SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Asymmetries in bid and ask responses to innovations in the trading process
16 references·3 citing·36 second hop
Asymmetries in bid and ask responses to innovations in the trading process (2005)Asymmetries in bid and ask responses to i…Are Insider Trades Informative? (2001)Are Insider Trades Informativ…Market Microstructure Theory. (1996)Market Microstructure Theory.One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…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 …Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Testing for Common Trends (1988)Testing for Common TrendsEstimating the components of the bid/ask spread (1988)Estimating the components of …Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …The Market Impact of a Limit Order (2010)The Market Impact of a Limit …Does the Open Limit Order Book Matter in Explaining Informational Volatility? (2009)Does the Open Limit Order Boo…Back from Beyond the Bid–Ask Spread: Estimating Liquidity in International Markets (2007)Back from Beyond the Bid–Ask …Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Market liquidity and volume around earnings announcements (1994)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)On the Impossibility of Informationally Efficient Markets (1980)Noise Trader Risk in Financial Markets (1990)What Makes Investors Trade? (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Individualism and Momentum around the World (2010)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)The theory and practice of econometrics (1986)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Cointegration and Tests of Present Value Models (1987)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Realized Variance and Market Microstructure Noise (2006)The Behavior of Stock-Market Prices (1965)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1988Testing for Common Trends1,894 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1995Market microstructure theory1,305 cited
  • 2001Are Insider Trades Informative?1,229 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1996Market Microstructure Theory.1,152 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1995
An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
1,151 cited

Cited by

  • 2009Does the Open Limit Order Book Matter in Explaining Informational Volatility?33 cited
  • 2007Back from Beyond the Bid–Ask Spread: Estimating Liquidity in International Markets27 cited
  • 2010The Market Impact of a Limit Order25 cited