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1% References enter this file ONLY after verification per CLAUDE.md §21.32% (title, authors, year, journal, volume/pages, DOI, and that the work supports3% the sentence citing it). Candidates and their verification status live in4% docs/LITERATURE_MAP.md.56% ---- Stream: liquidity, commonality, OHLCV-based measurement ----7% Verified via OpenAlex/Crossref 2026-07-13.8@article{chordia2000commonality,9  author  = {Chordia, Tarun and Roll, Richard and Subrahmanyam, Avanidhar},10  title   = {Commonality in liquidity},11  journal = {Journal of Financial Economics},12  year    = {2000},13  volume  = {56},14  number  = {1},15  pages   = {3--28},16  doi     = {10.1016/S0304-405X(99)00057-4}17}18@article{hasbrouck2001common,19  author  = {Hasbrouck, Joel and Seppi, Duane J.},20  title   = {Common factors in prices, order flows, and liquidity},21  journal = {Journal of Financial Economics},22  year    = {2001},23  volume  = {59},24  number  = {3},25  pages   = {383--411},26  doi     = {10.1016/S0304-405X(00)00091-X}27}28@article{amihud2002illiquidity,29  author  = {Amihud, Yakov},30  title   = {Illiquidity and stock returns: cross-section and time-series effects},31  journal = {Journal of Financial Markets},32  year    = {2002},33  volume  = {5},34  number  = {1},35  pages   = {31--56},36  doi     = {10.1016/S1386-4181(01)00024-6}37}38@article{corwin2012simple,39  author  = {Corwin, Shane A. and Schultz, Paul},40  title   = {A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices},41  journal = {Journal of Finance},42  year    = {2012},43  volume  = {67},44  number  = {2},45  pages   = {719--760},46  doi     = {10.1111/j.1540-6261.2012.01729.x}47}48@article{roll1984simple,49  author  = {Roll, Richard},50  title   = {A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market},51  journal = {Journal of Finance},52  year    = {1984},53  volume  = {39},54  number  = {4},55  pages   = {1127--1139},56  doi     = {10.1111/j.1540-6261.1984.tb03897.x}57}58@article{pastor2003liquidity,59  author  = {P{\'a}stor, {\v{L}}ubo{\v{s}} and Stambaugh, Robert F.},60  title   = {Liquidity Risk and Expected Stock Returns},61  journal = {Journal of Political Economy},62  year    = {2003},63  volume  = {111},64  number  = {3},65  pages   = {642--685},66  doi     = {10.1086/374184}67}68@article{acharya2005asset,69  author  = {Acharya, Viral V. and Pedersen, Lasse Heje},70  title   = {Asset pricing with liquidity risk},71  journal = {Journal of Financial Economics},72  year    = {2005},73  volume  = {77},74  number  = {2},75  pages   = {375--410},76  doi     = {10.1016/j.jfineco.2004.06.007}77}78@article{karolyi2012understanding,79  author  = {Karolyi, G. Andrew and Lee, Kuan-Hui and van Dijk, Mathijs A.},80  title   = {Understanding commonality in liquidity around the world},81  journal = {Journal of Financial Economics},82  year    = {2012},83  volume  = {105},84  number  = {1},85  pages   = {82--112},86  doi     = {10.1016/j.jfineco.2011.12.008}87}88@article{parkinson1980extreme,89  author  = {Parkinson, Michael},90  title   = {The Extreme Value Method for Estimating the Variance of the Rate of Return},91  journal = {Journal of Business},92  year    = {1980},93  volume  = {53},94  number  = {1},95  pages   = {61--65},96  doi     = {10.1086/296071}97}98@article{garman1980estimation,99  author  = {Garman, Mark B. and Klass, Michael J.},100  title   = {On the Estimation of Security Price Volatilities from Historical Data},101  journal = {Journal of Business},102  year    = {1980},103  volume  = {53},104  number  = {1},105  pages   = {67--78},106  doi     = {10.1086/296072}107}108@article{goyenko2009liquidity,109  author  = {Goyenko, Ruslan Y. and Holden, Craig W. and Trzcinka, Charles A.},110  title   = {Do liquidity measures measure liquidity?},111  journal = {Journal of Financial Economics},112  year    = {2009},113  volume  = {92},114  number  = {2},115  pages   = {153--181},116  doi     = {10.1016/j.jfineco.2008.06.002}117}118% ---- Stream: HFT / algorithmic trading / fragility / fragmentation / ETF ----119% Verified via OpenAlex 2026-07-13.120@article{hendershott2011algorithmic,121  author  = {Hendershott, Terrence and Jones, Charles M. and Menkveld, Albert J.},122  title   = {Does Algorithmic Trading Improve Liquidity?},123  journal = {Journal of Finance},124  year    = {2011},125  volume  = {66},126  number  = {1},127  pages   = {1--33},128  doi     = {10.1111/j.1540-6261.2010.01624.x}129}130@article{kirilenko2017flash,131  author  = {Kirilenko, Andrei and Kyle, Albert S. and Samadi, Mehrdad and Tuzun, Tugkan},132  title   = {The Flash Crash: High-Frequency Trading in an Electronic Market},133  journal = {Journal of Finance},134  year    = {2017},135  volume  = {72},136  number  = {3},137  pages   = {967--998},138  doi     = {10.1111/jofi.12498}139}140@article{menkveld2013high,141  author  = {Menkveld, Albert J.},142  title   = {High Frequency Trading and the New Market Makers},143  journal = {Journal of Financial Markets},144  year    = {2013},145  volume  = {16},146  number  = {4},147  pages   = {712--740},148  doi     = {10.1016/j.finmar.2013.06.006}149}150@article{brogaard2014high,151  author  = {Brogaard, Jonathan and Hendershott, Terrence and Riordan, Ryan},152  title   = {High-Frequency Trading and Price Discovery},153  journal = {Review of Financial Studies},154  year    = {2014},155  volume  = {27},156  number  = {8},157  pages   = {2267--2306},158  doi     = {10.1093/rfs/hhu032}159}160@article{budish2015high,161  author  = {Budish, Eric and Cramton, Peter and Shim, John},162  title   = {The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response},163  journal = {Quarterly Journal of Economics},164  year    = {2015},165  volume  = {130},166  number  = {4},167  pages   = {1547--1621},168  doi     = {10.1093/qje/qjv027}169}170@article{ohara2015high,171  author  = {O'Hara, Maureen},172  title   = {High Frequency Market Microstructure},173  journal = {Journal of Financial Economics},174  year    = {2015},175  volume  = {116},176  number  = {2},177  pages   = {257--270},178  doi     = {10.1016/j.jfineco.2015.01.003}179}180@article{bendavid2018etfs,181  author  = {Ben-David, Itzhak and Franzoni, Francesco and Moussawi, Rabih},182  title   = {Do {ETFs} Increase Volatility?},183  journal = {Journal of Finance},184  year    = {2018},185  volume  = {73},186  number  = {6},187  pages   = {2471--2535},188  doi     = {10.1111/jofi.12727}189}190@article{madhavan2012exchange,191  author  = {Madhavan, Ananth},192  title   = {Exchange-Traded Funds, Market Structure, and the Flash Crash},193  journal = {Financial Analysts Journal},194  year    = {2012},195  volume  = {68},196  number  = {4},197  pages   = {20--35},198  doi     = {10.2469/faj.v68.n4.6}199}200@article{boehmer2021algorithmic,201  author  = {Boehmer, Ekkehart and Fong, Kingsley and Wu, Juan Julie},202  title   = {Algorithmic Trading and Market Quality: International Evidence},203  journal = {Journal of Financial and Quantitative Analysis},204  year    = {2021},205  volume  = {56},206  number  = {8},207  pages   = {2659--2688},208  doi     = {10.1017/S0022109020000782}209}210@article{hasbrouck2013low,211  author  = {Hasbrouck, Joel and Saar, Gideon},212  title   = {Low-Latency Trading},213  journal = {Journal of Financial Markets},214  year    = {2013},215  volume  = {16},216  number  = {4},217  pages   = {646--679},218  doi     = {10.1016/j.finmar.2013.05.003}219}220@article{baldauf2020high,221  author  = {Baldauf, Markus and Mollner, Joshua},222  title   = {High-Frequency Trading and Market Performance},223  journal = {Journal of Finance},224  year    = {2020},225  volume  = {75},226  number  = {3},227  pages   = {1495--1526},228  doi     = {10.1111/jofi.12882}229}230% ---- Stream: spillover networks, contagion, systemic risk, Hawkes ----231% Verified via OpenAlex/Crossref 2026-07-13.232@article{diebold2014network,233  author  = {Diebold, Francis X. and Y{\i}lmaz, Kamil},234  title   = {On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms},235  journal = {Journal of Econometrics},236  year    = {2014},237  volume  = {182},238  number  = {1},239  pages   = {119--134},240  doi     = {10.1016/j.jeconom.2014.04.012}241}242@article{diebold2012better,243  author  = {Diebold, Francis X. and Y{\i}lmaz, Kamil},244  title   = {Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers},245  journal = {International Journal of Forecasting},246  year    = {2012},247  volume  = {28},248  number  = {1},249  pages   = {57--66},250  doi     = 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Craig},356  title   = {When Are Contrarian Profits Due to Stock Market Overreaction?},357  journal = {Review of Financial Studies},358  year    = {1990},359  volume  = {3},360  number  = {2},361  pages   = {175--205},362  doi     = {10.1093/rfs/3.2.175}363}364@article{hou2007industry,365  author  = {Hou, Kewei},366  title   = {Industry Information Diffusion and the Lead-Lag Effect in Stock Returns},367  journal = {Review of Financial Studies},368  year    = {2007},369  volume  = {20},370  number  = {4},371  pages   = {1113--1138},372  doi     = {10.1093/revfin/hhm003}373}374@article{andersen1997intraday,375  author  = {Andersen, Torben G. and Bollerslev, Tim},376  title   = {Intraday Periodicity and Volatility Persistence in Financial Markets},377  journal = {Journal of Empirical Finance},378  year    = {1997},379  volume  = {4},380  number  = {2--3},381  pages   = {115--158},382  doi     = {10.1016/S0927-5398(97)00004-2}383}384@article{lee2008jumps,385  author  = {Lee, Suzanne S. and Mykland, Per A.},386  title   = {Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics},387  journal = {Review of Financial Studies},388  year    = {2008},389  volume  = {21},390  number  = {6},391  pages   = {2535--2563},392  doi     = {10.1093/rfs/hhm056}393}394@article{barndorffnielsen2004power,395  author  = {Barndorff-Nielsen, Ole E. and Shephard, Neil},396  title   = {Power and Bipower Variation with Stochastic Volatility and Jumps},397  journal = {Journal of Financial Econometrics},398  year    = {2004},399  volume  = {2},400  number  = {1},401  pages   = {1--37},402  doi     = {10.1093/jjfinec/nbh001}403}404@article{aitsahalia2009testing,405  author  = {A{\"i}t-Sahalia, Yacine and Jacod, Jean},406  title   = {Testing for Jumps in a Discretely Observed Process},407  journal = {Annals of Statistics},408  year    = {2009},409  volume  = {37},410  number  = {1},411  pages   = {184--222},412  doi     = {10.1214/07-AOS568}413}414@article{easley2012flow,415  author  = {Easley, David and L{\'o}pez de Prado, Marcos M. and O'Hara, Maureen},416  title   = {Flow Toxicity and Liquidity in a High-Frequency World},417  journal = {Review of Financial Studies},418  year    = {2012},419  volume  = {25},420  number  = {5},421  pages   = {1457--1493},422  doi     = {10.1093/rfs/hhs053}423}424@article{andersen2014vpin,425  author  = {Andersen, Torben G. and Bondarenko, Oleg},426  title   = {{VPIN} and the Flash Crash},427  journal = {Journal of Financial Markets},428  year    = {2014},429  volume  = {17},430  pages   = {1--46},431  doi     = {10.1016/j.finmar.2013.05.005}432}433@article{epps1979comovements,434  author  = {Epps, Thomas W.},435  title   = {Comovements in Stock Prices in the Very Short Run},436  journal = {Journal of the American Statistical Association},437  year    = {1979},438  volume  = {74},439  number  = {366},440  pages   = {291--298},441  doi     = {10.1080/01621459.1979.10482508}442}443% ---- Stream: contagion theory, fire sales, ownership 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