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Market Depth and Order Size
14 references·1 citing·43 second hop
Market Depth and Order Size (1997)Market Depth and Order SizeMarket liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts (1996)Market liquidity and depth on…How Best to Supply Liquidity to a Securities Market (1996)How Best to Supply Liquidity …Dax index futures: Mispricing and arbitrage in German markets (1995)Dax index futures: Mispricing…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Testing for neglected nonlinearity in time series models (1993)Testing for neglected nonline…Nonlinear Dynamic Structures (1993)Nonlinear Dynamic StructuresStock Prices and Volume (1992)Stock Prices and VolumeInferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Liquidity and Market Structure (1988)Liquidity and Market StructureLiquidity and execution costs in equity markets (1988)Liquidity and execution costs…Liquidity, Stock Markets, and Market Makers (1987)Liquidity, Stock Markets, and…Liquidity, exchange listing, and common stock performance (1985)Liquidity, exchange listing, …Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…EXCHANGE LISTING AND STOCK LIQUIDITY (1984)EXCHANGE LISTING AND STOCK LI…Fluctuations and Response in Financial Markets: The Subtle Nature of 'Random' Price Changes (2004)Fluctuations and Response in …Macroeconomics and Reality (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Estimation of stochastic volatility models with diagnostics (1997)Oil Price Shocks and the U.S. Economy: Where Does the Asymmetry Originate? (2002)The out-of-sample success of term structure models as exchange rate predictors: a step beyond (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)The relationship between return and market value of common stocks (1981)Trading Costs and Returns for Us Equities: The Evidence from Daily Data (2003)Investor attention and stock market activity: Evidence from France (2013)Understanding FX Liquidity (2015)Asset pricing and the bid-ask spread (1986)Stock return variances (1986)Does the REIT Stock Market Resemble the General Stock Market? (1995)Do markets anticipate capital structure decisions? — Feedback effects in equity liquidity (2014)Measuring the multi-faceted dimension of liquidity in financial markets: A literature review (2019)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Market Liquidity and Trading Activity (2001)A new statistic and practical guidelines for nonparametric Granger causality testing (2006)DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)A simulation study of artificial neural networks for nonlinear time-series forecasting (2001)Modelling Nonlinear Economic Time Series (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)The Cost of Transacting (1968)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Optimal Replication of Options with Transactions Costs and Trading Restrictions (1993)Predicting Equity Liquidity (2002)A closing call's impact on market quality at Euronext Paris (2003)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Bayesian Analysis of Stochastic Volatility Models (2002)Risks and Portfolio Decisions Involving Hedge Funds (2003)Market liquidity as a sentiment indicator (2004)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1993Testing for neglected nonlinearity in time series models498 cited
  • 1993Nonlinear Dynamic Structures437 cited
  • 1988Liquidity and execution costs in equity markets218 cited
  • 1985Liquidity, exchange listing, and common stock performance202 cited
  • 1987Liquidity, Stock Markets, and Market Makers134 cited
  • 1996Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts118 cited
  • 1995Dax index futures: Mispricing and arbitrage in German markets62 cited
  • 1996How Best to Supply Liquidity to a Securities Market46 cited
  • 1984EXCHANGE LISTING AND STOCK LIQUIDITY43 cited

Cited by

  • 2004Fluctuations and Response in Financial Markets: The Subtle Nature of 'Random' Price Changes75 cited

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