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Equity trading by institutional investors: Evidence on order submission strategies
16 references·6 citing·38 second hopsampled
Equity trading by institutional investors: Evidence on order submission strategies (2003)Equity trading by institutional investors…Trading and Exchanges: Market Microstructure for Practitioners (2002)Trading and Exchanges: Market…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Transactions costs and invest…Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Market microstructure and sec…Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow (1996)Cream-Skimming or Profit-Shar…Anatomy of the trading process empirical evidence on the behavior of institutional traders (1995)Anatomy of the trading proces…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Multimarket Trading and Market Liquidity (1991)Multimarket Trading and Marke…The implementation shortfall (1988)The implementation shortfallAsset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Optimal liquidation in dark pools (2014)Optimal liquidation in dark p…Price Manipulation, Price Discovery and Transaction Costs in the Crossing Network (2012)Price Manipulation, Price Dis…Optimal Liquidation in Dark Pools (2009)Optimal Liquidation in Dark P…Shedding Light on Dark Liquidity Pools (2008)Shedding Light on Dark Liquid…Inflation Inertia and the Optimal Hybrid Inflation/Price-Level Target (2006)Inflation Inertia and the Opt…Efficient consumption of revenues from natural resources - An application to Norwegian petroleum revenues (2005)Efficient consumption of reve…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Limit Order Book as a Market for Liquidity (2005)A Dynamic Model of the Limit Order Book (2009)Continuous Auctions and Insider Trading (1985)Expected stock returns and volatility (1987)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)A Theory of Intraday Patterns: Volume and Price Variability (1988)Transmission of Volatility between Stock Markets (1990)Intraday Price Formation in U.S. Equity Index Markets (2003)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Is market fragmentation harming market quality? (2011)A Theory of Auctions and Competitive Bidding (1982)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Stochastic Model for Order Book Dynamics (2010)Optimal trading strategy and supply/demand dynamics (2012)Measuring security price performance (1980)Presidential Address: Liquidity and Price Discovery (2003)Market transparency, liquidity externalities, and institutional trading costs in corporate bonds☆ (2006)Deviations from Put-Call Parity and Stock Return Predictability (2010)The Components of the Bid-Ask Spread: A General Approach (1997)Liquidity and stock returns: An alternative test (1998)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Market liquidity as a sentiment indicator (2004)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1992Time and the Process of Security Price Adjustment1,225 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
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 1997Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange652 cited
  • 1991Multimarket Trading and Market Liquidity597 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 1997Transactions costs and investment style: an inter-exchange analysis of institutional equity trades596 cited
  • 1996Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow537 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 2002Trading and Exchanges: Market Microstructure for Practitioners517 cited
  • 1988The implementation shortfall441 cited

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  • 1995Anatomy of the trading process empirical evidence on the behavior of institutional traders435 cited
  • Cited by

    • 2014Optimal liquidation in dark pools36 cited
    • 2009Optimal Liquidation in Dark Pools34 cited
    • 2012Price Manipulation, Price Discovery and Transaction Costs in the Crossing Network25 cited
    • 2008Shedding Light on Dark Liquidity Pools25 cited
    • 2006Inflation Inertia and the Optimal Hybrid Inflation/Price-Level Target18 cited
    • 2005Efficient consumption of revenues from natural resources - An application to Norwegian petroleum revenues16 cited