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Anonymity in securities markets
13 references·16 citing·35 second hop
Anonymity in securities markets (1992)Anonymity in securities marketsThe Mandatory Disclosure of Trades and Market Liquidity (1995)The Mandatory Disclosure of T…Futures Manipulation with "Cash Settlement" (1992)Futures Manipulation with "Ca…Dual Trading in Futures Markets (1992)Dual Trading in Futures Marke…Sunshine Trading and Financial Market Equilibrium (1991)Sunshine Trading and Financia…A Theory of Trading in Stock Index Futures (1991)A Theory of Trading in Stock …Dual-capacity trading and the quality of the market (1990)Dual-capacity trading and the…A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…Insider Trading, Liquidity, and the Role of the Monopolist Specialist (1989)Insider Trading, Liquidity, a…Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects (1989)Divide and Conquer: A Theory …A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Lack of Anonymity and the Inference from Order Flow (2012)Lack of Anonymity and the Inf…Does Market Transparency Matter? A Case Study (2011)Does Market Transparency Matt…Gradual Information Diffusion and Asset Price Momentum (2010)Gradual Information Diffusion…Dark Pool Trading Strategies, Market Quality and Welfare (2010)Dark Pool Trading Strategies,…The Components of the Bid‐Ask Spread: the Case of the Athens Stock Exchange (2008)The Components of the Bid‐Ask…Anonymity, liquidity and fragmentation (2008)Anonymity, liquidity and frag…What determines transaction costs in foreign exchange markets? (2007)What determines transaction c…Competition in the Market for Nasdaq Securities (2007)Competition in the Market for…Liquidity adjusted value-at-risk based on the components of the bid-ask spread (2006)Liquidity adjusted value-at-r…Why Do Larger Orders Receive Discounts on the London Stock Exchange? (2004)Why Do Larger Orders Receive …Anonymity, Adverse Selection, and the Sorting of Interdealer Trades (2004)Anonymity, Adverse Selection,…Trader Anonymity, Price Formation and Liquidity (2003)Trader Anonymity, Price Forma…Strategic trading and learning about liquidity (2002)Strategic trading and learnin…The value of liquidity: Evidence from the derivatives market (2000)The value of liquidity: Evide…Asymmetric Information and News Disclosure Rules (2000)Asymmetric Information and Ne…Price Discovery and Causality in the Australian Share Price Index Futures Market (1999)Price Discovery and Causality…Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information (1976)Trades, quotes, inventories, and information (1988)The Summary Informativeness of Stock Trades: An Econometric Analysis (1991)Liquidity Provision with Limit Orders and a Strategic Specialist (1997)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Informed Speculation and Hedging in a Noncompetitive Securities Market (1992)Stock price decreases prior to executive stock option grants (2001)Information aggregation and manipulation in an experimental market (2006)On the Impossibility of Informationally Efficient Markets (1980)Does Anonymity Matter in Electronic Limit Order Markets? (2007)Noisy Prices and Inference Regarding Returns (2012)High-Frequency Market Making to Large Institutional Trades (2018)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Intra-day market activity (1999)Trading and Returns under Periodic Market Closures (2000)Back-Running: Seeking and Hiding Fundamental Information in Order Flows* (2019)Noise Trader Risk in Financial Markets (1990)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Intraday Price Formation in U.S. Equity Index Markets (2003)Talk and Action: What Individual Investors Say and What They Do (2005)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Statistical aspects of ARCH and stochastic volatility (1996)Order Flow and Exchange Rate Dynamics (1999)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1991A Theory of Trading in Stock Index Futures542 cited
  • 1989Insider Trading, Liquidity, and the Role of the Monopolist Specialist517 cited
  • 1991Sunshine Trading and Financial Market Equilibrium243 cited
  • 1992Futures Manipulation with "Cash Settlement"242 cited
  • 1989Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects203 cited
  • 1990Dual-capacity trading and the quality of the market147 cited
  • 1995The Mandatory Disclosure of Trades and Market Liquidity136 cited
  • 1992Dual Trading in Futures Markets130 cited

Cited by

  • 2004Why Do Larger Orders Receive Discounts on the London Stock Exchange?86 cited
  • 2004Anonymity, Adverse Selection, and the Sorting of Interdealer Trades

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82 cited
  • 2006Liquidity adjusted value-at-risk based on the components of the bid-ask spread76 cited
  • 2007Competition in the Market for Nasdaq Securities73 cited
  • 2011Does Market Transparency Matter? A Case Study69 cited
  • 2000Asymmetric Information and News Disclosure Rules58 cited
  • 2012Lack of Anonymity and the Inference from Order Flow56 cited
  • 2008Anonymity, liquidity and fragmentation54 cited
  • 2003Trader Anonymity, Price Formation and Liquidity54 cited
  • 2002Strategic trading and learning about liquidity53 cited
  • 2010Dark Pool Trading Strategies, Market Quality and Welfare45 cited
  • 2010Gradual Information Diffusion and Asset Price Momentum39 cited
  • 2007What determines transaction costs in foreign exchange markets?37 cited
  • 1999Price Discovery and Causality in the Australian Share Price Index Futures Market35 cited
  • 2000The value of liquidity: Evidence from the derivatives market35 cited
  • 2008The Components of the Bid‐Ask Spread: the Case of the Athens Stock Exchange32 cited