-
1
-
-
0000769103
-
Divide and conquer: A theory of intraday and day-of-the-week mean effects
-
Admati, A. R., and P. Pfleiderer, 1989, "Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects," Review of Financial Studies, 2, 189-223.
-
(1989)
Review of Financial Studies
, vol.2
, pp. 189-223
-
-
Admati, A.R.1
Pfleiderer, P.2
-
2
-
-
0040356344
-
Tick size, spread, and volume
-
Ahn, H., C. Cao, and H. Choe, 1996, "Tick Size, Spread, and Volume," Journal of Financial Intermediation, 5, 1-21.
-
(1996)
Journal of Financial Intermediation
, vol.5
, pp. 1-21
-
-
Ahn, H.1
Cao, C.2
Choe, H.3
-
5
-
-
0002093530
-
The degree of price resolution: The case of the gold market
-
Ball, C., W. Torous, and A. Tschoegl, 1985, "The Degree of Price Resolution: The Case of the Gold Market," Journal of Futures Markets, 5, 29-43.
-
(1985)
Journal of Futures Markets
, vol.5
, pp. 29-43
-
-
Ball, C.1
Torous, W.2
Tschoegl, A.3
-
6
-
-
0040356345
-
-
working paper, Commodity Futures Trading Commission, Washington, D.C.
-
Brown, S., P. Laux, and B. Schachter, 1991, "On the Existence of an Optimal Tick Size," working paper, Commodity Futures Trading Commission, Washington, D.C.
-
(1991)
On the Existence of An Optimal Tick Size
-
-
Brown, S.1
Laux, P.2
Schachter, B.3
-
7
-
-
0039171757
-
Will wall street surrender its 'pieces of eight'?
-
Business Week, Nov. 22
-
Business Week, 1993, "Will Wall Street Surrender its 'pieces of eight'?," Business Week, Nov. 22.
-
(1993)
Business Week
-
-
-
8
-
-
21844522948
-
Market making, the tick size, and payment-for-order flow: Theory and evidence
-
Chordia, T., and A. Subrahmanyam, 1995, "Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence," Journal of Business, 68, 543-575.
-
(1995)
Journal of Business
, vol.68
, pp. 543-575
-
-
Chordia, T.1
Subrahmanyam, A.2
-
9
-
-
84993915181
-
Why do NASDAQ market makers avoid odd-eighth quotes
-
Christie, A., and Schultz, P., 1994, "Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes," Journal of Finance, 49, 1813-1840.
-
(1994)
Journal of Finance
, vol.49
, pp. 1813-1840
-
-
Christie, A.1
Schultz, P.2
-
10
-
-
0040455698
-
-
working paper, University of Massachusetts, Boston
-
Coughenour, J. F., and D. N. Deli, 1996, "On the Organizational Form of NYSE Specialist Firms," working paper, University of Massachusetts, Boston.
-
(1996)
On the Organizational Form of Nyse Specialist Firms
-
-
Coughenour, J.F.1
Deli, D.N.2
-
11
-
-
0345401653
-
Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders
-
Glosten, L. R., and P. R. Milgrom, 1985, "Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Journal of Financial Economics, 14, 71-100.
-
(1985)
Journal of Financial Economics
, vol.14
, pp. 71-100
-
-
Glosten, L.R.1
Milgrom, P.R.2
-
12
-
-
0000511589
-
Implications of the discreteness of observed stock prices
-
Gottlieb, G., and A. Kalay, 1985, "Implications of the Discreteness of Observed Stock Prices," Journal of Finance, 40, 135-153.
-
(1985)
Journal of Finance
, vol.40
, pp. 135-153
-
-
Gottlieb, G.1
Kalay, A.2
-
13
-
-
84977725243
-
Liquidity and market structure
-
Grossman, S. J., and M. H. Miller, 1988, "Liquidity and Market Structure," Journal of Finance, 43, 617-637.
-
(1988)
Journal of Finance
, vol.43
, pp. 617-637
-
-
Grossman, S.J.1
Miller, M.H.2
-
14
-
-
0000621934
-
Stock price clustering and discreteness
-
Harris, L., 1991, "Stock Price Clustering and Discreteness," Review of Financial Studies, 4, 389-415.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 389-415
-
-
Harris, L.1
-
15
-
-
0011476183
-
An ordered probit analysis of transaction stock prices
-
Hausman, J., A. Lo, and C. Mackinlay, 1992, "An Ordered Probit Analysis of Transaction Stock Prices," Journal of Financial Economics, 31, 319-379.
-
(1992)
Journal of Financial Economics
, vol.31
, pp. 319-379
-
-
Hausman, J.1
Lo, A.2
Mackinlay, C.3
-
16
-
-
0003446320
-
-
John Wiley & Sons, New York
-
Johnson, N., and S. Kotz, 1970, Continuous Univariate Distributions, Vol. 1, John Wiley & Sons, New York.
-
(1970)
Continuous Univariate Distributions
, vol.1
-
-
Johnson, N.1
Kotz, S.2
-
17
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle, A. S., 1985, "Continuous Auctions and Insider Trading," Econometrica, 53, 1315-1335.
-
(1985)
Econometrica
, vol.53
, pp. 1315-1335
-
-
Kyle, A.S.1
-
18
-
-
21144479472
-
Price experimentation and security market structure
-
Leach, C., and A. Madhavan, 1993, "Price Experimentation and Security Market Structure," Review of Financial Studies, 6, 375-404.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 375-404
-
-
Leach, C.1
Madhavan, A.2
-
19
-
-
0011669385
-
A new look at clustering of stock prices
-
Niederhoffer, V., 1966, "A New Look at Clustering of Stock Prices," Journal of Business, 39, 309-313.
-
(1966)
Journal of Business
, vol.39
, pp. 309-313
-
-
Niederhoffer, V.1
-
23
-
-
0000876455
-
Risk aversion, market liquidity, and price efficiency
-
Subrahmanyam, A., 1991, "Risk Aversion, Market Liquidity, and Price Efficiency," Review of Financial Studies, 4, 417-441.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 417-441
-
-
Subrahmanyam, A.1
|