References

• 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
• 1992ARCH modeling in finance4,288 cited
• 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
• 1991Inferring Trade Direction from Intraday Data3,150 cited
• 1987Price, trade size, and information in securities markets2,169 cited
• 1991Measuring the Information Content of Stock Trades1,868 cited
• 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
• 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
• 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
• 1992Time and the Process of Security Price Adjustment1,225 cited
• 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
• 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
• 1993Stealth trading and volatility948 cited
• n.d.The econometrics of ultra-high frequency data /784 cited
• 2000Presidential Address: Friction681 cited
• 1997