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Intertemporal price discovery by market makers: Active versus passive learning
16 references·9 citing·36 second hop
Intertemporal price discovery by market makers: Active versus passive learning (1992)Intertemporal price discovery by market m…Trading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…Trading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Liquidity and Market Structure (1988)Liquidity and Market StructureControlling a Stochastic Process with Unknown Parameters (1988)Controlling a Stochastic Proc…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Bandit Problems, Sequential Allocation of Experiments. (1987)Bandit Problems, Sequential A…The Microeconomics of Market Making (1986)The Microeconomics of Market …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…Bayesian Models in Economic Theory. (1985)Bayesian Models in Economic T…The Dynamics of Dealer Markets Under Competition (1983)The Dynamics of Dealer Market…ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION (1976)ON THE EFFICIENCY OF COMPETIT…A two-armed bandit theory of market pricing (1974)A two-armed bandit theory of …The Cost of Transacting (1968)The Cost of TransactingAlgorithmic and high frequency trading in Asia-Pacific, now and the future (2018)Algorithmic and high frequenc…Market making with asymmetric information and inventory risk (2016)Market making with asymmetric…End-User Order Flow and Exchange Rate Dynamics (2016)End-User Order Flow and Excha…Price Discovery in Currency Markets (2006)Price Discovery in Currency M…Trade Duration: Information and Trade Disposition (2005)Trade Duration: Information a…Market capitalisation, cross-correlations, the lead/lag structure and microstructure effects in the Indian stock market (2004)Market capitalisation, cross-…Demand Discovery and Asset Pricing (2004)Demand Discovery and Asset Pr…Supply Contraction and Trading Protocol: An Examination of Recent Changes in the U.S. Treasury Market (2002)Supply Contraction and Tradin…Two months in the life of several gilt-edged market makers on the London Stock Exchange (1998)Two months in the life of sev…Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Market liquidity and volume around earnings announcements (1994)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)COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)Information Effects on the Bid-Ask Spread (1983)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Liquidity and Asset Prices (2006)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)The Economics of Information (1961)A model of price adjustment (1971)Micro-Economic Foundations of Employment and Inflation Theory. (1972)Bargains and Ripoffs: A Model of Monopolistically Competitive Price Dispersion (1977)Chapter 15 Job search and labor market analysis (1986)Trust as a commodity (1988)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Transmission of Volatility between Stock Markets (1990)Herd on the Street: Informational Inefficiencies in a Market with Short‐Term Speculation (1992)The Use of Knowledge in Society (1996)The Adaptive Markets Hypothesis (2004)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Noise Trader Risk in Financial Markets (1990)
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
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1968The Cost of Transacting1,909 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1976ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION1,438 cited
  • 1983The Dynamics of Dealer Markets Under Competition783 cited
  • 1974A two-armed bandit theory of market pricing617 cited
  • 1987Bandit Problems, Sequential Allocation of Experiments.566 cited
  • 1992Trading Mechanisms in Securities Markets426 cited
  • 1985Bayesian Models in Economic Theory.414 cited
  • 1992Trading Mechanisms in Securities Markets356 cited
  • 1986The Microeconomics of Market Making348 cited
  • 1988Controlling a Stochastic Process with Unknown Parameters

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267 cited

Cited by

  • 2016Market making with asymmetric information and inventory risk50 cited
  • 2006Price Discovery in Currency Markets39 cited
  • 2016End-User Order Flow and Exchange Rate Dynamics35 cited
  • 2002Supply Contraction and Trading Protocol: An Examination of Recent Changes in the U.S. Treasury Market30 cited
  • 2004Demand Discovery and Asset Pricing27 cited
  • 2005Trade Duration: Information and Trade Disposition26 cited
  • 1998Two months in the life of several gilt-edged market makers on the London Stock Exchange26 cited
  • 2018Algorithmic and high frequency trading in Asia-Pacific, now and the future24 cited
  • 2004Market capitalisation, cross-correlations, the lead/lag structure and microstructure effects in the Indian stock market24 cited