References

• 1985Continuous Auctions and Insider Trading9,626 cited
• 2007Brownian Motion and Stochastic Calculus7,421 cited
• 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
• 1987Expected stock returns and volatility4,147 cited
• 2003Modeling and Forecasting Realized Volatility3,887 cited
• 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
• 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
• 1991Inferring Trade Direction from Intraday Data3,150 cited
• 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
• 1980On estimating the expected return on the market2,818 cited
• 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
• 2001The distribution of realized stock return volatility2,264 cited
• 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited