Editor’s introduction Luc BauwensWinfried PohlmeierDavid Veredas Editorial 02 December 2005 Pages: 791 - 794
Modelling financial transaction price movements: a dynamic integer count data model Roman LiesenfeldIngmar NolteWinfried Pohlmeier Original Article 27 September 2005 Pages: 795 - 825
Intraday stock prices, volume, and duration: a nonparametric conditional density analysis Anthony S. TayChristopher Ting Original Article 26 October 2005 Pages: 827 - 842
Macroeconomic surprises and short-term behaviour in bond futures David Veredas Original Article 19 November 2005 Pages: 843 - 866
How large is liquidity risk in an automated auction market? Pierre GiotJoachim Grammig Original Article 19 October 2005 Pages: 867 - 887
Exchange rate volatility and the mixture of distribution hypothesis Luc BauwensDagfinn RimeGenaro Sucarrat Original Article 26 October 2005 Pages: 889 - 911
Asymmetries in bid and ask responses to innovations in the trading process Alvaro EscribanoRoberto Pascual Original Article 23 November 2005 Pages: 913 - 946
The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market Walid Ben OmraneHervé Van Oppens Original Article 04 November 2005 Pages: 947 - 971
Order aggressiveness and order book dynamics Anthony D. HallNikolaus Hautsch Original Article 26 November 2005 Pages: 973 - 1005
Liquidity supply and adverse selection in a pure limit order book market Stefan FreyJoachim Grammig Original Paper 22 November 2005 Pages: 1007 - 1033