References

• 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
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
• 1987Price, trade size, and information in securities markets2,169 cited
• 1987Constraints on short-selling and asset price adjustment to private information1,796 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
• 1992Time and the Process of Security Price Adjustment1,225 cited
• 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
• 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
• 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
• n.d.The econometrics of ultra-high frequency data /784 cited
• 2008Price drivers and structural breaks in European carbon prices 2005–2007