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Bulk Classification of Trading Activity
16 references·3 citing·42 second hop
Bulk Classification of Trading Activity (2012)Bulk Classification of Trading ActivityLiquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions (2012)Liquidity Measurement Problem…How Markets Slowly Digest Changes in Supply and Demand (2009)How Markets Slowly Digest Cha…Technology and liquidity provision: The blurring of traditional definitions (2008)Technology and liquidity prov…Time-Varying Arrival Rates of Informed and Uninformed Trades (2007)Time-Varying Arrival Rates of…An empirical behavioral model of liquidity and volatility (2007)An empirical behavioral model…Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE (2005)Lifting the Veil: An Analysis…The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)The “make or take” decision i…The Accuracy of Trade Classification Rules: Evidence from Nasdaq (2000)The Accuracy of Trade Classif…Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Order Flow, Transaction Clock…On the occurrence and consequences of inaccurate trade classification (2000)On the occurrence and consequ…Nonlinear Time Series Models in Empirical Finance (2000)Nonlinear Time Series Models …Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…On the Distribution of Stock Price Differences (1967)On the Distribution of Stock …Active Funds and Bundled News (2021)Active Funds and Bundled NewsVPIN and the Flash Crash: A rejoinder (2013)VPIN and the Flash Crash: A r…Reflecting on the VPIN Dispute (2013)Reflecting on the VPIN DisputeBrownian Motion in the Stock Market (1959)The Behavior of Stock-Market Prices (1965)Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)The variation of certain speculative prices (1997)Multifractality in Asset Returns: Theory and Evidence (2002)Cross-Section Regression with Common Shocks (2005)Fractional Brownian Motions, Fractional Noises and Applications (1968)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Power Laws in Economics and Finance (2008)No-dynamic-arbitrage and market impact (2010)Power Laws in Economics: An Introduction (2016)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)When the Underwriter Is the Market Maker: An Examination of Trading in the IPO Aftermarket (2000)Evidence on the speed of convergence to market efficiency (2005)Stock price reaction to public and private information (2006)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Handbook of experimental economics (1995)Do Investors Trade Too Much? (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)How Noise Trading Affects Markets: An Experimental Analysis (2009)A simple approximation of intraday spreads using daily data (2013)MONEY, INCOME, AND CAUSALITY (1972)Generalized autoregressive conditional heteroskedasticity (1986)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Modeling the price dynamics of CO2 emission allowances (2008)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Forecasting Stock Returns (2013)A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices (2017)Capital market effects of media synthesis and dissemination: evidence from robo-journalism (2017)High frequency trading and extreme price movements (2018)
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References

  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2000Nonlinear Time Series Models in Empirical Finance1,111 cited
  • 1967On the Distribution of Stock Price Differences529 cited
  • 2004The “make or take” decision in an electronic market: Evidence on the evolution of liquidity483 cited
  • 2000The Accuracy of Trade Classification Rules: Evidence from Nasdaq454 cited
  • 2009How Markets Slowly Digest Changes in Supply and Demand442 cited
  • 2012Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions432 cited
  • 2000Order Flow, Transaction Clock, and Normality of Asset Returns420 cited
  • 2005Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE362 cited
  • 2008Technology and liquidity provision: The blurring of traditional definitions279 cited
  • 2007Time-Varying Arrival Rates of Informed and Uninformed Trades264 cited
  • 2007An empirical behavioral model of liquidity and volatility

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261 cited
  • 2000On the occurrence and consequences of inaccurate trade classification257 cited
  • Cited by

    • 2013Reflecting on the VPIN Dispute37 cited
    • 2013VPIN and the Flash Crash: A rejoinder32 cited
    • 2021Active Funds and Bundled News27 cited