1. Editor’s introduction

   • Luc Bauwens
   • Winfried Pohlmeier
   • David Veredas

   Editorial 02 December 2005 Pages: 791 - 794

2. Modelling financial transaction price movements: a dynamic integer count data model

   • Roman Liesenfeld
   • Ingmar Nolte
   • Winfried Pohlmeier

   Original Article 27 September 2005 Pages: 795 - 825

   

3. Intraday stock prices, volume, and duration: a nonparametric conditional density analysis

   • Anthony S. Tay
   • Christopher Ting

   Original Article 26 October 2005 Pages: 827 - 842

   

4. Macroeconomic surprises and short-term behaviour in bond futures

   • David Veredas

   Original Article 19 November 2005 Pages: 843 - 866

   

5. How large is liquidity risk in an automated auction market?

   • Pierre Giot
   • Joachim Grammig

   Original Article 19 October 2005 Pages: 867 - 887

   

6. Exchange rate volatility and the mixture of distribution hypothesis

   • Luc Bauwens
   • Dagfinn Rime
   • Genaro Sucarrat

   Original Article 26 October 2005 Pages: 889 - 911

   

7. Asymmetries in bid and ask responses to innovations in the trading process

   • Alvaro Escribano
   • Roberto Pascual

   Original Article 23 November 2005 Pages: 913 - 946

   

8. The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market

   • Walid Ben Omrane
   • Hervé Van Oppens

   Original Article 04 November 2005 Pages: 947 - 971

   

9. Order aggressiveness and order book dynamics

   • Anthony D. Hall
   • Nikolaus Hautsch

   Original Article 26 November 2005 Pages: 973 - 1005

   

10. Liquidity supply and adverse selection in a pure limit order book market

    • Stefan Frey
    • Joachim Grammig

    Original Paper 22 November 2005 Pages: 1007 - 1033