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Limit Orders, Depth, and Volatility
16 references·0 citing·33 second hop
Limit Orders, Depth, and Volatility (1999)Limit Orders, Depth, and VolatilityOrder flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Limit orders and the bid–ask spread (1999)Limit orders and the bid–ask …A Specialist's Quoted Depth and the Limit Order Book (1999)A Specialist's Quoted Depth a…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Tick Size, Share Prices, and Stock Splits (1997)Tick Size, Share Prices, and …Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy (1996)Market vs. Limit Orders: The …Market Microstructure Theory. (1996)Market Microstructure Theory.Limit Order Trading (1996)Limit Order TradingMarket microstructure theory (1995)Market microstructure theoryAn 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…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Limit Order Book as a Market for Liquidity (2005)A Dynamic Model of the Limit Order Book (2009)Continuous Auctions and Insider Trading (1985)Why Does Stock Market Volatility Change Over Time? (1989)Order Flow and Exchange Rate Dynamics (1999)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)A Theory of Auctions and Competitive Bidding (1982)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Stochastic Model for Order Book Dynamics (2010)Optimal trading strategy and supply/demand dynamics (2012)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)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)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter™ (2013)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Corporate Bond Market Transaction Costs and Transparency (2007)MIDAS Regressions: Further Results and New Directions (2007)
this work references cited by second hop

References

  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1995Market microstructure theory1,305 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
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1994Transactions, Volume, and Volatility870 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 1996Limit Order Trading400 cited
  • 1996Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy388 cited
  • 1997Tick Size, Share Prices, and Stock Splits387 cited
  • 1999Limit orders and the bid–ask spread268 cited
  • 1999A Specialist's Quoted Depth and the Limit Order Book

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