@techreport{NBERw13848,
 title = "Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk",
 author = "Bruce Lehmann",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "13848",
 year = "2008",
 month = "March",
 URL = "http://www.nber.org/papers/w13848",
}