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The Microstructure of Securities Markets
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The Microstructure of Securities Markets (1986)The Microstructure of Securities MarketsMarket Microstructure and Securities Values Evidence from the Tel Aviv Stock Exchange* (2012)Market Microstructure and Sec…Systematic risk and time scales (2002)Systematic risk and time scal…The Microstructure of the Foreign-Exchange Market: A Selective Survey of the Literature (2001)The Microstructure of the For…An empirical analysis of alternative parametric ARCH models (2000)An empirical analysis of alte…The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange (1999)The Effects of Trading Method…Finite-size effects in Monte Carlo simulations of two stock market models (1999)Finite-size effects in Monte …Electronic Business Engineering (1999)Electronic Business Engineeri…Cross-correlations and cross-bicorrelations in Sterling exchange rates (1999)Cross-correlations and cross-…Information Technology and Screen-Based Securities Trading: Pricing the Stock and Pricing the Trade (1997)Information Technology and Sc…Impacts of the Electronic Marketplace on Transaction Cost and Market Structure (1996)Impacts of the Electronic Mar…Competitivity in Auction Markets: An Experimental and Theoretical Investigation (1995)Competitivity in Auction Mark…Price Formation on Stock Exchanges: The Evolution of Trading within the Day (1994)Price Formation on Stock Exch…An intraday analysis of Bid‐Ask spreads and price volatility in the S&P 500 index futures market (1994)An intraday analysis of Bid‐A…Tax-Induced Trading and the Turn-of-the-Year Anomaly: An Intraday Study (1993)Tax-Induced Trading and the T…HOW TRADING INSTITUTIONS AFFECT FINANCIAL MARKET PERFORMANCE: SOME LABORATORY EVIDENCE (1993)HOW TRADING INSTITUTIONS AFFE…Transactions Costs and Vehicle Currencies (1989)Transactions Costs and Vehicl…The Nature of the Firm (1937)Markets and Hierarchies: Analysis and Antitrust Implications. (1976)The Impact of Electronic Marketplaces on Product Prices: An Empirical Study of AUCNET (1999)Institutionalising information asymmetry: governance structures for open innovation (2009)Knowledge markets in firms: knowledge sharing with trust and signalling (2010)American Economic Review (2019)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the inadequacy of newswire reports for empirical research on foreign exchange interventions (2006)Understanding the Forward Premium Puzzle: A Microstructure Approach (2009)Effective sterilized foreign exchange intervention? Evidence from a rule-based policy (2018)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)A test for independence based on the correlation dimension (1996)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)The Weak-form Efficiency of Chinese Stock Markets (2009)Herd Behaviour, Bubbles and Crashes (1995)Introduction to Econophysics (1999)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Criticality and market efficiency in a simple realistic model of the stock market (2003)Genetic learning as an explanation of stylized facts of foreign exchange markets (2004)Minimal agent based model for financial markets I (2009)Efficient mechanisms for bilateral trading (1983)The Use of Knowledge in Society (1996)On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market (2004)Markups in double auction markets (2007)Are investors really willing to agree to disagree? An experimental investigation of how disagreement and attention to disagreement affect trading behavior (2008)Games and Decisions (2015)Continuous Auctions and Insider Trading (1985)Stock return variances (1986)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Informed Traders and Price Variations in the Betting Market for Professional Basketball Games (1998)Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange (2007)Financial volatility: Issues and measuring techniques (2008)COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)Price formation in double auction markets (1996)Asset markets in the lab: A literature review (2017)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Forecasting volatility (2005)Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities (2012)Asymmetric Volatility in Equity Markets Around the World (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Cross dynamics of oil-stock interactions: A redundant wavelet analysis (2012)Long-Term Stock Market Volatility and the Influence of Terrorist Attacks in Europe (2017)Causal structure among US corn futures and regional cash prices in the time and frequency domain (2018)The Cost of Transacting (1968)The Origin and Development of Media of Exchange (1976)Economic interdependence and flexible exchange rates (1984)On the SDR: Reserve Currencies and the Future of the International Monetary System (1996)The Euro and the Dollar, 1998 (1999)How has the euro changed the foreign exchange market? (2002)
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  • 1996Impacts of the Electronic Marketplace on Transaction Cost and Market Structure118 cited
  • 2001The Microstructure of the Foreign-Exchange Market: A Selective Survey of the Literature110 cited
  • 1993HOW TRADING INSTITUTIONS AFFECT FINANCIAL MARKET PERFORMANCE: SOME LABORATORY EVIDENCE96 cited
  • 1994Price Formation on Stock Exchanges: The Evolution of Trading within the Day91 cited
  • 1999Finite-size effects in Monte Carlo simulations of two stock market models84 cited
  • 2002Systematic risk and time scales76 cited
  • 2000An empirical analysis of alternative parametric ARCH models71 cited
  • 1995Competitivity in Auction Markets: An Experimental and Theoretical Investigation70 cited
  • 1999Cross-correlations and cross-bicorrelations in Sterling exchange rates68 cited
  • 1989Transactions Costs and Vehicle Currencies68 cited
  • 1993Tax-Induced Trading and the Turn-of-the-Year Anomaly: An Intraday Study64 cited
  • 1994An intraday analysis of Bid‐Ask spreads and price volatility in the S&P 500 index futures market64 cited
  • 2012Market Microstructure and Securities Values Evidence from the Tel Aviv Stock Exchange*61 cited
  • 1999Electronic Business Engineering

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54 cited
  • 1997Information Technology and Screen-Based Securities Trading: Pricing the Stock and Pricing the Trade53 cited
  • 1999The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange48 cited