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A Specialist's Quoted Depth as a Strategic Choice Variable

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References

1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
1987Price, trade size, and information in securities markets2,169 cited
1988Estimating the components of the bid/ask spread1,612 cited
1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
1989Insider Trading, Liquidity, and the Role of the Monopolist Specialist517 cited
1993Price Experimentation and Security Market Structure116 cited
1994Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange80 cited

Cited by

2002Tick size and quote revisions on the NYSE28 cited
2005TRADE SIZE AND INFORMED TRADING: WHICH TRADES ARE “BIG”?22 cited

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