this work references cited by second hop· second hop is a sample of the most-cited connectionsReferences
- 1985Continuous Auctions and Insider Trading9,626 cited
- 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
- 2012The Econometrics of Financial Markets5,875 cited
- 1997The Econometrics of Financial Markets5,007 cited
- 1991Inferring Trade Direction from Intraday Data3,150 cited
- 1998Volume, Volatility, Price, and Profit When All Traders Are Above Average1,980 cited
- 1994Market liquidity and volume around earnings announcements1,786 cited
- 1992Time and the Process of Security Price Adjustment1,225 cited
- 2000Market microstructure: A survey1,133 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
- 2002Order imbalance, liquidity, and market returns914 cited
- 1992An Empirical Analysis of Illegal Insider Trading818 cited
- 2000Presidential Address: Friction681 cited
- 1989Insider Trading, Liquidity, and the Role of the Monopolist Specialist517 cited
- 1996
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