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Price Discovery in the U.S. Treasury Market: Automation vs. Intermediation
16 references·0 citing·48 second hop
Price Discovery in the U.S. Treasury Market: Automation vs. Intermediation (2012)Price Discovery in the U.S. Treasury Mark…The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequen…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Battle of the Retail Channels: How Product Selection and Geography Drive Cross-Channel Competition (2009)Battle of the Retail Channels…Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market (2008)Flight-to-Quality or Flight-t…Economic News and the Impact of Trading on Bond Prices (2004)Economic News and the Impact …Modeling Financial Time Series with S-Plus® (2003)Modeling Financial Time Serie…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Economic News and Bond Prices…Frictionless Commerce? A Comparison of Internet and Conventional Retailers (2000)Frictionless Commerce? 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this work references cited by second hop

References

  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 2000Frictionless Commerce? A Comparison of Internet and Conventional Retailers2,478 cited
  • 1997Reducing Buyer Search Costs: Implications for Electronic Marketplaces2,255 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 1993Stealth trading and volatility948 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
  • 2008Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market706 cited
  • 2004Economic News and the Impact of Trading on Bond Prices413 cited
  • 2009Battle of the Retail Channels: How Product Selection and Geography Drive Cross-Channel Competition409 cited
  • 2003Modeling Financial Time Series with S-Plus®

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407 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market388 cited
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