Intraday trade in dealership markets

European Economic Review

Volumn 46, Issue 9, 2002, Pages 1697-1732

  Bernhardt, Dan ^a   Hughson, Eric ^b  

^a UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

^b UNIVERSITY OF COLORADO   (United States)

Author keywords

Market microstructure; Structural estimation

Indexed keywords

MARKET CONDITIONS; MODELING; TRANSACTION COST;

EID: 0036772584     PISSN: 00142921     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0014-2921(02)00244-1     Document Type: Article

References (39)

1. A theory of intraday patterns
2. Sunshine trading and financial market equilibrium
3. Imperfect competition among informed traders
4. Insider trading in continuous time
5. Discrete pricing and the design of dealership markets
6. An empirical analysis of the limit order book and the order flow in the Paris bourse
7. Time and the process of security price adjustment
8. Liquidity, information, and infrequently traded stocks
9. Cream-skimming or profit-sharing? The curious role of purchased order flow
10. One day in the life of a very common stock
11. A theory of the interday variations in volume, variance and trading costs in securities markets
12. Variations in trading volume, return volatility, and trading costs: Evidence on recent price formation models
13. Strategic trading when agents forecast the forecasts of others
14. Components of the bid-ask spread and the statistical properties of transaction prices
15. Estimating components of the bid-ask spread
16. Bid, ask and transaction prices in a market with heterogeneously informed traders
17. Measuring the information content of stock trades
18. The trades of market makers: An analysis of NYSE specialists
19. An ordered probit analysis of transaction stock prices
20. Long-lived private information and imperfect competition
21. The components of the bid-ask spread: A general approach
22. A specialist's quoted depth and the limit order book
23. Anatomy of the trading process: Empirical evidence on the behavior of institutional traders
24. Continuous auctions and insider trading
25. Inferring trade direction from intraday data
26. An analysis of daily changes in specialist inventories and quotations
27. Why do security prices fluctuate? A transaction-level analysis of NYSE stocks
28. A simple measure of the effective bid-ask spread in an efficient market
29. Stock market structure and volatility
30. Investigation of transactions data for NYSE stocks