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Price Clustering: Evidence Using Comprehensive Limit‐Order Data
16 references·5 citing·50 second hop
Price Clustering: Evidence Using Comprehensive Limit‐Order Data (2009)Price Clustering: Evidence Using Comprehe…Institutional Investors and the Informational Efficiency of Prices (2009)Institutional Investors and t…So What Orders Do Informed Traders Use?* (2006)So What Orders Do Informed Tr…Changes in Institutional Ownership and Stock Returns: Assessment and Methodology* (2006)Changes in Institutional Owne…The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)The “make or take” decision i…Location Matters: An Examination of Trading Profits (2001)Location Matters: An Examinat…Irrational Exuberance (2001)Irrational ExuberanceThe Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…International Portfolio Investment Flows (1997)International Portfolio Inves…Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings (1996)Preferences for Stock Charact…Trade Size and Components of the Bid-Ask Spread (1995)Trade Size and Components of …Investment analysis and price formation in securities markets (1995)Investment analysis and price…Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Stock Price Clustering and Discreteness (1991)Stock Price Clustering and Di…Periodic Structure in the Brownian Motion of Stock Prices (1962)Periodic Structure in the Bro…Order anticipation around predictable trades (2018)Order anticipation around pre…Clustering of Trade Prices by High‐Frequency and Non–High‐Frequency Trading Firms (2014)Clustering of Trade Prices by…Trading Rules, Competition for Order Flow and Market Fragmentation (2013)Trading Rules, Competition fo…TRADE SIZE AND PRICE CLUSTERING: THE CASE OF SHORT SALES AND THE SUSPENSION OF PRICE TESTS (2012)TRADE SIZE AND PRICE CLUSTERI…An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics (2009)An inflated multivariate inte…A Non-cooperative Equilibrium for Supergames (1971)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Presidential Address: Friction (2000)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)Trade size, order imbalance, and the volatility–volume relation (2000)Analyst Following and Market Liquidity* (2003)Market evidence on the opaqueness of banking firms’ assets (2003)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)The Geography of Investment: Informed Trading and Asset Prices (2001)Do Domestic Investors Have an Edge? 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An analysis of foreign portfolio equity ownership in Japan (1997)Trying to Explain Home Bias in Equities and Consumption (1999)The portfolio flows of international investors (2001)A Rational Expectations Model of Financial Contagion (2002)Limited-dependent and qualitative variables in econometrics (1983)A Simple Model of Herd Behavior (1992)The Cross-Section of Expected Stock Returns (1992)Idiosyncratic Risk Matters! (2003)Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Institutional Investors and Equity Returns: Are Short-term Institutions Better Informed? (2007)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)International Stock Return Predictability: What Is the Role of the United States? (2013)
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References

  • 1997International Portfolio Investment Flows1,284 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 1996Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings1,057 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 2009Institutional Investors and the Informational Efficiency of Prices763 cited
  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 1995Investment analysis and price formation in securities markets730 cited
  • 2001Location Matters: An Examination of Trading Profits624 cited
  • 1991Stock Price Clustering and Discreteness576 cited
  • 1995Trade Size and Components of the Bid-Ask Spread553 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 2004The “make or take” decision in an electronic market: Evidence on the evolution of liquidity483 cited
  • 2006Changes in Institutional Ownership and Stock Returns: Assessment and Methodology*386 cited
  • 2001Irrational Exuberance378 cited
  • 1962Periodic Structure in the Brownian Motion of Stock Prices361 cited

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2006
So What Orders Do Informed Traders Use?*
351 cited

Cited by

  • 2013Trading Rules, Competition for Order Flow and Market Fragmentation45 cited
  • 2018Order anticipation around predictable trades28 cited
  • 2014Clustering of Trade Prices by High‐Frequency and Non–High‐Frequency Trading Firms27 cited
  • 2012TRADE SIZE AND PRICE CLUSTERING: THE CASE OF SHORT SALES AND THE SUSPENSION OF PRICE TESTS27 cited
  • 2009An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics23 cited