References

• 1985Continuous Auctions and Insider Trading9,626 cited
• 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
• 1986Asset pricing and the bid-ask spread5,087 cited
• 1991Inferring Trade Direction from Intraday Data3,150 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
• 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
• 1988Estimating the components of the bid/ask spread1,612 cited
• 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
• 1995Market microstructure theory1,305 cited
• 1992Time and the Process of Security Price Adjustment1,225 cited
• 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
• 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
• 1993Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models624 cited