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On the independence of transactions on the New York Stock exchange
8 references·1 citing·31 second hop
On the independence of transactions on the New York Stock exchange (1977)On the independence of transactions on th…PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)PRICE IMPACTS OF BLOCK TRADIN…Introduction to Stochastic Control Theory (1970)Introduction to Stochastic Co…The Random Character of Stock Market Prices (1968)The Random Character of Stock…The Cost of Transacting (1968)The Cost of TransactingMarket Making and Reversal on the Stock Exchange (1966)Market Making and Reversal on…The Random Character of Stock Market Prices. (1965)The Random Character of Stock…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Theory of Speculation (1964)Theory of SpeculationOpening prices on the New York Stock Exchange (1981)Opening prices on the New Yor…Marginal Stockholder Tax Rates and the Clientele Effect (1970)Trading rules, large blocks and the speed of price adjustment (1977)On The Dynamic Behavior of Prices in Disequilibrium (1980)Public Regulation of the Securities Markets (1964)On computing mean returns and the small firm premium (1983)Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices (1987)Testing for jumps when asset prices are observed with noise–a “swap variance” approach (2008)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Institutional trades and intraday stock price behavior (1993)The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)Presidential Address: Friction (2000)An equilibrium characterization of the term structure (1977)Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England (2000)60 Years of portfolio optimization: Practical challenges and current trends (2013)Information Effects on the Bid-Ask Spread (1983)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Optimal rules for ordering uncertain prospects (1975)Hyperbolic Distributions in Finance (1995)Fractional calculus and continuous-time finance (2000)Scaling behaviors in differently developed markets (2003)Multi-scaling in finance (2007)Predicting short-term stock prices using ensemble methods and online data sources (2018)Multifractal analysis of foreign exchange data (1999)The determinants of trading volume of high-yield corporate bonds (2000)
this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1970Introduction to Stochastic Control Theory3,223 cited
  • 1968The Cost of Transacting1,909 cited
  • 1968The Random Character of Stock Market Prices926 cited
  • 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE671 cited
  • 1966Market Making and Reversal on the Stock Exchange371 cited
  • 1964Theory of Speculation301 cited
  • 1965The Random Character of Stock Market Prices.266 cited

Cited by

  • 1981Opening prices on the New York Stock Exchange20 cited

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