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Depth improvement and adjusted price improvement on the New York stock exchange
16 references·7 citing·42 second hop
Depth improvement and adjusted price improvement on the New York stock exchange (2002)Depth improvement and adjusted price impr…How Stock Splits Affect Trading: A Microstructure Approach (2001)How Stock Splits Affect Tradi…Stock Splits, Tick Size, and Sponsorship (2000)Stock Splits, Tick Size, and …Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE (2000)Eighths, sixteenths, and mark…A Specialist's Quoted Depth and the Limit Order Book (1999)A Specialist's Quoted Depth a…A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks (1997)A cross-exchange comparison o…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow (1996)Cream-Skimming or Profit-Shar…Posted versus effective spreads (1994)Posted versus effective sprea…Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes (1994)Minimum Price Variations, Dis…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Market Integration and Price Execution for NYSE-Listed Securities (1993)Market Integration and Price …Auctions of Divisible Goods: On the Rationale for the Treasury Experiment (1993)Auctions of Divisible Goods: …What's special about the specialist? (1992)What's special about the spec…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Is there less informed trading after regulation fair disclosure? (2006)Is there less informed tradin…TRADE SIZE AND INFORMED TRADING: WHICH TRADES ARE “BIG”? (2005)TRADE SIZE AND INFORMED TRADI…Sources of liquidity for NYSE-listed non-US stocks (2005)Sources of liquidity for NYSE…Reputation-based pricing and price improvements (2005)Reputation-based pricing and …Quantifying market order execution quality at the New York stock exchange (2003)Quantifying market order exec…Competition Among Market Centers (2003)Competition Among Market Cent…The Development of Secondary Market Liquidity for Nyse-Listed Ipos (2002)The Development of Secondary …Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)Information, trade and common knowledge (1982)Inferring Trade Direction from Intraday Data (1991)Competition among Trading Venues: Information and Trading on Electronic Communications Networks (2003)Latency, Liquidity and Price Discovery (2011)Retail trader sophistication and stock market quality: Evidence from brokerage outages (2022)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)A Theory of Auctions and Competitive Bidding (1982)Auctions and Bidding (1986)Why new issues are underpriced (1986)Special Repo Rates (1996)Asset Pricing under Asymmetric Information (2001)Tradeable carbon permit auctions (2002)The Cost of Transacting (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)Estimating the components of the bid/ask spread (1988)Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Corporate Governance and Liquidity (2010)The Cross-Section of Expected Stock Returns (1992)Presidential Address: Friction (2000)Advertising, Breadth of Ownership, and Liquidity (2003)The illusory nature of momentum profits (2003)Liquidity and Market Structure (1988)Sixteenths: direct evidence on institutional execution costs (2001)Equilibrium in a Dynamic Limit Order Market (2005)The Diversity of High Frequency Traders (2012)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter™ (2013)Inferring investor behavior: Evidence from TORQ data (2000)Price Discovery and Trading After Hours (2003)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)
this work references cited by second hop

References

  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
  • 1996Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow537 cited
  • 1993Auctions of Divisible Goods: On the Rationale for the Treasury Experiment517 cited
  • 2000Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE444 cited
  • 1997A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks279 cited
  • 1994Posted versus effective spreads260 cited
  • 2000Stock Splits, Tick Size, and Sponsorship256 cited
  • 2001How Stock Splits Affect Trading: A Microstructure Approach255 cited
  • 1999A Specialist's Quoted Depth and the Limit Order Book253 cited
  • 1992What's special about the specialist?

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250 cited
  • 1993Market Integration and Price Execution for NYSE-Listed Securities246 cited
  • Cited by

    • 2006Is there less informed trading after regulation fair disclosure?44 cited
    • 2003Quantifying market order execution quality at the New York stock exchange31 cited
    • 2005Reputation-based pricing and price improvements29 cited
    • 2003Competition Among Market Centers25 cited
    • 2005TRADE SIZE AND INFORMED TRADING: WHICH TRADES ARE “BIG”?22 cited
    • 2005Sources of liquidity for NYSE-listed non-US stocks21 cited
    • 2002The Development of Secondary Market Liquidity for Nyse-Listed Ipos21 cited