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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 = 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{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{gu2020empirical,415  author  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