% ============================================================================
% References — UQO WP 8 (revised 2026-10-17; every entry verified via Crossref
% or the publisher page, DOIs recorded; see docs/CHANGELOG-REVISION.md)
% ============================================================================

% ---------------------------------------------------------------- theory ----
@article{arrow1964role,
  author  = {Arrow, Kenneth J.},
  title   = {The Role of Securities in the Optimal Allocation of Risk-Bearing},
  journal = {Review of Economic Studies},
  volume  = {31},
  number  = {2},
  pages   = {91--96},
  year    = {1964},
  doi     = {10.2307/2296188}
}

@book{debreu1959theory,
  author    = {Debreu, Gerard},
  title     = {Theory of Value: An Axiomatic Analysis of Economic Equilibrium},
  publisher = {Yale University Press},
  address   = {New Haven},
  year      = {1959}
}

@article{ross1976arbitrage,
  author  = {Ross, Stephen A.},
  title   = {The Arbitrage Theory of Capital Asset Pricing},
  journal = {Journal of Economic Theory},
  volume  = {13},
  number  = {3},
  pages   = {341--360},
  year    = {1976},
  doi     = {10.1016/0022-0531(76)90046-6}
}

@book{cochrane2005asset,
  author    = {Cochrane, John H.},
  title     = {Asset Pricing},
  edition   = {Revised},
  publisher = {Princeton University Press},
  address   = {Princeton},
  year      = {2005}
}

@article{hayek1945use,
  author  = {Hayek, Friedrich A.},
  title   = {The Use of Knowledge in Society},
  journal = {American Economic Review},
  volume  = {35},
  number  = {4},
  pages   = {519--530},
  year    = {1945}
}

@article{fama1970efficient,
  author  = {Fama, Eugene F.},
  title   = {Efficient Capital Markets: A Review of Theory and Empirical Work},
  journal = {Journal of Finance},
  volume  = {25},
  number  = {2},
  pages   = {383--417},
  year    = {1970},
  doi     = {10.2307/2325486}
}

@article{grossman1980impossibility,
  author  = {Grossman, Sanford J. and Stiglitz, Joseph E.},
  title   = {On the Impossibility of Informationally Efficient Markets},
  journal = {American Economic Review},
  volume  = {70},
  number  = {3},
  pages   = {393--408},
  year    = {1980}
}

% ---------------------------------------------------- prediction markets ----
@article{wolfers2004prediction,
  author  = {Wolfers, Justin and Zitzewitz, Eric},
  title   = {Prediction Markets},
  journal = {Journal of Economic Perspectives},
  volume  = {18},
  number  = {2},
  pages   = {107--126},
  year    = {2004},
  doi     = {10.1257/0895330041371321}
}

@techreport{wolfers2006theory,
  author      = {Wolfers, Justin and Zitzewitz, Eric},
  title       = {Prediction Markets in Theory and Practice},
  institution = {National Bureau of Economic Research},
  type        = {NBER Working Paper},
  number      = {12083},
  year        = {2006},
  doi         = {10.3386/w12083}
}

@techreport{wolfers2006interpreting,
  author      = {Wolfers, Justin and Zitzewitz, Eric},
  title       = {Interpreting Prediction Market Prices as Probabilities},
  institution = {National Bureau of Economic Research},
  type        = {NBER Working Paper},
  number      = {12200},
  year        = {2006},
  doi         = {10.3386/w12200}
}

@article{manski2006interpreting,
  author  = {Manski, Charles F.},
  title   = {Interpreting the Predictions of Prediction Markets},
  journal = {Economics Letters},
  volume  = {91},
  number  = {3},
  pages   = {425--429},
  year    = {2006},
  doi     = {10.1016/j.econlet.2006.01.004}
}

@incollection{snowberg2013prediction,
  author    = {Snowberg, Erik and Wolfers, Justin and Zitzewitz, Eric},
  title     = {Prediction Markets for Economic Forecasting},
  booktitle = {Handbook of Economic Forecasting},
  editor    = {Elliott, Graham and Timmermann, Allan},
  volume    = {2A},
  pages     = {657--687},
  publisher = {Elsevier},
  address   = {Amsterdam},
  year      = {2013},
  doi       = {10.1016/B978-0-444-53683-9.00011-6}
}

@article{snowberg2007partisan,
  author  = {Snowberg, Erik and Wolfers, Justin and Zitzewitz, Eric},
  title   = {Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections},
  journal = {Quarterly Journal of Economics},
  volume  = {122},
  number  = {2},
  pages   = {807--829},
  year    = {2007},
  doi     = {10.1162/qjec.122.2.807}
}

@article{arrow2008promise,
  author  = {Arrow, Kenneth J. and Forsythe, Robert and Gorham, Michael and Hahn, Robert and Hanson, Robin and Ledyard, John O. and Levmore, Saul and Litan, Robert and Milgrom, Paul and Nelson, Forrest D. and Neumann, George R. and Ottaviani, Marco and Schelling, Thomas C. and Shiller, Robert J. and Smith, Vernon L. and Snowberg, Erik and Sunstein, Cass R. and Tetlock, Paul C. and Tetlock, Philip E. and Varian, Hal R. and Wolfers, Justin and Zitzewitz, Eric},
  title   = {The Promise of Prediction Markets},
  journal = {Science},
  volume  = {320},
  number  = {5878},
  pages   = {877--878},
  year    = {2008},
  doi     = {10.1126/science.1157679}
}

@article{berg2008results,
  author  = {Berg, Joyce E. and Nelson, Forrest D. and Rietz, Thomas A.},
  title   = {Prediction Market Accuracy in the Long Run},
  journal = {International Journal of Forecasting},
  volume  = {24},
  number  = {2},
  pages   = {285--300},
  year    = {2008},
  doi     = {10.1016/j.ijforecast.2008.03.007}
}

@article{page2013calibrated,
  author  = {Page, Lionel and Clemen, Robert T.},
  title   = {Do Prediction Markets Produce Well-Calibrated Probability Forecasts?},
  journal = {Economic Journal},
  volume  = {123},
  number  = {568},
  pages   = {491--513},
  year    = {2013},
  doi     = {10.1111/j.1468-0297.2012.02561.x}
}

@article{rothschild2009forecasting,
  author  = {Rothschild, David},
  title   = {Forecasting Elections: Comparing Prediction Markets, Polls, and Their Biases},
  journal = {Public Opinion Quarterly},
  volume  = {73},
  number  = {5},
  pages   = {895--916},
  year    = {2009},
  doi     = {10.1093/poq/nfp082}
}

@article{rhode2004historical,
  author  = {Rhode, Paul W. and Strumpf, Koleman S.},
  title   = {Historical Presidential Betting Markets},
  journal = {Journal of Economic Perspectives},
  volume  = {18},
  number  = {2},
  pages   = {127--142},
  year    = {2004},
  doi     = {10.1257/0895330041371277}
}

@article{ottaviani2015price,
  author  = {Ottaviani, Marco and S{\o}rensen, Peter Norman},
  title   = {Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal},
  journal = {American Economic Review},
  volume  = {105},
  number  = {1},
  pages   = {1--34},
  year    = {2015},
  doi     = {10.1257/aer.20120881}
}

@article{hanson2003combinatorial,
  author  = {Hanson, Robin},
  title   = {Combinatorial Information Market Design},
  journal = {Information Systems Frontiers},
  volume  = {5},
  number  = {1},
  pages   = {107--119},
  year    = {2003},
  doi     = {10.1023/A:1022058209073}
}

@article{hanson2006manipulation,
  author  = {Hanson, Robin and Oprea, Ryan and Porter, David},
  title   = {Information Aggregation and Manipulation in an Experimental Market},
  journal = {Journal of Economic Behavior \& Organization},
  volume  = {60},
  number  = {4},
  pages   = {449--459},
  year    = {2006},
  doi     = {10.1016/j.jebo.2004.09.011}
}

@techreport{tetlock2008liquidity,
  author      = {Tetlock, Paul C.},
  title       = {Liquidity and Prediction Market Efficiency},
  institution = {SSRN},
  type        = {Working Paper},
  year        = {2008},
  doi         = {10.2139/ssrn.929916}
}

@article{croxson2014information,
  author  = {Croxson, Karen and Reade, J. James},
  title   = {Information and Efficiency: Goal Arrival in Soccer Betting},
  journal = {Economic Journal},
  volume  = {124},
  number  = {575},
  pages   = {62--91},
  year    = {2014},
  doi     = {10.1111/ecoj.12033}
}

@techreport{ng2025price,
  author      = {Ng, Hunter and Peng, Lin and Tao, Yubo and Zhou, Dexin},
  title       = {Price Discovery and Trading in Modern Prediction Markets},
  institution = {SSRN},
  type        = {Working Paper},
  number      = {5331995},
  year        = {2025},
  doi         = {10.2139/ssrn.5331995}
}

@techreport{chernov2025comovement,
  author      = {Chernov, Mikhail and Elenev, Vadim and Song, Dongho},
  title       = {The Comovement of Voter Preferences: Insights from {U.S.} Presidential Election Prediction Markets Beyond Polls},
  institution = {National Bureau of Economic Research},
  type        = {NBER Working Paper},
  number      = {33339},
  year        = {2025},
  doi         = {10.3386/w33339}
}

@techreport{reichenbach2025exploring,
  author      = {Reichenbach, Felix and Walther, Martin},
  title       = {Exploring Decentralized Prediction Markets: Accuracy, Skill, and Bias on {Polymarket}},
  institution = {SSRN},
  type        = {Working Paper},
  number      = {5910522},
  year        = {2025},
  doi         = {10.2139/ssrn.5910522}
}

% ------------------------------------------- monetary policy announcements ----
@article{kuttner2001monetary,
  author  = {Kuttner, Kenneth N.},
  title   = {Monetary Policy Surprises and Interest Rates: Evidence from the {Fed} Funds Futures Market},
  journal = {Journal of Monetary Economics},
  volume  = {47},
  number  = {3},
  pages   = {523--544},
  year    = {2001},
  doi     = {10.1016/S0304-3932(01)00055-1}
}

@article{gurkaynak2005actions,
  author  = {G{\"u}rkaynak, Refet S. and Sack, Brian and Swanson, Eric T.},
  title   = {Do Actions Speak Louder Than Words? {The} Response of Asset Prices to Monetary Policy Actions and Statements},
  journal = {International Journal of Central Banking},
  volume  = {1},
  number  = {1},
  pages   = {55--93},
  year    = {2005}
}

@article{bernanke2005explains,
  author  = {Bernanke, Ben S. and Kuttner, Kenneth N.},
  title   = {What Explains the Stock Market's Reaction to {Federal Reserve} Policy?},
  journal = {Journal of Finance},
  volume  = {60},
  number  = {3},
  pages   = {1221--1257},
  year    = {2005},
  doi     = {10.1111/j.1540-6261.2005.00760.x}
}

@article{piazzesi2008futures,
  author  = {Piazzesi, Monika and Swanson, Eric T.},
  title   = {Futures Prices as Risk-Adjusted Forecasts of Monetary Policy},
  journal = {Journal of Monetary Economics},
  volume  = {55},
  number  = {4},
  pages   = {677--691},
  year    = {2008},
  doi     = {10.1016/j.jmoneco.2008.04.003}
}

@article{nakamura2018high,
  author  = {Nakamura, Emi and Steinsson, J{\'o}n},
  title   = {High-Frequency Identification of Monetary Non-Neutrality: The Information Effect},
  journal = {Quarterly Journal of Economics},
  volume  = {133},
  number  = {3},
  pages   = {1283--1330},
  year    = {2018},
  doi     = {10.1093/qje/qjy004}
}

@article{rigobon2004impact,
  author  = {Rigobon, Roberto and Sack, Brian},
  title   = {The Impact of Monetary Policy on Asset Prices},
  journal = {Journal of Monetary Economics},
  volume  = {51},
  number  = {8},
  pages   = {1553--1575},
  year    = {2004},
  doi     = {10.1016/j.jmoneco.2004.02.004}
}

@article{ederington1993markets,
  author  = {Ederington, Louis H. and Lee, Jae Ha},
  title   = {How Markets Process Information: News Releases and Volatility},
  journal = {Journal of Finance},
  volume  = {48},
  number  = {4},
  pages   = {1161--1191},
  year    = {1993},
  doi     = {10.1111/j.1540-6261.1993.tb04750.x}
}

@article{andersen2003micro,
  author  = {Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X. and Vega, Clara},
  title   = {Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange},
  journal = {American Economic Review},
  volume  = {93},
  number  = {1},
  pages   = {38--62},
  year    = {2003},
  doi     = {10.1257/000282803321455151}
}

@article{french1986stock,
  author  = {French, Kenneth R. and Roll, Richard},
  title   = {Stock Return Variances: The Arrival of Information and the Reaction of Traders},
  journal = {Journal of Financial Economics},
  volume  = {17},
  number  = {1},
  pages   = {5--26},
  year    = {1986},
  doi     = {10.1016/0304-405X(86)90004-8}
}

% ----------------------------------------------- microstructure, discovery ----
@article{hasbrouck1995one,
  author  = {Hasbrouck, Joel},
  title   = {One Security, Many Markets: Determining the Contributions to Price Discovery},
  journal = {Journal of Finance},
  volume  = {50},
  number  = {4},
  pages   = {1175--1199},
  year    = {1995},
  doi     = {10.1111/j.1540-6261.1995.tb04054.x}
}

@article{hasbrouck2003intraday,
  author  = {Hasbrouck, Joel},
  title   = {Intraday Price Formation in {U.S.} Equity Index Markets},
  journal = {Journal of Finance},
  volume  = {58},
  number  = {6},
  pages   = {2375--2400},
  year    = {2003},
  doi     = {10.1046/j.1540-6261.2003.00609.x}
}

@article{gonzalo1995estimation,
  author  = {Gonzalo, Jes{\'u}s and Granger, Clive W. J.},
  title   = {Estimation of Common Long-Memory Components in Cointegrated Systems},
  journal = {Journal of Business \& Economic Statistics},
  volume  = {13},
  number  = {1},
  pages   = {27--35},
  year    = {1995},
  doi     = {10.1080/07350015.1995.10524576}
}

@article{baillie2002price,
  author  = {Baillie, Richard T. and Booth, G. Geoffrey and Tse, Yiuman and Zabotina, Tatyana},
  title   = {Price Discovery and Common Factor Models},
  journal = {Journal of Financial Markets},
  volume  = {5},
  number  = {3},
  pages   = {309--321},
  year    = {2002},
  doi     = {10.1016/S1386-4181(02)00027-7}
}

@article{yan2010structural,
  author  = {Yan, Bingcheng and Zivot, Eric},
  title   = {A Structural Analysis of Price Discovery Measures},
  journal = {Journal of Financial Markets},
  volume  = {13},
  number  = {1},
  pages   = {1--19},
  year    = {2010},
  doi     = {10.1016/j.finmar.2009.09.003}
}

@book{ohara1995market,
  author    = {O'Hara, Maureen},
  title     = {Market Microstructure Theory},
  publisher = {Blackwell},
  address   = {Cambridge, MA},
  year      = {1995}
}

@article{madhavan2000market,
  author  = {Madhavan, Ananth},
  title   = {Market Microstructure: A Survey},
  journal = {Journal of Financial Markets},
  volume  = {3},
  number  = {3},
  pages   = {205--258},
  year    = {2000},
  doi     = {10.1016/S1386-4181(00)00007-0}
}

@article{kyle1985continuous,
  author  = {Kyle, Albert S.},
  title   = {Continuous Auctions and Insider Trading},
  journal = {Econometrica},
  volume  = {53},
  number  = {6},
  pages   = {1315--1335},
  year    = {1985},
  doi     = {10.2307/1913210}
}

@article{glosten1985bid,
  author  = {Glosten, Lawrence R. and Milgrom, Paul R.},
  title   = {Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders},
  journal = {Journal of Financial Economics},
  volume  = {14},
  number  = {1},
  pages   = {71--100},
  year    = {1985},
  doi     = {10.1016/0304-405X(85)90044-3}
}

@article{roll1984simple,
  author  = {Roll, Richard},
  title   = {A Simple Implicit Measure of the Effective Bid--Ask Spread in an Efficient Market},
  journal = {Journal of Finance},
  volume  = {39},
  number  = {4},
  pages   = {1127--1139},
  year    = {1984},
  doi     = {10.1111/j.1540-6261.1984.tb03897.x}
}

@article{amihud2002illiquidity,
  author  = {Amihud, Yakov},
  title   = {Illiquidity and Stock Returns: Cross-Section and Time-Series Effects},
  journal = {Journal of Financial Markets},
  volume  = {5},
  number  = {1},
  pages   = {31--56},
  year    = {2002},
  doi     = {10.1016/S1386-4181(01)00024-6}
}

@article{mackinlay1997event,
  author  = {MacKinlay, A. Craig},
  title   = {Event Studies in Economics and Finance},
  journal = {Journal of Economic Literature},
  volume  = {35},
  number  = {1},
  pages   = {13--39},
  year    = {1997}
}

% ------------------------------------------------------- crypto / DeFi ----
@book{harvey2021defi,
  author    = {Harvey, Campbell R. and Ramachandran, Ashwin and Santoro, Joey},
  title     = {{DeFi} and the Future of Finance},
  publisher = {John Wiley \& Sons},
  address   = {Hoboken},
  year      = {2021}
}

@article{makarov2020trading,
  author  = {Makarov, Igor and Schoar, Antoinette},
  title   = {Trading and Arbitrage in Cryptocurrency Markets},
  journal = {Journal of Financial Economics},
  volume  = {135},
  number  = {2},
  pages   = {293--319},
  year    = {2020},
  doi     = {10.1016/j.jfineco.2019.07.001}
}

@article{cong2023wash,
  author  = {Cong, Lin William and Li, Xi and Tang, Ke and Yang, Yang},
  title   = {Crypto Wash Trading},
  journal = {Management Science},
  volume  = {69},
  number  = {11},
  pages   = {6427--6454},
  year    = {2023},
  doi     = {10.1287/mnsc.2021.02709}
}

% ------------------------------------------------------------ econometrics ----
@article{engle1982autoregressive,
  author  = {Engle, Robert F.},
  title   = {Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of {United Kingdom} Inflation},
  journal = {Econometrica},
  volume  = {50},
  number  = {4},
  pages   = {987--1007},
  year    = {1982},
  doi     = {10.2307/1912773}
}

@article{bollerslev1986generalized,
  author  = {Bollerslev, Tim},
  title   = {Generalized Autoregressive Conditional Heteroskedasticity},
  journal = {Journal of Econometrics},
  volume  = {31},
  number  = {3},
  pages   = {307--327},
  year    = {1986},
  doi     = {10.1016/0304-4076(86)90063-1}
}

@article{glosten1993relation,
  author  = {Glosten, Lawrence R. and Jagannathan, Ravi and Runkle, David E.},
  title   = {On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks},
  journal = {Journal of Finance},
  volume  = {48},
  number  = {5},
  pages   = {1779--1801},
  year    = {1993},
  doi     = {10.1111/j.1540-6261.1993.tb05128.x}
}

@article{nelson1991conditional,
  author  = {Nelson, Daniel B.},
  title   = {Conditional Heteroskedasticity in Asset Returns: A New Approach},
  journal = {Econometrica},
  volume  = {59},
  number  = {2},
  pages   = {347--370},
  year    = {1991},
  doi     = {10.2307/2938260}
}

@article{corsi2009simple,
  author  = {Corsi, Fulvio},
  title   = {A Simple Approximate Long-Memory Model of Realized Volatility},
  journal = {Journal of Financial Econometrics},
  volume  = {7},
  number  = {2},
  pages   = {174--196},
  year    = {2009},
  doi     = {10.1093/jjfinec/nbp001}
}

@article{andersen2001distribution,
  author  = {Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X. and Labys, Paul},
  title   = {The Distribution of Realized Exchange Rate Volatility},
  journal = {Journal of the American Statistical Association},
  volume  = {96},
  number  = {453},
  pages   = {42--55},
  year    = {2001},
  doi     = {10.1198/016214501750332965}
}

@article{andersen2003modeling,
  author  = {Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X. and Labys, Paul},
  title   = {Modeling and Forecasting Realized Volatility},
  journal = {Econometrica},
  volume  = {71},
  number  = {2},
  pages   = {579--625},
  year    = {2003},
  doi     = {10.1111/1468-0262.00418}
}

@article{granger1969investigating,
  author  = {Granger, Clive W. J.},
  title   = {Investigating Causal Relations by Econometric Models and Cross-Spectral Methods},
  journal = {Econometrica},
  volume  = {37},
  number  = {3},
  pages   = {424--438},
  year    = {1969},
  doi     = {10.2307/1912791}
}

@article{sims1980macroeconomics,
  author  = {Sims, Christopher A.},
  title   = {Macroeconomics and Reality},
  journal = {Econometrica},
  volume  = {48},
  number  = {1},
  pages   = {1--48},
  year    = {1980},
  doi     = {10.2307/1912017}
}

@book{lutkepohl2005new,
  author    = {L{\"u}tkepohl, Helmut},
  title     = {New Introduction to Multiple Time Series Analysis},
  publisher = {Springer},
  address   = {Berlin},
  year      = {2005},
  doi       = {10.1007/978-3-540-27752-1}
}

@article{dickey1979distribution,
  author  = {Dickey, David A. and Fuller, Wayne A.},
  title   = {Distribution of the Estimators for Autoregressive Time Series with a Unit Root},
  journal = {Journal of the American Statistical Association},
  volume  = {74},
  number  = {366},
  pages   = {427--431},
  year    = {1979},
  doi     = {10.1080/01621459.1979.10482531}
}

@article{jarque1980efficient,
  author  = {Jarque, Carlos M. and Bera, Anil K.},
  title   = {Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals},
  journal = {Economics Letters},
  volume  = {6},
  number  = {3},
  pages   = {255--259},
  year    = {1980},
  doi     = {10.1016/0165-1765(80)90024-5}
}

@article{newey1987simple,
  author  = {Newey, Whitney K. and West, Kenneth D.},
  title   = {A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix},
  journal = {Econometrica},
  volume  = {55},
  number  = {3},
  pages   = {703--708},
  year    = {1987},
  doi     = {10.2307/1913610}
}

@article{white1980heteroskedasticity,
  author  = {White, Halbert},
  title   = {A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity},
  journal = {Econometrica},
  volume  = {48},
  number  = {4},
  pages   = {817--838},
  year    = {1980},
  doi     = {10.2307/1912934}
}

@article{akaike1974new,
  author  = {Akaike, Hirotugu},
  title   = {A New Look at the Statistical Model Identification},
  journal = {IEEE Transactions on Automatic Control},
  volume  = {19},
  number  = {6},
  pages   = {716--723},
  year    = {1974},
  doi     = {10.1109/TAC.1974.1100705}
}

@article{schwarz1978estimating,
  author  = {Schwarz, Gideon},
  title   = {Estimating the Dimension of a Model},
  journal = {Annals of Statistics},
  volume  = {6},
  number  = {2},
  pages   = {461--464},
  year    = {1978},
  doi     = {10.1214/aos/1176344136}
}