-
1
-
-
0002816156
-
A theory of intraday patterns: Volume and price variability
-
Admati A., Pfleiderer P. A theory of intraday patterns: volume and price variability. Rev. Financial Stud. 1:1988;3-40.
-
(1988)
Rev. Financial Stud.
, vol.1
, pp. 3-40
-
-
Admati, A.1
Pfleiderer, P.2
-
2
-
-
49149144829
-
Dealership markets: Market making with inventory
-
Amihud Y., Mendelson H. Dealership markets: market making with inventory. J. Financial Econ. 8:1980;31-53.
-
(1980)
J. Financial Econ.
, vol.8
, pp. 31-53
-
-
Amihud, Y.1
Mendelson, H.2
-
3
-
-
0031116435
-
Are Banks market timers or market makers? Explaining foreign exchange trading profits
-
Ammer, J., Brunner., 1997. Are Banks market timers or market makers? Explaining foreign exchange trading profits. J. Int. Financial markets, Institutions & Money 7, 43-60.
-
(1997)
J. Int. Financial Markets, Institutions & Money
, vol.7
, pp. 43-60
-
-
Ammer, J.1
Brunner2
-
4
-
-
0001007764
-
Bid-ask spreads in the interbank foreign exchange market
-
Bessembinder H. Bid-ask spreads in the interbank foreign exchange market. J. Financial Econ. 35:1994;317-348.
-
(1994)
J. Financial Econ.
, vol.35
, pp. 317-348
-
-
Bessembinder, H.1
-
5
-
-
84993842144
-
Trading patterns and prices in the interbank foreign exchange market
-
Bollerslev T., Domowitz I. Trading patterns and prices in the interbank foreign exchange market. J. Finance. 48:1993;1421-1444.
-
(1993)
J. Finance
, vol.48
, pp. 1421-1444
-
-
Bollerslev, T.1
Domowitz, I.2
-
6
-
-
0000803669
-
Bid-ask spreads and volatility in the foreign exchange market: An empirical analysis
-
Bollerslev T., Melvin M. Bid-ask spreads and volatility in the foreign exchange market: an empirical analysis. J. Int. Econ. 36:1994;355-372.
-
(1994)
J. Int. Econ.
, vol.36
, pp. 355-372
-
-
Bollerslev, T.1
Melvin, M.2
-
7
-
-
0000048483
-
Market microstructure effects of government intervention in the foreign market
-
Bossaerts P., Hillion P. Market microstructure effects of government intervention in the foreign market. Rev. Financial Stud. 4:1991;513-541.
-
(1991)
Rev. Financial Stud.
, vol.4
, pp. 513-541
-
-
Bossaerts, P.1
Hillion, P.2
-
8
-
-
84944836521
-
Information effects on the bid-ask spread
-
Copeland T., Galai D. Information effects on the bid-ask spread. J. Finance. 38:1983;1457-1469.
-
(1983)
J. Finance
, vol.38
, pp. 1457-1469
-
-
Copeland, T.1
Galai, D.2
-
10
-
-
0010192927
-
-
Concordia University typescript, December.
-
Flood, M., Huisman, R., Koedijk, K., Mahieu, R., 1996. Price discovery in multiple-dealer financial markets: the effect of pre-trade transparency. Concordia University typescript, December.
-
(1996)
Price Discovery in Multiple-dealer Financial Markets: The Effect of Pre-trade Transparency
-
-
Flood, M.1
Huisman, R.2
Koedijk, K.3
Mahieu, R.4
-
11
-
-
0000473869
-
Market microstructure
-
Garman M. Market microstructure. J. Financial Econ. 3:1976;257-275.
-
(1976)
J. Financial Econ.
, vol.3
, pp. 257-275
-
-
Garman, M.1
-
12
-
-
0000611230
-
Exchange rate risk and transactions costs: Evidence from bid ask spreads
-
Glassman D. Exchange rate risk and transactions costs: evidence from bid ask spreads. J. Int. Money Finance. 6:1987;479-490.
-
(1987)
J. Int. Money Finance
, vol.6
, pp. 479-490
-
-
Glassman, D.1
-
13
-
-
0345401653
-
Bid, ask and transaction prices in a specialist market with heterogeneously informed agents
-
Glosten L., Milgrom P. Bid, ask and transaction prices in a specialist market with heterogeneously informed agents. J. Financial Econ. 14:1985;71-100.
-
(1985)
J. Financial Econ.
, vol.14
, pp. 71-100
-
-
Glosten, L.1
Milgrom, P.2
-
15
-
-
0000096432
-
One day in June 1993: A study of the working of the Reuters 2000-2 electronic foreign exchange trading system
-
In: Frankel, J., Galli, G., Giovannini, A. (Eds.) University of Chicago Press, Chicago, IL
-
Goodhart, C., Ito, T., Payne, R., 1996. One day in June 1993: a study of the working of the Reuters 2000-2 electronic foreign exchange trading system. In: Frankel, J., Galli, G., Giovannini, A. (Eds.), The Microstructure of Foreign Exchange Markets. University of Chicago Press, Chicago, IL, pp. 107-179.
-
(1996)
The Microstructure of Foreign Exchange Markets
, pp. 107-179
-
-
Goodhart, C.1
Ito, T.2
Payne, R.3
-
16
-
-
0001519132
-
Futures price variability: A test of maturity and volume effects
-
Grammatikos T., Saunders A. Futures price variability: a test of maturity and volume effects. J. Bus. 59:1986;319-330.
-
(1986)
J. Bus.
, vol.59
, pp. 319-330
-
-
Grammatikos, T.1
Saunders, A.2
-
17
-
-
0010085494
-
Trading profits, inventory control and market share in a competitive dealer market
-
Duke University typescript, November, forthcoming
-
Hansch, O., Naik, N., Viswanthan, S., 1994. Trading profits, inventory control and market share in a competitive dealer market. Duke University typescript, November, forthcoming J. Finance.
-
(1994)
J. Finance
-
-
Hansch, O.1
Naik, N.2
Viswanthan, S.3
-
18
-
-
84993869051
-
The trades of market makers: An empirical analysis of NYSE specialists
-
Hasbrouck J., Sofianos G. The trades of market makers: an empirical analysis of NYSE specialists. J. Finance. 48:1993;1565-1593.
-
(1993)
J. Finance
, vol.48
, pp. 1565-1593
-
-
Hasbrouck, J.1
Sofianos, G.2
-
19
-
-
84925135657
-
The dynamics of dealer markets under competition
-
Ho T., Stoll H. The dynamics of dealer markets under competition. J. Finance. 38:1983;1053-1074.
-
(1983)
J. Finance
, vol.38
, pp. 1053-1074
-
-
Ho, T.1
Stoll, H.2
-
20
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle P. Continuous auctions and insider trading. Econometrica. 53:1985;1315-1335.
-
(1985)
Econometrica
, vol.53
, pp. 1315-1335
-
-
Kyle, P.1
-
21
-
-
21144479472
-
Price experimentation and security market structure
-
Leach J., Madhavan A. Price experimentation and security market structure. Rev. Financial Stud. 6:1993;375-404.
-
(1993)
Rev. Financial Stud.
, vol.6
, pp. 375-404
-
-
Leach, J.1
Madhavan, A.2
-
22
-
-
58149365337
-
Tests of microstructural hypotheses in the foreign exchange market
-
Lyons R. Tests of microstructural hypotheses in the foreign exchange market. J. Financial Econ. 39:1995;321-351.
-
(1995)
J. Financial Econ.
, vol.39
, pp. 321-351
-
-
Lyons, R.1
-
23
-
-
0030191290
-
Optimal transparency in a dealer market with an application to foreign exchange
-
Lyons R. Optimal transparency in a dealer market with an application to foreign exchange. J. Financial Intermediat. 5:1996;225-254.
-
(1996)
J. Financial Intermediat.
, vol.5
, pp. 225-254
-
-
Lyons, R.1
-
24
-
-
0001312822
-
A simultaneous trade model of the foreign exchange hot potato
-
Lyons R. A simultaneous trade model of the foreign exchange hot potato. J. Int. Econ. 42:1997;275-298.
-
(1997)
J. Int. Econ.
, vol.42
, pp. 275-298
-
-
Lyons, R.1
-
25
-
-
84993843615
-
An analysis of changes in specialist inventories and quotations
-
Madhavan A., Smidt S. An analysis of changes in specialist inventories and quotations. J. Finance. 48:1993;1595-1628.
-
(1993)
J. Finance
, vol.48
, pp. 1595-1628
-
-
Madhavan, A.1
Smidt, S.2
-
28
-
-
0001447776
-
Econometric issues in the analysis of regressions with generated regressors
-
Pagan A. Econometric issues in the analysis of regressions with generated regressors. Int. Econ. Rev. 25:1984;221-247.
-
(1984)
Int. Econ. Rev.
, vol.25
, pp. 221-247
-
-
Pagan, A.1
-
31
-
-
0003884413
-
-
University of Minnesota typescript, December.
-
Zaheer, A., Zaheer, S., 1995. Catching the wave: alertness, responsiveness, and market influence in global electronic networks. University of Minnesota typescript, December.
-
(1995)
Catching The Wave: Alertness, Responsiveness, and Market Influence in Global Electronic Networks
-
-
Zaheer, A.1
Zaheer, S.2
|