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Asymmetric information and the bid-ask spread: an empirical comparison between automated order execution and open outcry auction
13 references·0 citing·44 second hop
Asymmetric information and the bid-ask spread: an empirical comparison between automated order execution and open outcry auction (1999)Asymmetric information and the bid-ask sp…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Order flow and the bid-ask spread: An empirical probability model of screen-based trading (1997)Order flow and the bid-ask sp…Volume, volatility, liquidity and efficiency of the Singapore Stock Exchange before and after automation (1994)Volume, volatility, liquidity…Trading Mechanisms and the Components of the Bid-Ask Spread (1994)Trading Mechanisms and the Co…Price Formation on Stock Exchanges: The Evolution of Trading within the Day (1994)Price Formation on Stock Exch…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Electronic Screen Trading and the Transmission of Information: An Empirical Examination (1994)Electronic Screen Trading and…Bid-ask spreads in the interbank foreign exchange markets (1994)Bid-ask spreads in the interb…Auctions as algorithms (1994)Auctions as algorithmsWhat's special about the specialist? (1992)What's special about the spec…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Estimation of the Bid–Ask Spread and Its Components: A New Approach (1991)Estimation of the Bid–Ask Spr…Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…Market microstructure (1976)Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market (1991)Trading Mechanisms in Securities Markets (1992)Markets come to bits: Evolution, computation and markomata in economic science (2007)The virtues and vices of equilibrium and the future of financial economics (2008)Zero intelligence in economics and finance (2012)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Price, trade size, and information in securities markets (1987)A Theory of Intraday Patterns: Volume and Price Variability (1988)Price Discovery in Auction Markets: A Look Inside the Black Box (2000)Does Anonymity Matter in Electronic Limit Order Markets? (2007)Limited Attention and the Allocation of Effort in Securities Trading (2008)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)Do Competing Specialists and Preferencing Dealers Affect Market Quality? (1997)Who's Informed? An Analysis of Stock Ownership and Informed Trading (2001)Modeling the bid/ask spread: measuring the inventory-holding premium (2003)The Cost of Transacting (1968)Asset pricing and the bid-ask spread (1986)Efficient Capital Markets: II (1991)Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (2005)Y2K fears and safe haven trading of the U.S. dollar (2006)Understanding FX Liquidity (2015)Expected stock returns and volatility (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Market microstructure: A survey (2000)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)A Theory of Auctions and Competitive Bidding (1982)Order flow composition and trading costs in a dynamic limit order market (1999)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Trade Size and Components of the Bid-Ask Spread (1995)International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market (1998)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts (1996)High frequency analysis of lead-lag relationships between financial markets (1997)Price discovery in floor and screen trading systems (2002)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)
this work references cited by second hop

References

  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 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 Approach594 cited
  • 1992What's special about the specialist?250 cited
  • 1994Bid-ask spreads in the interbank foreign exchange markets211 cited
  • 1994Trading Mechanisms and the Components of the Bid-Ask Spread177 cited
  • 1994Electronic Screen Trading and the Transmission of Information: An Empirical Examination137 cited
  • 1994Auctions as algorithms96 cited
  • 1994Price Formation on Stock Exchanges: The Evolution of Trading within the Day91 cited
  • 1994Volume, volatility, liquidity and efficiency of the Singapore Stock Exchange before and after automation54 cited
  • 1997Order flow and the bid-ask spread: An empirical probability model of screen-based trading32 cited

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