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Which Inter-Dealer Market Prevails? An Analysis of Inter-Dealer Trading in Opaque Markets
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Which Inter-Dealer Market Prevails? An Analysis of Inter-Dealer Trading in Opaque Markets (1998)Which Inter-Dealer Market Prevails? An An…From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)From the bird's eye to the mi…Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Transparency and Liquidity: A…Market Microstructure Theory. (1996)Market Microstructure Theory.Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Trading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Multimarket Trading and Market Liquidity (1991)Multimarket Trading and Marke…Trading Volume and Asset Liquidity (1989)Trading Volume and Asset Liqu…Insider Trading, Liquidity, and the Role of the Monopolist Specialist (1989)Insider Trading, Liquidity, a…Informed Speculation with Imperfect Competition (1989)Informed Speculation with Imp…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS (1978)THE PRICING OF SECURITY DEALE…Using daily stock returns (1985)Measuring the Information Content of Stock Trades (1991)Illiquidity and stock returns: cross-section and time-series effects (2002)In Search of Attention (2011)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Information aggregation in a noisy rational expectations economy (1981)Noise (1986)Information Asymmetry, R&D, and Insider Gains (2000)The Cost of Transacting (1968)The capital asset pricing model: Some empirical tests (1972)Commonality in liquidity (2000)The Pricing of Options on Assets with Stochastic Volatilities (1987)5 Stochastic volatility (1996)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Realized Variance and Market Microstructure Noise (2006)Market structure, information, futures markets, and price formation. (1984)Noise Trader Risk in Financial Markets (1990)A Theory of Auctions and Competitive Bidding (1982)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Market microstructure: A survey (2000)Does Algorithmic Trading Improve Liquidity? (2011)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Only Game in Town (1971)Market Liquidity and Funding Liquidity (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Liquidity, Information, and Infrequently Traded Stocks (1996)Is Information Risk a Determinant of Asset Returns? (2002)Introductory Econometrics for Finance (2008)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1996Market Microstructure Theory.1,204 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1989Informed Speculation with Imperfect Competition963 cited
  • 1978THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS630 cited
  • 1989Trading Volume and Asset Liquidity628 cited
  • 1991Multimarket Trading and Market Liquidity597 cited
  • 1992Trading Mechanisms in Securities Markets572 cited
  • 1996Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading545 cited
  • 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets522 cited

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  • 1989Insider Trading, Liquidity, and the Role of the Monopolist Specialist517 cited
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