SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Measuring the Information Content of Stock Trades
7 references·16 citing·34 second hop
Measuring the Information Content of Stock Trades (1991)Measuring the Information Content of Stoc…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…The theory and practice of econometrics (1986)The theory and practice of ec…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…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Comparing alternative tests of causality in temporal systems (1983)Comparing alternative tests o…Trading and Arbitrage in Cryptocurrency Markets (2018)Trading and Arbitrage in Cryp…High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Which Shorts Are Informed? (2007)Which Shorts Are Informed?Liquidity and Market Efficiency (2007)Liquidity and Market Efficien…Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Momentum and post-earnings-an…An Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…Common factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Market microstructure: A survey (2000)Market microstructure: A surv…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Constraints on short-selling and asset price adjustment to private information (1987)The Relation Between Price Changes and Trading Volume: A Survey (1987)Theory of rational option pricing (2005)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Asset pricing and the bid-ask spread (1986)Liquidity and stock returns: An alternative test (1998)Inferring Trade Direction from Intraday Data (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Low-Latency Trading (2011)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Cointegration and Tests of Present Value Models (1987)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Realized Variance and Market Microstructure Noise (2006)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Noise Trader Risk in Financial Markets (1990)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)
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
  • 1986The theory and practice of econometrics4,342 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1983Comparing alternative tests of causality in temporal systems631 cited

Cited by

  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1,151 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 2000Market microstructure: A survey1,133 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 2005Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk1,008 cited
  • 2007Liquidity and Market Efficiency984 cited
  • 2007Which Shorts Are Informed?966 cited
  • 2018Trading and Arbitrage in Cryptocurrency Markets903 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited