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An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange
16 references·0 citing·35 second hop
An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange (1995)An Empirical Analysis of the Trading Stru…Limit Order Trading (1996)Limit Order TradingAn Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes (1994)Minimum Price Variations, Dis…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Variations in Trading Volume,…Periodic market closure and trading volume (1992)Periodic market closure and t…Stock Price Clustering and Discreteness (1991)Stock Price Clustering and Di…Reshaping the equity markets: a guide for the 1990s (1991)Reshaping the equity markets:…Liquidity , Trading Rules and Electronic Trading Systems . (1990)Liquidity , Trading Rules and…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…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…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…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…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Using daily stock returns (1985)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)The econometrics of ultra-high frequency data /Stock returns and the weekend effect (1980)Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)Statistical properties of the volatility of price fluctuations (1999)A Theory of Auctions and Competitive Bidding (1982)Order flow composition and trading costs in a dynamic limit order market (1999)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Time and the Price Impact of a Trade (2000)Optimal trading strategy and supply/demand dynamics (2012)Estimating the components of the bid/ask spread (1988)Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Corporate Governance and Liquidity (2010)Inferring Trade Direction from Intraday Data (1991)Trade Size and Components of the Bid-Ask Spread (1995)Pricing the commonality across alternative measures of liquidity (2007)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)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)
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
  • 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
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1993Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models624 cited
  • 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
  • 1991Stock Price Clustering and Discreteness576 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks534 cited
  • 1992Periodic market closure and trading volume426 cited
  • 1996Limit Order Trading400 cited
  • 1990Liquidity , Trading Rules and Electronic Trading Systems .203 cited

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  • 1991Reshaping the equity markets: a guide for the 1990s94 cited
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