-
1
-
-
0002816156
-
A theory of intraday patterns: Volume and price variability
-
Admati, Anat, and Paul Pfleiderer, 1992, A theory of intraday patterns: Volume and price variability, Review of Financial Studies 1, 3-40.
-
(1992)
Review of Financial Studies
, vol.1
, pp. 3-40
-
-
Admati, A.1
Pfleiderer, P.2
-
2
-
-
49149144829
-
Dealership market: Market-making with inventory
-
Amihud,Yakov, and Haim Mendelson, 1980, Dealership market: Market-making with inventory, Journal of Financial Economics 8, 31-53.
-
(1980)
Journal of Financial Economics
, vol.8
, pp. 31-53
-
-
Amihud, Y.1
Mendelson, H.2
-
3
-
-
21344483445
-
Asymmetric information and options
-
Back, Kerry, 1993, Asymmetric information and options, Review of Financial Studies 6, 435-472.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 435-472
-
-
Back, K.1
-
4
-
-
0042621878
-
Does a national market system exist for U.S. exchange-listed equity options? An analysis of multiple-traded equity options
-
University of Notre Dame
-
Battalio, Robert, Brian Hatch, and Robert Jennings, 2002, Does a national market system exist for U.S. exchange-listed equity options? An analysis of multiple-traded equity options, Working paper, University of Notre Dame.
-
(2002)
Working Paper
-
-
Battalio, R.1
Hatch, B.2
Jennings, R.3
-
5
-
-
84889162208
-
Battle for market share heats up as CBOE plans to list 29 Philadelphia exchange options
-
August 30 CI
-
Battle for market share heats up as CBOE plans to list 29 Philadelphia exchange options, 1999, Wall Street Journal, August 30 CI.
-
(1999)
Wall Street Journal
-
-
-
6
-
-
0031521080
-
A comparison of trade execution costs for NYSE and Nasdaq-listed stocks
-
Bessembinder, Hendrik, and Herbert Kaufman, 1997, A comparison of trade execution costs for NYSE and Nasdaq-listed stocks, Journal of Financial and Quantitative Analysis 32, 287-310.
-
(1997)
Journal of Financial and Quantitative Analysis
, vol.32
, pp. 287-310
-
-
Bessembinder, H.1
Kaufman, H.2
-
7
-
-
21844482887
-
Insider and liquidity trading in stock and option markets
-
Biais, Bruno, and Pierre Hillion, 1994, Insider and liquidity trading in stock and option markets, The Review of Financial Studies 7, 743-780.
-
(1994)
The Review of Financial Studies
, vol.7
, pp. 743-780
-
-
Biais, B.1
Hillion, P.2
-
8
-
-
0043259815
-
Trading your neighbor's ETFs: Competition or fragmentation
-
New York Stock Exchange
-
Boehmer, Beatrice, and Ekkehart Boehmer, 2002, Trading your neighbor's ETFs: Competition or fragmentation, Working paper, New York Stock Exchange.
-
(2002)
Working Paper
-
-
Boehmer, B.1
Boehmer, E.2
-
9
-
-
84889118028
-
Chicago Board Options Exchange cancels merger due to tight time schedule
-
January 8
-
Chicago Board Options Exchange cancels merger due to tight time schedule, 1999, Chicago Tribune, January 8.
-
(1999)
Chicago Tribune
-
-
-
10
-
-
0041546116
-
Modeling the impacts of market activity on bid-ask spreads in the option market
-
National Bureau of Economic Research, Cambridge, MA
-
Cho, Young-Hye, and Robert F. Engle, 1999, Modeling the impacts of market activity on bid-ask spreads in the option market, Working paper No. 7331, National Bureau of Economic Research, Cambridge, MA.
-
(1999)
Working Paper No. 7331
, vol.7331
-
-
Cho, Y.-H.1
Engle, R.F.2
-
11
-
-
84993915181
-
Why do Nasdaq market makers avoid odd-eighth quotes?
-
Christie, William G., and Paul H. Schultz, 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, W.G.1
Schultz, P.H.2
-
12
-
-
84944836521
-
Information effects on the bid-ask spread
-
Copeland, Thomas E., and Dan Galai, 1983, Information effects on the bid-ask spread, Journal of Finance 38, 1457-1469.
-
(1983)
Journal of Finance
, vol.38
, pp. 1457-1469
-
-
Copeland, T.E.1
Galai, D.2
-
13
-
-
33748331805
-
Symposium of market microstructure: A review of the empirical research
-
Coughenour, Jay, and Kuldeep Shastri, 1999, Symposium of market microstructure: A review of the empirical research, The Financial Review 34, 1-28.
-
(1999)
The Financial Review
, vol.34
, pp. 1-28
-
-
Coughenour, J.1
Shastri, K.2
-
14
-
-
0019682536
-
Several tests for model specification in the presence of multiple alternatives
-
Davidson, Russell, and James G. MacKinnon, 1981, Several tests for model specification in the presence of multiple alternatives, Econometrica 49, 781-794.
-
(1981)
Econometrica
, vol.49
, pp. 781-794
-
-
Davidson, R.1
Mackinnon, J.G.2
-
15
-
-
0010940821
-
Prices, trade size, and information in security markets
-
Easley, David, and Maureen O'Hara, 1987, Prices, trade size, and information in security markets, Journal of Financial Economics 19, 69-90.
-
(1987)
Journal of Financial Economics
, vol.19
, pp. 69-90
-
-
Easley, D.1
O'Hara, M.2
-
16
-
-
0040165095
-
Option volume and stock prices: Evidence on where informed traders trade
-
Easley, David, Maureen O'Hara, and P. S. Srinivas, 1998, Option volume and stock prices: Evidence on where informed traders trade, Journal of Finance 53, 431-465.
-
(1998)
Journal of Finance
, vol.53
, pp. 431-465
-
-
Easley, D.1
O'Hara, M.2
Srinivas, P.S.3
-
17
-
-
85081145995
-
Exchanges, on one Dell swoop from OBOE, cast aside their custom of exclusive listings
-
August 19
-
Exchanges, on one Dell swoop from OBOE, cast aside their custom of exclusive listings, 1999, The Wall Street Journal, August 19, C15.
-
(1999)
The Wall Street Journal
-
-
-
18
-
-
84971943415
-
Strategic trading with asymmetrically informed traders and long-lived information
-
Foster, F. Douglas, and S. Viswanathan, 1994, Strategic trading with asymmetrically informed traders and long-lived information, Journal of Financial and Quantitative Analysis 29, 499-518.
-
(1994)
Journal of Financial and Quantitative Analysis
, vol.29
, pp. 499-518
-
-
Foster, F.D.1
Viswanathan, S.2
-
19
-
-
0345401653
-
Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders
-
Glosten, Lawrence, and Robert 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.1
Milgrom, R.2
-
20
-
-
0345326732
-
Measuring execution quality in the listed option market
-
Smeal College of Business, Pennsylvania State University
-
Hansch, Oliver, and Frank M. Hatheway, 2001, Measuring execution quality in the listed option market, Working paper, Smeal College of Business, Pennsylvania State University.
-
(2001)
Working Paper
-
-
Hansch, O.1
Hatheway, F.M.2
-
21
-
-
21344483536
-
Minimum price variation, discrete bid-ask spreads, and quotation sizes
-
Harris, Lawrence, 1994, Minimum price variation, discrete bid-ask spreads, and quotation sizes, Review of Financial Studies 7, 149-178.
-
(1994)
Review of Financial Studies
, vol.7
, pp. 149-178
-
-
Harris, L.1
-
22
-
-
84889139375
-
The history of equity derivatives
-
Jack Clark Francis, William W. Toy, J.Gregg Whittaker, eds. (Irwin Professional Publishing, Boston, MA)
-
Hill, Joanne M., 1995, The history of equity derivatives, in Jack Clark Francis, William W. Toy, J.Gregg Whittaker, eds.: The Handbook of Equity Derivatives (Irwin Professional Publishing, Boston, MA).
-
(1995)
The Handbook of Equity Derivatives
-
-
Hill, J.M.1
-
23
-
-
0001913087
-
Optimal dealer pricing under transactions and return uncertainty
-
Ho, Thomas, and Hans Stoll, 1981, Optimal dealer pricing under transactions and return uncertainty, Journal of Financial Economics 9, 47-73.
-
(1981)
Journal of Financial Economics
, vol.9
, pp. 47-73
-
-
Ho, T.1
Stoll, H.2
-
24
-
-
84925135657
-
The dynamics of dealer markets under competition
-
Ho, Thomas, and Hans Stoll, 1983, The dynamics of dealer markets under competition, Journal of Finance 38, 1053-1074.
-
(1983)
Journal of Finance
, vol.38
, pp. 1053-1074
-
-
Ho, T.1
Stoll, H.2
-
25
-
-
0003890315
-
-
Prentice-Hall, Inc., Upper Saddle River, NJ
-
Hull, John C., 2002, Options, Futures, and Other Derivatives, 5th ed. (Prentice-Hall, Inc., Upper Saddle River, NJ).
-
(2002)
Options, Futures, and Other Derivatives, 5th Ed.
-
-
Hull, J.C.1
-
26
-
-
0042807134
-
Margins, informed trading in derivatives, and price dynamics
-
New York University
-
John, Kose, Ranga Narayanan, Apoorva Koticha, and Marti G. Subrahmanyam, 2000, Margins, informed trading in derivatives, and price dynamics, Working paper, New York University.
-
(2000)
Working Paper
-
-
John, K.1
Narayanan, R.2
Koticha, A.3
Subrahmanyam, M.G.4
-
27
-
-
33748040192
-
Informed trading and option spreads
-
University of Florida
-
Kaul, Gautam, M. Nimalendran, and Donghang Zhang, 2001, Informed trading and option spreads, Working paper, University of Florida.
-
(2001)
Working Paper
-
-
Kaul, G.1
Nimalendran, M.2
Zhang, D.3
-
28
-
-
0345326729
-
The impact of market-maker competition on Nasdaq spreads
-
Klock, Mark, and D. Timothy McCormick, 1999, The impact of market-maker competition on Nasdaq spreads, The Financial Review 34, 55-73.
-
(1999)
The Financial Review
, vol.34
, pp. 55-73
-
-
Klock, M.1
McCormick, D.T.2
-
29
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle, Albert S., 1985, Continuous auctions and insider trading, Econometrica 53, 1315-1335.
-
(1985)
Econometrica
, vol.53
, pp. 1315-1335
-
-
Kyle, A.S.1
-
30
-
-
84889113123
-
The effect of multiple trading on the market for OTC options
-
U.S. Securities and Exchange Commission
-
Lightfoot, Lois, Peter Martin, William Atkinson, and Jeffry Davis, 1986, The effect of multiple trading on the market for OTC options, Staff Studies, Directorate of Economic and Policy Analysis, U.S. Securities and Exchange Commission.
-
(1986)
Staff Studies Directorate of Economic and Policy Analysis
-
-
Lightfoot, L.1
Martin, P.2
Atkinson, W.3
Davis, J.4
-
31
-
-
84977707526
-
Trading mechanisms in security markets
-
Madhavan, Ananth, 1992, Trading mechanisms in security markets, Journal of Finance 47, 607-641
-
(1992)
Journal of Finance
, vol.47
, pp. 607-641
-
-
Madhavan, A.1
-
33
-
-
0042242629
-
Competition, market structure and bid-ask spreads in stock option markets
-
Mayhew, Stewart, 2002, Competition, market structure and bid-ask spreads in stock option markets, Journal of Finance 57, 931-958.
-
(2002)
Journal of Finance
, vol.57
, pp. 931-958
-
-
Mayhew, S.1
-
34
-
-
84977737376
-
Potential competition and actual competition in equity options
-
Neal, Robert, 1987, Potential competition and actual competition in equity options, Journal of Finance 42, 511-537.
-
(1987)
Journal of Finance
, vol.42
, pp. 511-537
-
-
Neal, R.1
-
35
-
-
0000160386
-
A comparison of transaction costs between competitive market maker and specialist market structures
-
Neal, Robert, 1992, A comparison of transaction costs between competitive market maker and specialist market structures, Journal of Business 65, 317-334.
-
(1992)
Journal of Business
, vol.65
, pp. 317-334
-
-
Neal, R.1
-
36
-
-
84889113607
-
Some Dell option traders want to stay in the Big Apple
-
September 7
-
Some Dell option traders want to stay in the Big Apple, 1998, Investment Dealers Digest, September 7.
-
(1998)
Investment Dealers Digest
-
-
-
37
-
-
84977712723
-
Intraday price change and trading volume relations in stock and stock option markets
-
Stephan, Jens, and Robert Whaley, 1990, Intraday price change and trading volume relations in stock and stock option markets, Journal of Finance 45, 191-220.
-
(1990)
Journal of Finance
, vol.45
, pp. 191-220
-
-
Stephan, J.1
Whaley, R.2
-
38
-
-
84977426528
-
The supply of dealer services in securities markets
-
Stoll, Hans, 1978, The supply of dealer services in securities markets, Journal of Finance 33, 1133-1151.
-
(1978)
Journal of Finance
, vol.33
, pp. 1133-1151
-
-
Stoll, H.1
-
39
-
-
84889105948
-
-
United States of America vs. American Stock Exchange, LLC; Chicago Board Options Exchange, Inc.; Pacific Exchange, Inc.; and Philadelphia Stock Exchange, Inc., USDC in the District of Columbia, September 11
-
United States of America vs. American Stock Exchange, LLC; Chicago Board Options Exchange, Inc.; Pacific Exchange, Inc.; and Philadelphia Stock Exchange, Inc., USDC in the District of Columbia, September 11, 2000 (text of complaint available at http://www.usdoj.gov/atr/cases/f6400/6468.htm).
-
(2000)
-
-
-
40
-
-
84889164960
-
-
U.S. Securities and Exchange Commission, 1974, Release No. 11144
-
U.S. Securities and Exchange Commission, 1974, Release No. 11144.
-
-
-
-
41
-
-
84889103497
-
-
U.S. Securities and Exchange Commission, 1975, Release No. 11423
-
U.S. Securities and Exchange Commission, 1975, Release No. 11423.
-
-
-
-
43
-
-
84889158011
-
-
U.S. Securities and Exchange Commission, 1980, Release No. 16863
-
U.S. Securities and Exchange Commission, 1980, Release No. 16863.
-
-
-
-
44
-
-
84889107381
-
Governing the Multiple Listing of Options on National Exchanges
-
May 26
-
U.S. Securities and Exchange Commission, 1989, Governing the Multiple Listing of Options on National Exchanges, Securities Exchange Act Release No. 26870, May 26.
-
(1989)
Securities Exchange Act Release No. 26870
-
-
-
45
-
-
84889113419
-
-
U.S. Securities and Exchange Commission, 1989, Release No. 26871
-
U.S. Securities and Exchange Commission, 1989, Release No. 26871.
-
-
-
-
48
-
-
84977701282
-
Liquidity of the CBOE equity options
-
Vijh, Anand M., 1990, Liquidity of the CBOE equity options, Journal of Finance 45, 1157-1179.
-
(1990)
Journal of Finance
, vol.45
, pp. 1157-1179
-
-
Vijh, A.M.1
-
49
-
-
0031475555
-
Entry, exit, market makers and the bid-ask spread
-
Wahal, Sunil, 1997, Entry, exit, market makers and the bid-ask spread, Review of Financial Studies 10, 871-901.
-
(1997)
Review of Financial Studies
, vol.10
, pp. 871-901
-
-
Wahal, S.1
-
50
-
-
28844448987
-
Competition among exchanges: Does multiple listing affect trading costs on options markets?
-
University of Chicago
-
Wang, Elizabeth Xiao-Ru, 1999, Competition among exchanges: Does multiple listing affect trading costs on options markets? Working paper, University of Chicago.
-
(1999)
Working Paper
-
-
Wang, E.X.-R.1
-
51
-
-
0000095552
-
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
-
White, Halbert, 1980, A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica 48, 817-838.
-
(1980)
Econometrica
, vol.48
, pp. 817-838
-
-
White, H.1
|