References

• 1987Price, trade size, and information in securities markets2,169 cited
• 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
• 2008Individual Investor Trading and Stock Returns1,014 cited
• 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
• 2011Low-Latency Trading880 cited
• 2012High Frequency Trading and the New-Market Makers807 cited
• 2005Limit Order Book as a Market for Liquidity614 cited
• 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
• 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
• 2003Trade Execution Costs and Market Quality after Decimalization512 cited
• 2004The “make or take” decision in an electronic market: Evidence on the evolution of liquidity483 cited
• 2000Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE444 cited
• 2005Equilibrium in a Dynamic Limit Order Market439 cited
• 2012The Diversity of High Frequency Traders425 cited
• 1997Tick Size, Share Prices, and Stock Splits387 cited
• 2005