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Cited by

• 2004Commonality in liquidity: Evidence from the Australian Stock Exchange79 cited
• 1994An intraday analysis of Bid‐Ask spreads and price volatility in the S&P 500 index futures market64 cited
• 2001Order handling rules, tick size, and the intraday pattern of bid–ask spreads for Nasdaq stocks63 cited
• 1985Random competitive exchange: Price distributions and gains from trade59 cited
• 1999Symposium on Market Microstructure: A Review of Empirical Research52 cited
• 1989Market microstructure and price discovery on the Tokyo Stock Exchange47 cited
• 2012The day-of-the-week effect revisited: international evidence46 cited
• 2021The Financial System Red in Tooth and Claw: 75 Years of Co-Evolving Markets and Technology42 cited
• 1988Liquidity, Volatility, and Exchange Automation39 cited
• 1994Futures markets, regulation and volatility: The case of the Nikkei stock index futures markets32 cited
• 2002Tick size and quote revisions on the NYSE28 cited
• 2006Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange26 cited
• 2024The Adaptive Markets Hypothesis20 cited