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NYSE order flow, spreads, and information · Study

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ArticleNYSE order flow, spreads, and information

Ingrid M. Werner2003

Article2003

NYSE order flow, spreads, and information

Ingrid M. Werner

67 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1991Inferring Trade Direction from Intraday Data 1987Price, trade size, and information in securities markets 1981Optimal dealer pricing under transactions and return uncertainty 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE 1993Stealth trading and volatility 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE 1993Institutional trades and intraday stock price behavior 1993Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

Cited by

2009Measures of implicit trading costs and buy–sell asymmetry 2013OR Forum—The Cost of Latency in High-Frequency Trading 2004Information-based trading, price impact of trades, and trade autocorrelation 2005Hidden Orders, Trading Costs and Information 2010Bid–Ask Spreads 2008Earnings Quality and Information Asymmetry: Evidence from Trading Costs

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1999Symposium on Market Microstructure: A Review of Empirical Researcharticle · 12 shared references 2000Prices, Liquidity, and the Information Content of Tradesarticle · 11 shared references 2017An Empirical Analysis of Market Segmentation on U.S. Equity Marketsarticle · 11 shared references 2005Asymmetries in bid and ask responses to innovations in the trading processarticle · 11 shared references 2002The Microstructure of Stock Marketsarticle · 11 shared references 2012Sell-order liquidity and the cross-section of expected stock returnsarticle · 10 shared references

Details

Year2003

Typearticle

Published2003-04-23

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations67

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s1386-4181(02)00066-6

openalex_workW2025586262

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2013How much does an Illegal Insider Trade?

2007Does Earnings Quality Affect Information Asymmetry? Evidence from Trading Costs