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Expandable limit order markets
16 references·9 citing·42 second hop
Expandable limit order markets (2003)Expandable limit order marketsEconomic News and the Impact of Trading on Bond Prices (2004)Economic News and the Impact …Institutional trading and alternative trading systems (2003)Institutional trading and alt…Competition among Trading Venues: Information and Trading on Electronic Communications Networks (2003)Competition among Trading Ven…Measuring Treasury Market Liquidity (2001)Measuring Treasury Market Liq…Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Economic News and Bond Prices…Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Price Formation and Liquidity…Tax and Liquidity Effects in Pricing Government Bonds (1998)Tax and Liquidity Effects in …Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Quotes, Order Flow, and Price Discovery (1997)Quotes, Order Flow, and Price…Special Repo Rates (1996)Special Repo RatesMarket Microstructure Theory. (1996)Market Microstructure Theory.Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Market microstructure theory (1995)Market microstructure theoryAn Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Posted versus effective spreads (1994)Posted versus effective sprea…Market Integration and Price Execution for NYSE-Listed Securities (1993)Market Integration and Price …High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market (2021)High-Frequency Trading around…An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds (2021)An Empirical Analysis of Liqu…Government Intervention and Strategic Trading in the U.S. Treasury Market (2018)Government Intervention and S…What does PIN identify? Evidence from the T-bill market (2011)What does PIN identify? Evide…The Microstructure of the TIPS Market (2011)The Microstructure of the TIP…The Microstructure of the TIPS Market (2009)The Microstructure of the TIP…The Impact of Iceberg Orders in Limit Order Books (2009)The Impact of Iceberg Orders …Price discovery in the round-the-clock U.S. Treasury market (2009)Price discovery in the round-…The Effect of Transaction Size on Off-the-Run Treasury Prices (2004)The Effect of Transaction Siz…Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Dynamic Asset Pricing Theory. (1993)A Search‐Based Theory of the On‐the‐Run Phenomenon (2008)Sizing Up Repo (2014)Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440) (2023)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Dynamic Model of the Limit Order Book (2009)A Stochastic Model for Order Book Dynamics (2010)Optimal trading strategy and supply/demand dynamics (2012)The Information Content of Annual Earnings Announcements (1968)Information Effects on the Bid-Ask Spread (1983)An Empirical Analysis of Stock and Bond Market Liquidity (2004)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve (2004)How is macro news transmitted to exchange rates? (2008)International capital flows and U.S. interest rates (2009)Inferring Trade Direction from Intraday Data (1991)The Cross-Section of Expected Stock Returns (1992)Presidential Address: Friction (2000)Advertising, Breadth of Ownership, and Liquidity (2003)The illusory nature of momentum profits (2003)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Island Goes Dark: Transparency, Fragmentation, and Regulation (2005)Automation, speed, and stock market quality: The NYSE's Hybrid (2011)Price Discovery without Trading: Evidence from Limit Orders (2019)A Theory of Intraday Patterns: Volume and Price Variability (1988)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Stock return variances (1986)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Yield spreads on EMU government bonds (2003)The Pre-FOMC Announcement Drift (2012)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)Corporate Bond Market Transaction Costs and Transparency (2007)MIDAS Regressions: Further Results and New Directions (2007)
this work references cited by second hop

References

  • 1995Market microstructure theory1,305 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information799 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 1996Special Repo Rates461 cited
  • 2004Economic News and the Impact of Trading on Bond Prices413 cited
  • 2003Competition among Trading Venues: Information and Trading on Electronic Communications Networks280 cited
  • 1994Posted versus effective spreads260 cited
  • 1993Market Integration and Price Execution for NYSE-Listed Securities246 cited
  • 2001Measuring Treasury Market Liquidity227 cited
  • 1997Quotes, Order Flow, and Price Discovery201 cited
  • 1998Tax and Liquidity Effects in Pricing Government Bonds192 cited
  • 2003

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Institutional trading and alternative trading systems
165 cited

Cited by

  • 2009The Microstructure of the TIPS Market43 cited
  • 2011The Microstructure of the TIPS Market41 cited
  • 2009The Impact of Iceberg Orders in Limit Order Books38 cited
  • 2004The Effect of Transaction Size on Off-the-Run Treasury Prices36 cited
  • 2011What does PIN identify? Evidence from the T-bill market31 cited
  • 2009Price discovery in the round-the-clock U.S. Treasury market30 cited
  • 2018Government Intervention and Strategic Trading in the U.S. Treasury Market29 cited
  • 2021An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds25 cited
  • 2021High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market25 cited