References

• 1985Continuous Auctions and Insider Trading9,626 cited
• 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
• 1987Price, trade size, and information in securities markets2,169 cited
• 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
• 1988Estimating the components of the bid/ask spread1,612 cited
• 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
• 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
• 1986Univariate detrending methods with stochastic trends851 cited
• 1991Estimation of the Bid–Ask Spread and Its Components: A New Approach594 cited
• 2002Price discovery and common factor models546 cited
• 1991The Summary Informativeness of Stock Trades: An Econometric Analysis537 cited
• 1995Estimation of Common Long-Memory Components in Cointegrated Systems426 cited
• 1987