References

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• 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
• 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
• 1987Price, trade size, and information in securities markets2,169 cited
• 1991Measuring the Information Content of Stock Trades1,868 cited
• 1977Dummy Endogenous Variables in a Simultaneous Equation System1,837 cited
• 1988Estimating the components of the bid/ask spread1,612 cited
• 1988How Big Is the Random Walk in GNP?1,270 cited
• 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
• 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
• 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
• 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited