References

• 1985Continuous Auctions and Insider Trading9,626 cited
• 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 1968The Cost of Transacting1,909 cited
• 1983Information Effects on the Bid-Ask Spread1,875 cited
• 1991Measuring the Information Content of Stock Trades1,868 cited
• 1988Estimating the components of the bid/ask spread1,612 cited
• 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
• 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
• 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
• 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
• 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
• 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
• 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
• 1991Estimation of the Bid–Ask Spread and Its Components: A New Approach