-
1
-
-
0002816156
-
A theory of intraday patterns: Volume and price variability
-
Admati, A., and P. Pfleiderer, 1988, "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, 1, 3-40.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 3-40
-
-
Admati, A.1
Pfleiderer, P.2
-
2
-
-
0000769103
-
Divide and conquer: A theory of intraday and day-of-the-week mean effects
-
Admati, A., and P. Pfleiderer, 1989, "Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects," Review of Financial Studies, 2, 443-481.
-
(1989)
Review of Financial Studies
, vol.2
, pp. 443-481
-
-
Admati, A.1
Pfleiderer, P.2
-
3
-
-
0001543937
-
Sunshine trading and financial market equilibrium
-
Admati, A., and P. Pfleiderer, 1991, "Sunshine Trading and Financial Market Equilibrium," Review of Financial Studies, 4, 443-481.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 443-481
-
-
Admati, A.1
Pfleiderer, P.2
-
4
-
-
0036772584
-
Intraday trade in dealership markets
-
Bernhardt, D., and E. Hughson, 2002, "Intraday Trade in Dealership Markets," European Economic Review, 46, 1697-1732.
-
(2002)
European Economic Review
, vol.46
, pp. 1697-1732
-
-
Bernhardt, D.1
Hughson, E.2
-
5
-
-
84993923279
-
Price formation and equilibrium liquidity in fragmented and centralized markets
-
Biais, B., 1993, "Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets," Journal of Finance, 48, 157-185.
-
(1993)
Journal of Finance
, vol.48
, pp. 157-185
-
-
Biais, B.1
-
6
-
-
84993843493
-
An empirical analysis of the limit order book and the order flow in the paris bourse
-
Biais, B., P. Billion, and C. Spatt, 1995, "An Empirical Analysis of The Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, 50, 1655-1689.
-
(1995)
Journal of Finance
, vol.50
, pp. 1655-1689
-
-
Biais, B.1
Billion, P.2
Spatt, C.3
-
7
-
-
0040833101
-
Quotes, order flow, and price discovery
-
Blume, M., and M. Goldstein, 1997, "Quotes, Order Flow, and Price Discovery," Journal of Finance, 52, 221-244.
-
(1997)
Journal of Finance
, vol.52
, pp. 221-244
-
-
Blume, M.1
Goldstein, M.2
-
8
-
-
84993843848
-
Why did NASDAQ dealers stop avoiding odd-eighth quotes?
-
Christie, W., J. Harris, and P. Schultz, 1994, "Why Did NASDAQ Dealers Stop Avoiding Odd-Eighth Quotes?" Journal of Finance, 49, 1841-1860.
-
(1994)
Journal of Finance
, vol.49
, pp. 1841-1860
-
-
Christie, W.1
Harris, J.2
Schultz, P.3
-
9
-
-
84993915181
-
Why do NASDAQ dealers avoid odd-eighth quotes?
-
Christie, W., and P. Schultz, 1994, "Why Do NASDAQ Dealers Avoid Odd-Eighth Quotes?" Journal of Finance, 49, 1813-1840.
-
(1994)
Journal of Finance
, vol.49
, pp. 1813-1840
-
-
Christie, W.1
Schultz, P.2
-
11
-
-
0031528688
-
One day in the life of a very common stock
-
Easley, D., N. Kiefer, and M. O'Hara, 1997, "One Day in the Life of a Very Common Stock," Review of Financial Studies, 10, 805-835.
-
(1997)
Review of Financial Studies
, vol.10
, pp. 805-835
-
-
Easley, D.1
Kiefer, N.2
O'Hara, M.3
-
12
-
-
38249011533
-
Anonymity in securities markets
-
Forster, M., and T. George, 1992, "Anonymity in Securities Markets," Journal of Financial Intermediation, 2, 168-206.
-
(1992)
Journal of Financial Intermediation
, vol.2
, pp. 168-206
-
-
Forster, M.1
George, T.2
-
13
-
-
0000763880
-
A theory of the interday variations in volume, variance, and trading costs in securities markets
-
Foster, F., and S. Viswanathan, 1990, "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," Review of Financial Studies, 3, 593-624.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 593-624
-
-
Foster, F.1
Viswanathan, S.2
-
14
-
-
84993894915
-
Variations in trading volume, return volatility, and trading costs: Evidence on recent price formation models
-
Foster, F., and S. Viswanathan, 1993, "Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, 48, 187-212.
-
(1993)
Journal of Finance
, vol.48
, pp. 187-212
-
-
Foster, F.1
Viswanathan, S.2
-
15
-
-
84993613651
-
Is the electronic open limit order book inevitable?
-
Glosten, L., 1994, "Is the Electronic Open Limit Order Book Inevitable?" Journal of Finance, 49, 1127-1162.
-
(1994)
Journal of Finance
, vol.49
, pp. 1127-1162
-
-
Glosten, L.1
-
16
-
-
38249030378
-
Estimating the components of the bid/ask spread
-
Glosten, L., and L. Harris, 1988, "Estimating the Components of the Bid/Ask Spread" Journal of Financial Economics, 21, 123-142.
-
(1988)
Journal of Financial Economics
, vol.21
, pp. 123-142
-
-
Glosten, L.1
Harris, L.2
-
17
-
-
0345401653
-
Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders
-
Glosten, L., and P. Milgrom, 1985, "Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Journal of Financial Economics, 13, 71-100.
-
(1985)
Journal of Financial Economics
, vol.13
, pp. 71-100
-
-
Glosten, L.1
Milgrom, P.2
-
18
-
-
0009032686
-
Do inventories matter in dealership markets? evidence from the london stock exchange
-
Hansch, O., N. Naik, and S. Viswanathan, 1998, "Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange," Journal of Finance, 53, 1623-1656.
-
(1998)
Journal of Finance
, vol.53
, pp. 1623-1656
-
-
Hansch, O.1
Naik, N.2
Viswanathan, S.3
-
19
-
-
0002297289
-
Preferencing, internalization, best execution, and dealer profits
-
Hansch, O., N. Naik, and S. Viswanathan, 1999, "Preferencing, Internalization, Best Execution, and Dealer Profits," Journal of Finance, 54, 1799-1828.
-
(1999)
Journal of Finance
, vol.54
, pp. 1799-1828
-
-
Hansch, O.1
Naik, N.2
Viswanathan, S.3
-
20
-
-
0030555417
-
Market vs. limit orders: The SuperDOT evidence on order submission strategy
-
Harris, L., and J. Hasbrouck, 1996, "Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy," Journal of Financial and Quantitative Analysis, 31, 213-231.
-
(1996)
Journal of Financial and Quantitative Analysis
, vol.31
, pp. 213-231
-
-
Harris, L.1
Hasbrouck, J.2
-
21
-
-
84925135657
-
The dynamics of dealer markets under competition
-
Ho, T., and H. 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
-
22
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle, A., 1985, "Continuous Auctions and Insider Trading," Econometrica, 53, 1315-1335.
-
(1985)
Econometrica
, vol.53
, pp. 1315-1335
-
-
Kyle, A.1
-
23
-
-
84993894904
-
Market integration and price execution for nyse-listed securities
-
Lee, C., 1993, "Market Integration and Price Execution for NYSE-Listed Securities," Journal of Finance, 48, 1009-1038.
-
(1993)
Journal of Finance
, vol.48
, pp. 1009-1038
-
-
Lee, C.1
-
24
-
-
58149365337
-
Tests of microstructural hypothesis in the foreign exchange model
-
Lyons, R., 1995, "Tests of Microstructural Hypothesis in the Foreign Exchange Model," Journal of Financial Economics, 39, 321-351.
-
(1995)
Journal of Financial Economics
, vol.39
, pp. 321-351
-
-
Lyons, R.1
-
25
-
-
0032545909
-
Profits and position control: A week of FX dealing
-
Lyons, R., 1998, "Profits and Position Control: A Week of FX Dealing," Journal of International Money and Finance, 17, 97-115.
-
(1998)
Journal of International Money and Finance
, vol.17
, pp. 97-115
-
-
Lyons, R.1
-
26
-
-
84993843615
-
An analysis of changes in specialist inventories and quotations
-
Madhavan, A., and S. Smidt, 1993, "An Analysis of Changes in Specialist Inventories and Quotations," Journal of Finance, 48, 1595-1628.
-
(1993)
Journal of Finance
, vol.48
, pp. 1595-1628
-
-
Madhavan, A.1
Smidt, S.2
-
27
-
-
0038515615
-
Liquidity-based competition for order flow
-
Parlour, C., and D. Seppi, 2003, "Liquidity-Based Competition for Order Flow," Review of Financial Studies, 16, 301-343.
-
(2003)
Review of Financial Studies
, vol.16
, pp. 301-343
-
-
Parlour, C.1
Seppi, D.2
-
28
-
-
0012798966
-
Transaction costs in dealer markets: Evidence from the london stock exchange
-
Chicago: The University of Chicago Press
-
Reiss, P., and I. Werner, 1996, "Transaction Costs in Dealer Markets: Evidence from the London Stock Exchange," in The Industrial Organization and Regulation of the Securities Industry, Chicago: The University of Chicago Press, 125-175.
-
(1996)
The Industrial Organization and Regulation of the Securities Industry
, pp. 125-175
-
-
Reiss, P.1
Werner, I.2
-
29
-
-
85081440579
-
Adverse selection in dealer's choice of interdealer trading system
-
(A. Lo, ed.), Dice Center
-
Reiss, P. C., and I. M. Werner, 1999, "Adverse Selection in Dealer's Choice of Interdealer Trading System," Working Paper 99-7(A. Lo, ed.), Dice Center.
-
(1999)
Working Paper
, vol.99
, Issue.7
-
-
Reiss, P.C.1
Werner, I.M.2
-
30
-
-
0040588369
-
Does risk-sharing motivate interdealer trading?
-
Reiss, P., and I. Werner, 1998, "Does Risk-Sharing Motivate Interdealer Trading?" Journal of Finance, 53, 1657-1703.
-
(1998)
Journal of Finance
, vol.53
, pp. 1657-1703
-
-
Reiss, P.1
Werner, I.2
-
32
-
-
25844446146
-
The role of quotes in attracting orders on the NASDAQ interdealer market
-
February
-
Smith, J., 1999, "The Role of Quotes in Attracting Orders on the NASDAQ Interdealer Market," NASD Economic Research Working Paper, February.
-
(1999)
NASD Economic Research Working Paper
-
-
Smith, J.1
|