The Returns Generation Process, Returns Variance, and the Effect of Thinness in Securities Markets Kalman J. Cohen; Steven F. Maier; Robert A. Schwartz; David K. Whitcomb Journal of Finance 1978 33(1), 149
Limit Orders, Market Structure, and the Returns Generation Process Kalman J. Cohen; Steven F. Maier; Robert A. Schwartz; David K. Whitcomb Journal of Finance 1978 33(3), 723