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Order Submission Strategies and Information: Empirical Evidence from the NYSE
16 references·3 citing·37 second hop
Order Submission Strategies and Information: Empirical Evidence from the NYSE (2003)Order Submission Strategies and Informati…Is Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…Stealth-trading: Which traders' trades move stock prices? (2001)Stealth-trading: Which trader…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Heterogeneous Information Arr…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Investment analysis and price formation in securities markets (1995)Investment analysis and price…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…Stealth trading and volatility (1993)Stealth trading and volatilitySpreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market (2014)Informed trading, trading str…Overnight public information, order placement, and price discovery during the pre-opening period (2012)Overnight public information,…What Pieces of Limit Order Book Information Matter in Explaining Order Choice by Patient and Impatient Traders? (2008)What Pieces of Limit Order Bo…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)The Relation Between Price Changes and Trading Volume: A Survey (1987)Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)What Makes Investors Trade? (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Individualism and Momentum around the World (2010)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter™ (2013)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)Liquidity and stock returns: An alternative test (1998)Market microstructure: A survey (2000)The theory and practice of econometrics (1986)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Cointegration and Tests of Present Value Models (1987)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Realized Variance and Market Microstructure Noise (2006)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)Commonality in liquidity (2000)Does Algorithmic Trading Improve Liquidity? (2011)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)
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References

  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1993Stealth trading and volatility948 cited
  • 1995Investment analysis and price formation in securities markets730 cited
  • 2001Stealth-trading: Which traders' trades move stock prices?682 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns

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649 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • Cited by

    • 2008What Pieces of Limit Order Book Information Matter in Explaining Order Choice by Patient and Impatient Traders?39 cited
    • 2012Overnight public information, order placement, and price discovery during the pre-opening period37 cited
    • 2014Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market27 cited