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The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system
16 references·0 citing·37 second hop
The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system (2008)The submission of limit orders or market …A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …Limit Order Book as a Market for Liquidity (2005)Limit Order Book as a Market …The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)The “make or take” decision i…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Periodic market closure and trading volume (1992)Periodic market closure and t…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…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread (1981)Transaction Costs, Order Plac…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)Measuring the Information Content of Stock Trades (1991)Theory of rational option pricing (2005)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Market liquidity and volume around earnings announcements (1994)Expected stock returns and volatility (1987)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)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)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized kernels in practice: trades and quotes (2009)
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References

  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1992Time and the Process of Security Price Adjustment1,225 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
  • 2001An Introduction to High-Frequency Finance956 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 2005Limit Order Book as a Market for Liquidity614 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2004The “make or take” decision in an electronic market: Evidence on the evolution of liquidity483 cited
  • 1992Periodic market closure and trading volume

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426 cited
  • 1981Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread372 cited
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