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Determinants of Volume in Dark Pool Crossing Networks
16 references·5 citing·42 second hop
Determinants of Volume in Dark Pool Crossing Networks (2009)Determinants of Volume in Dark Pool Cross…Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Costs (2011)Performance of Institutional …Hidden liquidity: An analysis of order exposure strategies in electronic stock markets (2009)Hidden liquidity: An analysis…Brokerage Commissions and Institutional Trading Patterns (2009)Brokerage Commissions and Ins…Island Goes Dark: Transparency, Fragmentation, and Regulation (2005)Island Goes Dark: Transparenc…Equilibrium in a Dynamic Limit Order Market (2005)Equilibrium in a Dynamic Limi…Debt Dynamics (2005)Debt DynamicsThe Dynamics of Institutional and Individual Trading (2003)The Dynamics of Institutional…Analysis of Panel Data (2003)Analysis of Panel DataCrossing Networks and Dealer Markets: Competition and Performance (2000)Crossing Networks and Dealer …Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Transactions costs and invest…In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets (1997)In Search of Liquidity: Block…The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)The Upstairs Market for Large…Stealth trading and volatility (1993)Stealth trading and volatilitySimulation-based inference (1993)Simulation-based inferenceThe Summary Informativeness of Stock Trades: An Econometric Analysis (1991)The Summary Informativeness o…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Two shades of opacity: Hidden orders and dark trading (2021)Two shades of opacity: Hidden…Optimal liquidation in dark pools (2014)Optimal liquidation in dark p…Sub-Penny and Queue-Jumping (2013)Sub-Penny and Queue-JumpingPrice Manipulation, Price Discovery and Transaction Costs in the Crossing Network (2012)Price Manipulation, Price Dis…Optimal Liquidation in Dark Pools (2009)Optimal Liquidation in Dark P…The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stealth-trading: Which traders' trades move stock prices? (2001)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)Estimating the components of the bid/ask spread (1988)The Behavior of Stock Prices Around Institutional Trades (1995)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Are Financial Assets Priced Locally or Globally? (2002)Are Momentum Profits Robust to Trading Costs? (2004)Optimal trading strategy and supply/demand dynamics (2012)Trends and random walks in macroeconmic time series (1982)Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement (1993)Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Evaporating Liquidity (2012)The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)Price, trade size, and information in securities markets (1987)Inferring Trade Direction from Intraday Data (1991)A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks (1997)Automation, speed, and stock market quality: The NYSE's Hybrid (2011)Do Dark Pools Harm Price Discovery? (2013)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Informed traders and limit order markets (2009)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)Noise Trader Risk in Financial Markets (1990)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Caught on tape: Institutional trading, stock returns, and earnings announcements (2008)The Interim Trading Skills of Institutional Investors (2011)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)Firms’ histories and their capital structures☆ (2006)Tax shelters and corporate debt policy (2006)Macroeconomic Effects of Financial Shocks (2012)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Initial conditions and moment restrictions in dynamic panel data models (1995)Econometric Analysis of Cross Section and Panel Data (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Pricing the commonality across alternative measures of liquidity (2007)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2003Analysis of Panel Data7,858 cited
  • 1993Stealth trading and volatility948 cited
  • 2005Debt Dynamics774 cited
  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 1997Transactions costs and investment style: an inter-exchange analysis of institutional equity trades596 cited
  • 1991The Summary Informativeness of Stock Trades: An Econometric Analysis537 cited
  • 2003The Dynamics of Institutional and Individual Trading506 cited
  • 2005Equilibrium in a Dynamic Limit Order Market439 cited
  • 1997In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets318 cited
  • 2000Crossing Networks and Dealer Markets: Competition and Performance257 cited
  • 2005Island Goes Dark: Transparency, Fragmentation, and Regulation253 cited
  • 2009Brokerage Commissions and Institutional Trading Patterns217 cited
  • 1993Simulation-based inference205 cited
  • 2011Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Costs196 cited
  • 2009

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Hidden liquidity: An analysis of order exposure strategies in electronic stock markets
174 cited

Cited by

  • 2014Optimal liquidation in dark pools36 cited
  • 2009Optimal Liquidation in Dark Pools34 cited
  • 2013Sub-Penny and Queue-Jumping26 cited
  • 2012Price Manipulation, Price Discovery and Transaction Costs in the Crossing Network25 cited
  • 2021Two shades of opacity: Hidden orders and dark trading20 cited