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Who Benefits from an Open Limit‐Order Book?
16 references·16 citing·34 second hopsampled
Who Benefits from an Open Limit‐Order Book? (2005)Who Benefits from an Open Limit‐Order Boo…Should securities markets be transparent? (2005)Should securities markets be …Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE (2005)Lifting the Veil: An Analysis…Price Discovery in Auction Markets: A Look Inside the Black Box (2000)Price Discovery in Auction Ma…Price Discovery and Learning during the Preopening Period in the Paris Bourse (1999)Price Discovery and Learning …Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Market Transparency: Who Wins and Who Loses? (1999)Market Transparency: Who Wins…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Transparency and Liquidity: A…Market microstructure theory (1995)Market microstructure theoryConsolidation, Fragmentation, and the Disclosure of Trading Information (1995)Consolidation, Fragmentation,…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…Informed Speculation with Imperfect Competition (1989)Informed Speculation with Imp…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The Cost of Transacting (1968)The Cost of TransactingShorting in Broad Daylight: Short Sales and Venue Choice (2018)Shorting in Broad Daylight: S…Does High-Frequency Trading Increase Systemic Risk? (2016)Does High-Frequency Trading I…Dark pool trading strategies, market quality and welfare (2016)Dark pool trading strategies,…Hidden Liquidity: Some New Light on Dark Trading (2015)Hidden Liquidity: Some New Li…Undisclosed orders and optimal submission strategies in a limit order market (2013)Undisclosed orders and optima…Modelling and forecasting liquidity supply using semiparametric factor dynamics (2012)Modelling and forecasting liq…On the hidden side of liquidity (2011)On the hidden side of liquidi…Information Sales and Strategic Trading (2011)Information Sales and Strateg…Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers (2011)Hidden and Displayed Liquidit…Dark Pool Trading Strategies, Market Quality and Welfare (2010)Dark Pool Trading Strategies,…Transparency and market quality: Evidence from SuperMontage (2008)Transparency and market quali…Informed Traders as Liquidity Providers: Anonymity, Liquidity and Price Formation (2008)Informed Traders as Liquidity…Pre-trade transparency and market quality (2007)Pre-trade transparency and ma…Financial market design and bounded rationality: An experiment (2007)Financial market design and b…European Government Bond Markets: Transparency, Liquidity, Efficiency (2006)European Government Bond Mark…The Informational Content of an Open Limit Order Book (2004)The Informational Content of …Information aggregation in a noisy rational expectations economy (1981)Tests of microstructural hypotheses in the foreign exchange market (1995)Information Asymmetry, Information Precision, and the Cost of Capital (2011)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Asset pricing and the bid-ask spread (1986)Trade Execution Costs and Market Quality after Decimalization (2003)The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)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)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Theory of Intraday Patterns: Volume and Price Variability (1988)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Periodic market closure and trading volume (1992)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)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)A Stochastic Model for Order Book Dynamics (2010)Optimal trading strategy and supply/demand dynamics (2012)Price, trade size, and information in securities markets (1987)Transparency and Liquidity: A Controlled Experiment on Corporate Bonds (2006)Information Disclosure in Financial Markets (2017)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)Information Effects on the Bid-Ask Spread (1983)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1968The Cost of Transacting1,909 cited
  • 1995Market microstructure theory1,305 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1989Informed Speculation with Imperfect Competition963 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 1996Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading545 cited
  • 1990Stock Market Structure and Volatility544 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 1999Market Transparency: Who Wins and Who Loses?390 cited
  • 1999Price Discovery and Learning during the Preopening Period in the Paris Bourse379 cited
  • 2005Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE362 cited
  • 1995Consolidation, Fragmentation, and the Disclosure of Trading Information345 cited
  • 2005Should securities markets be transparent?308 cited
  • 2000Price Discovery in Auction Markets: A Look Inside the Black Box

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225 cited

Cited by

  • 2016Dark pool trading strategies, market quality and welfare131 cited
  • 2011Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers119 cited
  • 2013Undisclosed orders and optimal submission strategies in a limit order market93 cited
  • 2008Informed Traders as Liquidity Providers: Anonymity, Liquidity and Price Formation93 cited
  • 2004The Informational Content of an Open Limit Order Book85 cited
  • 2015Hidden Liquidity: Some New Light on Dark Trading83 cited
  • 2007Pre-trade transparency and market quality79 cited
  • 2016Does High-Frequency Trading Increase Systemic Risk?61 cited
  • 2011Information Sales and Strategic Trading58 cited
  • 2008Transparency and market quality: Evidence from SuperMontage46 cited
  • 2011On the hidden side of liquidity45 cited
  • 2010Dark Pool Trading Strategies, Market Quality and Welfare45 cited
  • 2018Shorting in Broad Daylight: Short Sales and Venue Choice39 cited
  • 2012Modelling and forecasting liquidity supply using semiparametric factor dynamics35 cited
  • 2006European Government Bond Markets: Transparency, Liquidity, Efficiency35 cited
  • 2007Financial market design and bounded rationality: An experiment32 cited