... n15See, for example, Greenspan, 1999, and \Finance and Economics: Alan Greenspan's miracle cure,"Economist, October 24, 1998, pp.75-76. and \A Review of Financial Market Events in Autumn ... without the market variables and ¯nd that these variables do not have any impact whenincluded along with the order °ow variables. The results with the market variables are not presented in the tables.1 ... t o8 The Lee and Ready (1991) method was used to sign trades. Of course, there is inevitably someassignment error, so the resulting order imbalances are estimates. Yet, as shown in Lee and Radhakrishna(2000),...