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Price Manipulation, Price Discovery and Transaction Costs in the Crossing Network
16 references·0 citing·35 second hop
Price Manipulation, Price Discovery and Transaction Costs in the Crossing Network (2012)Price Manipulation, Price Discovery and T…Do Dark Pools Harm Price Discovery? (2013)Do Dark Pools Harm Price Disc…Power Laws in Economics and Finance (2009)Power Laws in Economics and F…Empirical Market Microstructure (2007)Empirical Market Microstructu…Institutional Investors and Stock Market Volatility (2006)Institutional Investors and S…Competition for Order Flow and Smart Order Routing Systems (2006)Competition for Order Flow an…Statistical properties of share volume traded in financial markets (2000)Statistical properties of sha…Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…Market Microstructure Theory. (1996)Market Microstructure Theory.Market microstructure theory (1995)Market microstructure theoryAnatomy of the trading process empirical evidence on the behavior of institutional traders (1995)Anatomy of the trading proces…Long-Lived Private Information and Imperfect Competition (1992)Long-Lived Private Informatio…Multimarket Trading and Market Liquidity (1991)Multimarket Trading and Marke…The implementation shortfall (1988)The implementation shortfallContinuous 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…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Investment analysis and price formation in securities markets (1995)Presidential Address: Liquidity and Price Discovery (2003)Institutional Investors and the Informational Efficiency of Prices (2009)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Asset pricing and the bid-ask spread (1986)Trade Execution Costs and Market Quality after Decimalization (2003)The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)A Theory of Intraday Patterns: Volume and Price Variability (1988)Transmission of Volatility between Stock Markets (1990)Intraday Price Formation in U.S. Equity Index Markets (2003)Is market fragmentation harming market quality? (2011)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)High-frequency trading in a limit order book (2008)Colloquium : Statistical mechanics of money, wealth, and income (2009)Cross-correlations between volume change and price change (2009)The Impact of Trade on Intra-Industry Reallocations and Aggregate Industry Productivity (2003)Power laws, Pareto distributions and Zipf's law (2005)Productivity Losses from Financial Frictions: Can Self-Financing Undo Capital Misallocation? (2014)Growth through Heterogeneous Innovations (2018)Power-law distributions in empirical data (2018)Why Is Pollution from US Manufacturing Declining? The Roles of Environmental Regulation, Productivity, and Trade (2018)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market microstructure: A survey (2000)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)Corporate Bond Market Transaction Costs and Transparency (2007)MIDAS Regressions: Further Results and New Directions (2007)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1995Market microstructure theory1,305 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 2009Power Laws in Economics and Finance1,032 cited
  • 1992Long-Lived Private Information and Imperfect Competition802 cited
  • 1991Multimarket Trading and Market Liquidity597 cited
  • 2006Institutional Investors and Stock Market Volatility539 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 1988The implementation shortfall441 cited
  • 1995Anatomy of the trading process empirical evidence on the behavior of institutional traders435 cited
  • 2007Empirical Market Microstructure430 cited
  • 2006Competition for Order Flow and Smart Order Routing Systems332 cited
  • 2000Statistical properties of share volume traded in financial markets320 cited
  • 2013Do Dark Pools Harm Price Discovery?

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