K. Back and S. Baruch, Working Orders in Limit Order Markets and Floor Exchanges, The Journal of Finance, vol.5, issue.4, pp.1589-1621, 2007.
DOI : 10.1111/j.1540-6261.2007.01252.x

B. Biais, P. Hillion, and C. Spatt, An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse, The Journal of Finance, vol.14, issue.5, pp.1655-1689, 1995.
DOI : 10.1111/j.1540-6261.1995.tb05192.x

B. Biais, D. Martimort, and J. Rochet, Competing Mechanisms in a Common Value Environment, Econometrica, vol.68, issue.4, pp.799-838, 2000.
DOI : 10.1111/1468-0262.00138

O. Brandouy, P. Barneto, and L. A. Leger, Asymmetric information, imitative behaviour and communication: price formation in an experimental asset market, The European Journal of Finance, vol.80, issue.5, pp.393-419, 2003.
DOI : 10.1016/0749-5978(91)90042-R

M. Brunnermeier, Information Leakage and Market Efficiency, Review of Financial Studies, vol.18, issue.2, pp.417-457, 2005.
DOI : 10.1093/rfs/hhi015

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.304.9415

C. Carvalho, N. Klagge, and E. Moench, The Persistent effects of a false news shock

T. Chordia, R. Roll, and A. Subrahmanyam, Commonality in liquidity, Commonality in Liquidity, pp.3-28, 2000.
DOI : 10.1016/S0304-405X(99)00057-4

T. Chordia, R. Roll, and A. Subrahmanyam, Market Liquidity and Trading Activity, Market Liquidity and Trading Activity, pp.501-530, 2001.
DOI : 10.1111/0022-1082.00335

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.35.3257

J. Colliard and T. Foucault, Trading Fees and Efficiency in Limit Order Markets, Review of Financial Studies, vol.25, issue.11, pp.3389-3421, 2012.
DOI : 10.1093/rfs/hhs089

URL : https://hal.archives-ouvertes.fr/hal-00813274

K. Daniel, D. Hirshleifer, and A. Subrahmanyam, Investor Psychology and Security Market Under- and Overreactions, The Journal of Finance, vol.51, issue.Supplement, pp.1839-1885, 1998.
DOI : 10.1111/0022-1082.00077

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.587.3494

D. Vigna, S. Pollet, and J. M. , Investor inattention and friday earnings announcements, Journal of Finance, vol.64, pp.709-749, 2009.

J. Dow, I. Goldstein, and A. Guembel, Incentives for Information Production in Markets where Prices Affect Real Investment, Journal of the European Economic Association, 2011.
DOI : 10.1093/jeea/jvw023

D. Duffie, N. Garleanu, and L. Pedersen, Over-the-Counter Markets, Econometrica, vol.73, issue.6, pp.1815-1847, 2005.
DOI : 10.1111/j.1468-0262.2005.00639.x

D. Duffie, N. Garleanu, and L. Pedersen, Valuation in Over-the-Counter Markets, Review of Financial Studies, vol.20, issue.6, pp.1865-1900, 2007.
DOI : 10.1093/rfs/hhm037

D. Duffie, Presidential Address: Asset Price Dynamics with Slow-Moving Capital, The Journal of Finance, vol.65, issue.4, pp.1237-1267, 2010.
DOI : 10.1111/j.1540-6261.2010.01569.x

L. H. Ederington and L. J. , The Short-Run Dynamics of the Price Adjustment to New Information, The Journal of Financial and Quantitative Analysis, vol.30, issue.1, pp.117-134, 1995.
DOI : 10.2307/2331256

R. Engle, M. Fleming, E. Ghysels, and G. Nguyen, Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models, SSRN Electronic Journal, 2011.
DOI : 10.2139/ssrn.2195655

M. J. Fleming and E. M. Remolona, Price formation and liquidity in the U.S. treasury market: the response to public information, Journal of Finance, vol.54, 1901.

T. Foucault, Order flow composition and trading costs in a dynamic limit order market, Journal of Financial Markets, vol.2, issue.2, pp.99-134, 1999.
DOI : 10.1016/S1386-4181(98)00012-3

URL : https://hal.archives-ouvertes.fr/hal-00601598

T. Foucault, Limit Order Markets, Encyclopedia of Quantitative Finance, 2010.

T. Foucault, O. Kadan, and E. Kandel, Limit Order Book as a Market for Liquidity, Review of Financial Studies, vol.18, issue.4, pp.1171-1217, 2005.
DOI : 10.1093/rfs/hhi029

URL : https://hal.archives-ouvertes.fr/halshs-00005043

T. Foucault, O. Kadan, and E. Kandel, Liquidity Cycles and Make/Take Fees in Electronic Markets, The Journal of Finance, vol.14, issue.1, pp.299-341, 2013.
DOI : 10.1111/j.1540-6261.2012.01801.x

URL : https://hal.archives-ouvertes.fr/hal-00489430

T. Foucault and A. Menkveld, Competition for Order Flow and Smart Order Routing Systems, The Journal of Finance, vol.5, issue.1, pp.119-158, 2008.
DOI : 10.1111/j.1540-6261.2008.01312.x

URL : https://hal.archives-ouvertes.fr/hal-00554030

T. Foucault, A. Roell, and P. Sandas, Market Making with Costly Monitoring: An Analysis of the SOES Controversy, Review of Financial Studies, vol.16, issue.2, pp.345-384, 2003.
DOI : 10.1093/rfs/hhg005

URL : https://hal.archives-ouvertes.fr/hal-00601494

K. Froot, D. Scharfstein, and J. Stein, Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation, The Journal of Finance, vol.50, issue.4, pp.1461-1484, 1992.
DOI : 10.1111/j.1540-6261.1992.tb04665.x

J. Gajewski and C. Gresse, Centralised order books versus hybrid order books: A paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange), Journal of Banking & Finance, vol.31, issue.9, pp.2906-2924, 2007.
DOI : 10.1016/j.jbankfin.2007.04.015

URL : https://hal.archives-ouvertes.fr/halshs-00340104

L. Glosten and P. Milgrom, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, vol.14, issue.1, pp.71-100, 1989.
DOI : 10.1016/0304-405X(85)90044-3

L. Glosten, Is the Electronic Open Limit Order Book Inevitable?, The Journal of Finance, vol.50, issue.4, pp.1127-1161, 1994.
DOI : 10.1111/j.1540-6261.1994.tb02450.x

R. Goettler, C. Parlour, and U. Rajan, Equilibrium in a Dynamic Limit Order Market, Equilibrium in a dynamic limit order market, pp.2149-2192, 2005.
DOI : 10.1111/j.1540-6261.2005.00795.x

R. Goettler, C. Parlour, and U. Rajan, Informed traders and limit order markets, Journal of Financial Economics, vol.93, issue.1, pp.67-87, 2009.
DOI : 10.1016/j.jfineco.2008.08.002

T. C. Green, Economic News and the Impact of Trading on Bond Prices, The Journal of Finance, vol.8, issue.3, pp.1201-1233, 2004.
DOI : 10.1111/j.1540-6261.2004.00660.x

C. Gresse, The Effect of Crossing-Network Trading on Dealer Market's Bid-Ask Spreads, European Financial Management, vol.22, issue.2, pp.143-160, 2006.
DOI : 10.1111/0022-1082.00375

C. Gresse, Market fragmentation in Europe: Assessment and prospects for market quality, Foresight project on The Future of Computer Trading in Financial Markets - Driver Review, 2012.

A. Gross-klussmann and N. Hautsch, When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions, Journal of Empirical Finance, vol.18, issue.2, pp.321-340, 2011.
DOI : 10.1016/j.jempfin.2010.11.009

. Hasbrouck, Empirical Market Microstructure: The Institution, Economics, and Econometrics of Securities Trading, 2007.

J. Hasbrouck and G. Saar, Technology and liquidity provision: The blurring of traditional definitions, Journal of Financial Markets, vol.12, issue.2, pp.143-172, 2009.
DOI : 10.1016/j.finmar.2008.06.002

J. Hasbrouck, High frequency quoting: short-term volatility in bids and offers, Working Paper, 2013.

T. Hendershott, C. Jones, and A. Menkveld, Does Algorithmic Trading Improve Liquidity?, The Journal of Finance, vol.22, issue.1, pp.1-33, 2011.
DOI : 10.1111/j.1540-6261.2010.01624.x

B. Hollifield, R. Miller, and P. Sandas, Empirical Analysis of Limit Order Markets, Review of Economic Studies, vol.71, issue.4, pp.1027-1063, 2004.
DOI : 10.1111/0034-6527.00313

B. Hollifield, R. Miller, P. Sandas, and S. Slive, Estimating the Gains from Trade in Limit-Order Markets, The Journal of Finance, vol.78, issue.6, pp.2753-2804, 2006.
DOI : 10.1111/j.1540-6261.2006.01004.x

B. Jovanovic and A. Menkveld, Middlemen in Limit-Order Markets, SSRN Electronic Journal, 2010.
DOI : 10.2139/ssrn.1624329

O. Kim and R. E. Verrecchia, Trading Volume and Price Reactions to Public Announcements, Journal of Accounting Research, vol.29, issue.2, pp.302-323, 1991.
DOI : 10.2307/2491051

O. Kim and R. E. Verrecchia, Market liquidity and volume around earnings announcements, Journal of Accounting and Economics, vol.17, issue.1-2, pp.41-67, 1994.
DOI : 10.1016/0165-4101(94)90004-3

A. Kyle, Continuous Auctions and Insider Trading, Continuous auctions and insider trading, pp.1315-1336, 1985.
DOI : 10.2307/1913210

R. Lagos and G. Rocheteau, Liquidity in Asset Markets with Search Frictions, SSRN Electronic Journal, vol.77, pp.403-426, 2009.
DOI : 10.2139/ssrn.1022042

R. Lagos, G. Rocheteau, and P. Weill, Crises and liquidity in over-the-counter markets, Journal of Economic Theory, vol.146, issue.6, pp.2169-2205, 2011.
DOI : 10.1016/j.jet.2011.10.001

N. G. Mankiw and R. Reis, Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve, The Quarterly Journal of Economics, vol.117, issue.4, pp.1295-1328, 2002.
DOI : 10.1162/003355302320935034

J. Mondria, Portfolio choice, attention allocation, and price comovement, Journal of Economic Theory, vol.145, issue.5, pp.1837-1864, 2010.
DOI : 10.1016/j.jet.2010.03.001

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.318.7763

E. Pagnotta, Information and liquidity trading at optimal frequencies, Working Paper, 2010.

C. Parlour, Price Dynamics in Limit Order Markets, Review of Financial Studies, vol.11, issue.4, pp.789-816, 1998.
DOI : 10.1093/rfs/11.4.789

C. Parlour and D. Seppi, Liquidity-Based Competition for Order Flow, Review of Financial Studies, vol.16, issue.2, pp.301-343, 2003.
DOI : 10.1093/rfs/hhg008

C. Parlour and D. Seppi, Limit order markets: a survey, Handbook of Financial Intermediation & Banking, 2008.

L. Peng and W. Xiong, Investor attention, overconfidence and category learning, Journal of Financial Economics, vol.80, issue.3, pp.563-602, 2006.
DOI : 10.1016/j.jfineco.2005.05.003

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.307.9786

I. Rosu, A Dynamic Model of the Limit Order Book, Review of Financial Studies, vol.22, issue.11, pp.4601-4641, 2009.
DOI : 10.1093/rfs/hhp011

URL : https://hal.archives-ouvertes.fr/hal-00515873

I. Rosu, Liquidity and information in order driven markets, Working Paper [65] Securities and Exchange Commission, Concept release on equity market structure, pp.3594-3614, 2010.

D. Seppi, Liquidity Provision with Limit Orders and a Strategic Specialist, Review of Financial Studies, vol.10, issue.1, pp.103-150, 1997.
DOI : 10.1093/rfs/10.1.103

C. Sims, Implications of rational inattention, Journal of Monetary Economics, vol.50, issue.3, pp.665-690, 2003.
DOI : 10.1016/S0304-3932(03)00029-1

P. C. Tetlock, Does Public Financial News Resolve Asymmetric Information?, Review of Financial Studies, vol.23, issue.9, pp.3520-3557, 2010.
DOI : 10.1093/rfs/hhq052

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.688.3980

S. Van-nieuwerburgh and L. Veldkamp, Information Immobility and the Home Bias Puzzle, The Journal of Finance, vol.60, issue.3, pp.1187-1215, 2009.
DOI : 10.1111/j.1540-6261.2009.01462.x

D. Vayanos and P. Weill, A Search-based theory of the on-the-run phenomenon, Journal of Finance, vol.63, pp.1351-1389, 2008.

P. Weill, Leaning Against the Wind, Leaning against the wind, pp.1329-1354, 2007.
DOI : 10.1111/j.1467-937X.2007.00451.x

P. Weill, Liquidity premia in dynamic bargaining markets, Journal of Economic Theory, vol.140, issue.1, pp.66-96, 2008.
DOI : 10.1016/j.jet.2007.08.004