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The Microstructure of Stock Markets
16 references·0 citing·41 second hop
The Microstructure of Stock Markets (2002)The Microstructure of Stock MarketsMarket Microstructure Theory. (1996)Market Microstructure Theory.Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Transactions, Volume, and Volatility (1994)Transactions, Volume, and Vol…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Supply Function Equilibria in Oligopoly under Uncertainty (1989)Supply Function Equilibria in…Informed Speculation with Imperfect Competition (1989)Informed Speculation with Imp…Estimating the components of the bid/ask spread (1988)Estimating the components of …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…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information (1976)Equilibrium in Competitive In…The Only Game in Town (1971)The Only Game in TownExpectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)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)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)Two-Person Cooperative Games (1953)Optimal Auction Design (1981)Price and Quantity Competition in a Differentiated Duopoly (1984)Measuring Duopoly Power in the British Electricity Spot Market (1999)Pass-Through as an Economic Tool: Principles of Incidence under Imperfect Competition (2013)Demand Reduction and Inefficiency in Multi-Unit Auctions (2014)Essays in the Theory of Risk-Bearing. (1972)Job Market Signaling (1973)The Economics of Caste and of the Rat Race and Other Woeful Tales (1976)Health insurance and the demand for medical care: evidence from a randomized experiment. (1987)Liberalization, Moral Hazard in Banking, and Prudential Regulation: Are Capital Requirements Enough? (2000)Signaling in Retrospect and the Informational Structure of Markets (2002)The Cost of Transacting (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Noise Trader Risk in Financial Markets (1990)Corporate Bond Market Transaction Costs and Transparency (2007)MIDAS Regressions: Further Results and New Directions (2007)
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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
  • 1976Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information4,984 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1989Supply Function Equilibria in Oligopoly under Uncertainty1,384 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1989Informed Speculation with Imperfect Competition963 cited
  • 1994Transactions, Volume, and Volatility

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870 cited
  • 1971The Only Game in Town855 cited
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