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Market microstructure of FT-SE 100 index futures: An intraday empirical analysis
16 references·3 citing·36 second hop
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this work references cited by second hop

References

  • 1978Specification Tests in Econometrics18,788 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1968The Cost of Transacting1,909 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1995Market microstructure theory1,305 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 1989Stock Volatility and the Crash of '87

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1,045 cited

Cited by

  • 1999Changing the Size of a Futures Contract: Liquidity and Microstructure Effects34 cited
  • 2004Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market33 cited
  • 2009Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility28 cited