--606},
  doi     = {10.1016/j.jfineco.2015.03.002}
}
@article{bacry2015hawkes,
  author  = {Bacry, Emmanuel and Mastromatteo, Iacopo and Muzy, Jean-Fran{\c c}ois},
  title   = {Hawkes Processes in Finance},
  journal = {Market Microstructure and Liquidity},
  year    = {2015},
  volume  = {1},
  number  = {1},
  pages   = {1550005},
  doi     = {10.1142/S2382626615500057}
}
@article{hawkes1971spectra,
  author  = {Hawkes, Alan G.},
  title   = {Spectra of Some Self-Exciting and Mutually Exciting Point Processes},
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}
@article{elliott2014financial,
  author  = {Elliott, Matthew and Golub, Benjamin and Jackson, Matthew O.},
  title   = {Financial Networks and Contagion},
  journal = {American Economic Review},
  year    = {2014},
  volume  = {104},
  number  = {10},
  pages   = {3115--3153},
  doi     = {10.1257/aer.104.10.3115}
}
@article{forbes2002no,
  author  = {Forbes, Kristin J. and Rigobon, Roberto},
  title   = {No Contagion, Only Interdependence: Measuring Stock Market Comovements},
  journal = {Journal of Finance},
  year    = {2002},
  volume  = {57},
  number  = {5},
  pages   = {2223--2261},
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}
@article{hautsch2015financial,
  author  = {Hautsch, Nikolaus and Schaumburg, Julia and Schienle, Melanie},
  title   = {Financial Network Systemic Risk Contributions},
  journal = {Review of Finance},
  year    = {2015},
  volume  = {19},
  number  = {2},
  pages   = {685--738},
  doi     = {10.1093/rof/rfu010}
}
@article{bekaert2014global,
  author  = {Bekaert, Geert and Ehrmann, Michael and Fratzscher, Marcel and Mehl, Arnaud},
  title   = {The Global Crisis and Equity Market Contagion},
  journal = {Journal of Finance},
  year    = {2014},
  volume  = {69},
  number  = {6},
  pages   = {2597--2649},
  doi     = {10.1111/jofi.12203}
}
% ---- Stream: lead-lag, intraday jumps, ML, econometric methods ----
% Verified via OpenAlex/Crossref 2026-07-13.
@article{lo1990contrarian,
  author  = {Lo, Andrew W. and MacKinlay, A. Craig},
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  volume  = {3},
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@article{hou2007industry,
  author  = {Hou, Kewei},
  title   = {Industry Information Diffusion and the Lead-Lag Effect in Stock Returns},
  journal = {Review of Financial Studies},
  year    = {2007},
  volume  = {20},
  number  = {4},
  pages   = {1113--1138},
  doi     = {10.1093/revfin/hhm003}
}
@article{andersen1997intraday,
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  volume  = {4},
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}
@article{lee2008jumps,
  author  = {Lee, Suzanne S. and Mykland, Per A.},
  title   = {Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics},
  journal = {Review of Financial Studies},
  year    = {2008},
  volume  = {21},
  number  = {6},
  pages   = {2535--2563},
  doi     = {10.1093/rfs/hhm056}
}
@article{barndorffnielsen2004power,
  author  = {Barndorff-Nielsen, Ole E. and Shephard, Neil},
  title   = {Power and Bipower Variation with Stochastic Volatility and Jumps},
  journal = {Journal of Financial Econometrics},
  year    = {2004},
  volume  = {2},
  number  = {1},
  pages   = {1--37},
  doi     = {10.1093/jjfinec/nbh001}
}
@article{aitsahalia2009testing,
  author  = {A{\"i}t-Sahalia, Yacine and Jacod, Jean},
  title   = {Testing for Jumps in a Discretely Observed Process},
  journal = {Annals of Statistics},
  year    = {2009},
  volume  = {37},
  number  = {1},
  pages   = {184--222},
  doi     = {10.1214/07-AOS568}
}
@article{gu2020empirical,
  author  = {Gu, Shihao and Kelly, Bryan and Xiu, Dacheng},
  title   = {Empirical Asset Pricing via Machine Learning},
  journal = {Review of Financial Studies},
  year    = {2020},
  volume  = {33},
  number  = {5},
  pages   = {2223--2273},
  doi     = {10.1093/rfs/hhaa009}
}
@article{easley2012flow,
  author  = {Easley, David and L{\'o}pez de Prado, Marcos M. and O'Hara, Maureen},
  title   = {Flow Toxicity and Liquidity in a High-Frequency World},
  journal = {Review of Financial Studies},
  year    = {2012},
  volume  = {25},
  number  = {5},
  pages   = {1457--1493},
  doi     = {10.1093/rfs/hhs053}
}
@article{andersen2014vpin,
  author  = {Andersen, Torben G. and Bondarenko, Oleg},
  title   = {{VPIN} and the Flash Crash},
  journal = {Journal of Financial Markets},
  year    = {2014},
  volume  = {17},
  pages   = {1--46},
  doi     = {10.1016/j.finmar.2013.05.005}
}
@article{epps1979comovements,
  author  = {Epps, Thomas W.},
  title   = {Comovements in Stock Prices in the Very Short Run},
  journal = {Journal of the American Statistical Association},
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  volume  = {74},
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@article{jorda2005estimation,
  author  = {Jord{\`a}, {\`O}scar},
  title   = {Estimation and Inference of Impulse Responses by Local Projections},
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  year    = {2005},
  volume  = {95},
  number  = {1},
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  doi     = {10.1257/0002828053828518}
}
% ---- Stream: contagion theory, fire sales, ownership networks ----
% Verified via OpenAlex 2026-07-13.
@article{kyle2001contagion,
  author  = {Kyle, Albert S. and Xiong, Wei},
  title   = {Contagion as a Wealth Effect},
  journal = {Journal of Finance},
  year    = {2001},
  volume  = {56},
  number  = {4},
  pages   = {1401--1440},
  doi     = {10.1111/0022-1082.00373}
}
@article{kodres2002rational,
  author  = {Kodres, Laura E. and Pritsker, Matthew},
  title   = {A Rational Expectations Model of Financial Contagion},
  journal = {Journal of Finance},
  year    = {2002},
  volume  = {57},
  number  = {2},
  pages   = {769--799},
  doi     = {10.1111/1540-6261.00441}
}
@article{yuan2005asymmetric,
  author  = {Yuan, Kathy},
  title   = {Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion},
  journal = {Journal of Finance},
  year    = {2005},
  volume  = {60},
  number  = {1},
  pages   = {379--411},
  doi     = {10.1111/j.1540-6261.2005.00733.x}
}
@article{brunnermeier2009market,
  author  = {Brunnermeier, Markus K. and Pedersen, Lasse Heje},
  title   = {Market Liquidity and Funding Liquidity},
  journal = {Review of Financial Studies},
  year    = {2009},
  volume  = {22},
  number  = {6},
  pages   = {2201--2238},
  doi     = {10.1093/rfs/hhn098}
}
@article{cespa2014illiquidity,
  author  = {Cespa, Giovanni and Foucault, Thierry},
  title   = {Illiquidity Contagion and Liquidity Crashes},
  journal = {Review of Financial Studies},
  year    = {2014},
  volume  = {27},
  number  = {6},
  pages   = {1615--1660},
  doi     = {10.1093/rfs/hhu016}
}
@article{coval2007asset,
  author  = {Coval, Joshua D. and Stafford, Erik},
  title   = {Asset Fire Sales (and Purchases) in Equity Markets},
  journal = {Journal of Financial Economics},
  year    = {2007},
  volume  = {86},
  number  = {2},
  pages   = {479--512},
  doi     = {10.1016/j.jfineco.2006.09.007}
}
@article{greenwood2011stock,
  author  = {Greenwood, Robin and Thesmar, David},
  title   = {Stock Price Fragility},
  journal = {Journal of Financial Economics},
  year    = {2011},
  volume  = {102},
  number  = {3},
  pages   = {471--490},
  doi     = {10.1016/j.jfineco.2011.06.003}
}
@article{anton2014connected,
  author  = {Ant{\'o}n, Miguel and Polk, Christopher},
  title   = {Connected Stocks},
  journal = {Journal of Finance},
  year    = {2014},
  volume  = {69},
  number  = {3},
  pages   = {1099--1127},
  doi     = {10.1111/jofi.12149}
}
@article{lou2012flow,
  author  = {Lou, Dong},
  title   = {A Flow-Based Explanation for Return Predictability},
  journal = {Review of Financial Studies},
  year    = {2012},
  volume  = {25},
  number  = {12},
  pages   = {3457--3489},
  doi     = {10.1093/rfs/hhs103}
}
@article{greenwood2015vulnerable,
  author  = {Greenwood, Robin and Landier, Augustin and Thesmar, David},
  title   = {Vulnerable Banks},
  journal = {Journal of Financial Economics},
  year    = {2015},
  volume  = {115},
  number  = {3},
  pages   = {471--485},
  doi     = {10.1016/j.jfineco.2014.11.006}
}
@article{duarte2021fire,
  author  = {Duarte, Fernando and Eisenbach, Thomas M.},
  title   = {Fire-Sale Spillovers and Systemic Risk},
  journal = {Journal of Finance},
  year    = {2021},
  volume  = {76},
  number  = {3},
  pages   = {1251--1294},
  doi     = {10.1111/jofi.13010}
}
@article{glasserman2016contagion,
  author  = {Glasserman, Paul and Young, H. Peyton},
  title   = {Contagion in Financial Networks},
  journal = {Journal of Economic Literature},
  year    = {2016},
  volume  = {54},
  number  = {3},
  pages   = {779--831},
  doi     = {10.1257/jel.20151228}
}
% ---- Stream: co-jumps, extreme moves, macro announcements, volatility transmission ----
% Verified via OpenAlex 2026-07-13.
@article{bollerslev2008risk,
  author  = {Bollerslev, Tim and Law, Tzuo Hann and Tauchen, George},
  title   = {Risk, Jumps, and Diversification},
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  volume  = {144},
  number  = {1},
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}
@article{das2004systemic,
  author  = {Das, Sanjiv Ranjan and Uppal, Raman},
  title   = {Systemic Risk and International Portfolio Choice},
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}
@article{lahaye2011jumps,
  author  = {Lahaye, J{\'e}r{\^o}me and Laurent, S{\'e}bastien and Neely, Christopher J.},
  title   = {Jumps, Cojumps and Macro Announcements},
  journal = {Journal of Applied Econometrics},
  year    = {2011},
  volume  = {26},
  number  = {6},
  pages   = {893--921},
  doi     = {10.1002/jae.1149}
}
@article{caporin2017systemic,
  author  = {Caporin, Massimiliano and Kolokolov, Aleksey and Ren{\`o}, Roberto},
  title   = {Systemic Co-jumps},
  journal = {Journal of Financial Economics},
  year    = {2017},
  volume  = {126},
  number  = {3},
  pages   = {563--591},
  doi     = {10.1016/j.jfineco.2017.06.016}
}
@article{bajgrowicz2016jumps,
  author  = {Bajgrowicz, Pierre and Scaillet, Olivier and Treccani, Adrien},
  title   = {Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News},
  journal = {Management Science},
  year    = {2016},
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