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Consistency between Predicted and Actual Bid-Ask Quote-Revisions
16 references·7 citing·36 second hop
Consistency between Predicted and Actual Bid-Ask Quote-Revisions (1991)Consistency between Predicted and Actual …Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…A Day-End Transaction Price Anomaly (1989)A Day-End Transaction Price A…Trades, quotes, inventories, and information (1988)Trades, quotes, inventories, …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…Order Arrival, Quote Behavior, and the Return-Generating Process (1987)Order Arrival, Quote Behavior…The Microstructure of Securities Markets. (1986)The Microstructure of Securit…The Microeconomics of Market Making (1986)The Microeconomics of Market …Market Making and the Changing Structure of the Securities Industry (1985)Market Making and the Changin…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…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Does the Open Limit Order Book Matter in Explaining Informational Volatility? (2009)Does the Open Limit Order Boo…Asymmetries in bid and ask responses to innovations in the trading process (2005)Asymmetries in bid and ask re…Impacts of trades in an error-correction model of quote prices (2003)Impacts of trades in an error…Impacts of Trades in an Error-Correction Model of Quote Prices (2001)Impacts of Trades in an Error…Fragmentation, competition, and limit orders: New evidence from interday spreads (1998)Fragmentation, competition, a…Large Option Trades, Market Makers, and Limit Orders (1996)Large Option Trades, Market M…The market spread, limit orders, and options (1993)The market spread, limit orde…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)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)The Cost of Transacting (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)The Analysis of Economic Time-Series-Part I: Prices (1953)Some New Stock-Market Indexes (1966)Risk measurement when shares are subject to infrequent trading (1979)Predicting stock market volatility: A new measure (1995)High frequency data in financial markets: Issues and applications (1997)Multifractal analysis of financial markets: a review (2019)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)Stock Market Structure and Volatility (1990)Trade Size and Components of the Bid-Ask Spread (1995)
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
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks534 cited
  • 1988Trades, quotes, inventories, and information489 cited
  • 1986The Microeconomics of Market Making348 cited
  • 1989A Day-End Transaction Price Anomaly200 cited
  • 1987Order Arrival, Quote Behavior, and the Return-Generating Process165 cited
  • 1986The Microstructure of Securities Markets.162 cited
  • 1985Market Making and the Changing Structure of the Securities Industry

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139 cited

Cited by

  • 1996Large Option Trades, Market Makers, and Limit Orders36 cited
  • 2005Asymmetries in bid and ask responses to innovations in the trading process34 cited
  • 2001Impacts of Trades in an Error-Correction Model of Quote Prices34 cited
  • 2009Does the Open Limit Order Book Matter in Explaining Informational Volatility?33 cited
  • 2003Impacts of trades in an error-correction model of quote prices28 cited
  • 1998Fragmentation, competition, and limit orders: New evidence from interday spreads25 cited
  • 1993The market spread, limit orders, and options25 cited