-
1
-
-
0002816156
-
A theory of intraday patterns: Volume and price variability
-
Admati A. Pfleiderer P. A theory of intraday patterns: Volume and price variability Review of Financial Studies 1 1988 3-40
-
(1988)
Review of Financial Studies
, vol.1
, pp. 3-40
-
-
Admati, A.1
Pfleiderer, P.2
-
3
-
-
0000820008
-
Stealth trading and volatility: Which trades move prices?
-
Barclay M. Warner J. Stealth trading and volatility: Which trades move prices? Journal of Financial Economics 34 1993 281-305
-
(1993)
Journal of Financial Economics
, vol.34
, pp. 281-305
-
-
Barclay, M.1
Warner, J.2
-
4
-
-
0013148286
-
Stealth trading: Which traders' trades move stock prices?
-
Chakravarty S. Stealth trading: Which traders' trades move stock prices? Journal of Financial Economics 61 2001 289-307
-
(2001)
Journal of Financial Economics
, vol.61
, pp. 289-307
-
-
Chakravarty, S.1
-
6
-
-
0000097877
-
Transaction costs, order placement strategy, and existence of the bid-ask spread
-
Cohen K. Maier S. Schwartz R. Whitcomb D. Transaction costs, order placement strategy, and existence of the bid-ask spread Journal of Political Economy 89 1981 287-305
-
(1981)
Journal of Political Economy
, vol.89
, pp. 287-305
-
-
Cohen, K.1
Maier, S.2
Schwartz, R.3
Whitcomb, D.4
-
7
-
-
0039120737
-
Cream-skimming or profit-sharing? The curious role of purchased order flow
-
Easley D. Kiefer N. O'Hara M. Cream-skimming or profit-sharing? The curious role of purchased order flow Journal of Finance 51 1996 811-833
-
(1996)
Journal of Finance
, vol.51
, pp. 811-833
-
-
Easley, D.1
Kiefer, N.2
O'Hara, M.3
-
8
-
-
0040898818
-
Liquidity, information, and infrequently traded stocks
-
Easley D. Kiefer N. O'Hara M. Paperman J. Liquidity, information, and infrequently traded stocks Journal of Finance 51 1996 1405-1436
-
(1996)
Journal of Finance
, vol.51
, pp. 1405-1436
-
-
Easley, D.1
Kiefer, N.2
O'Hara, M.3
Paperman, J.4
-
10
-
-
0033128130
-
Order flow composition and trading costs in a dynamic limit order market
-
Foucault T. Order flow composition and trading costs in a dynamic limit order market Journal of Financial Markets 2 1999 99-134
-
(1999)
Journal of Financial Markets
, vol.2
, pp. 99-134
-
-
Foucault, T.1
-
11
-
-
0039084784
-
Stock-return variances: The arrival of information and the reaction of traders
-
French K. Roll R. Stock-return variances: The arrival of information and the reaction of traders Journal of Financial Economics 17 1986 5-26
-
(1986)
Journal of Financial Economics
, vol.17
, pp. 5-26
-
-
French, K.1
Roll, R.2
-
12
-
-
0001240870
-
Eighths, sixteenths, and market depth: Changes in tick size and liquidity provision on the NYSE
-
Goldstein M. Kavajecz K. Eighths, sixteenths, and market depth: Changes in tick size and liquidity provision on the NYSE Journal of Financial Economics 56 2000 125-149
-
(2000)
Journal of Financial Economics
, vol.56
, pp. 125-149
-
-
Goldstein, M.1
Kavajecz, K.2
-
14
-
-
0036099304
-
Security price adjustment across exchanges: An investigation of common factor components for Dow stocks
-
Harris F. McInish T. Wood R. Security price adjustment across exchanges: An investigation of common factor components for Dow stocks Journal of Financial Markets 5 2002 277-308
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 277-308
-
-
Harris, F.1
McInish, T.2
Wood, R.3
-
15
-
-
0009079619
-
Optimal dynamic order submission strategies in some stylized trading problems
-
Harris L. Optimal dynamic order submission strategies in some stylized trading problems Financial Markets, Institutions and Instruments 7 1998 1-75
-
(1998)
Financial Markets, Institutions and Instruments
, vol.7
, pp. 1-75
-
-
Harris, L.1
-
17
-
-
0003969985
-
Using the TORQ database
-
New York University Working Paper
-
Hasbrouck, J., 1992. Using the TORQ database. New York University Working Paper
-
(1992)
-
-
Hasbrouck, J.1
-
18
-
-
84977735715
-
Order arrival, quote behavior, and the return-generating process
-
Hasbrouck J. Ho T. Order arrival, quote behavior, and the return-generating process Journal of Finance 42 1987 1035-1048
-
(1987)
Journal of Finance
, vol.42
, pp. 1035-1048
-
-
Hasbrouck, J.1
Ho, T.2
-
19
-
-
0003549394
-
New York Stock Exchange systems and trading procedures
-
New York University Working Paper
-
Hasbrouck, J., Sofianos, G., Sosebee, D., 1993. New York Stock Exchange systems and trading procedures. New York University Working Paper
-
(1993)
-
-
Hasbrouck, J.1
Sofianos, G.2
Sosebee, D.3
-
20
-
-
84977708682
-
Consistency between predicted and actual bid-ask quote revisions
-
Jang H. Venkatesh P. Consistency between predicted and actual bid-ask quote revisions Journal of Finance 46 1991 433-446
-
(1991)
Journal of Finance
, vol.46
, pp. 433-446
-
-
Jang, H.1
Venkatesh, P.2
-
21
-
-
2442654997
-
So what orders do informed traders use?
-
University of Texas and Washington University Working Paper
-
Kaniel, R., Liu, H., 2001. So what orders do informed traders use? University of Texas and Washington University Working Paper
-
(2001)
-
-
Kaniel, R.1
Liu, H.2
-
22
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle A. Continuous auctions and insider trading Econometrica 53 1985 1315-1335
-
(1985)
Econometrica
, vol.53
, pp. 1315-1335
-
-
Kyle, A.1
-
24
-
-
84977730741
-
Inferring trade direction from intraday data
-
Lee C. Ready M. Inferring trade direction from intraday data Journal of Finance 46 1991 733-746
-
(1991)
Journal of Finance
, vol.46
, pp. 733-746
-
-
Lee, C.1
Ready, M.2
-
25
-
-
0034399513
-
Price discovery in auction markets: A look inside the black box
-
Madhavan A. Panchapagesan V. Price discovery in auction markets: A look inside the black box The Review of Financial Studies 13 2000 627-658
-
(2000)
The Review of Financial Studies
, vol.13
, pp. 627-658
-
-
Madhavan, A.1
Panchapagesan, V.2
-
27
-
-
0010202038
-
Identifying specialist trades in the TORQ data - A simple algorithm
-
Washington University Working Paper
-
Panchapagesan, V., 1999. Identifying specialist trades in the TORQ data - a simple algorithm. Washington University Working Paper
-
(1999)
-
-
Panchapagesan, V.1
-
28
-
-
0032336023
-
Price dynamics in limit order markets
-
Parlour C. Price dynamics in limit order markets The Review of Financial Studies 11 1998 789-816
-
(1998)
The Review of Financial Studies
, vol.11
, pp. 789-816
-
-
Parlour, C.1
-
30
-
-
0040576872
-
The specialists order book and price anomalies
-
unpublished working paper
-
Rock, K., 1996. The specialists order book and price anomalies. unpublished working paper
-
(1996)
-
-
Rock, K.1
-
31
-
-
0002044864
-
Determinants of price quote revisions on the London Stock Exchange
-
Snell A. Tonks I. Determinants of price quote revisions on the London Stock Exchange The Economic Journal 105 1995 77-94
-
(1995)
The Economic Journal
, vol.105
, pp. 77-94
-
-
Snell, A.1
Tonks, I.2
-
33
-
-
0037402494
-
NYSE order flow, spreads, and information
-
Werner I. NYSE order flow, spreads, and information The Journal of Financial Markets 6 2003 309-335
-
(2003)
The Journal of Financial Markets
, vol.6
, pp. 309-335
-
-
Werner, I.1
|