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Price Improvement and Execution Risk in Lit and Dark Markets
16 references·0 citing·32 second hop
Price Improvement and Execution Risk in Lit and Dark Markets (2019)Price Improvement and Execution Risk in L…Price Discovery without Trading: Evidence from Limit Orders (2019)Price Discovery without Tradi…Dark trading and price discovery (2015)Dark trading and price discov…The Impact of Dark Trading and Visible Fragmentation on Market Quality (2014)The Impact of Dark Trading an…The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The High-Frequency Trading Ar…Do Dark Pools Harm Price Discovery? (2013)Do Dark Pools Harm Price Disc…A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …Dynamic order submission strategies with competition between a dealer market and a crossing network☆ (2008)Dynamic order submission stra…So What Orders Do Informed Traders Use?* (2006)So What Orders Do Informed Tr…Estimating the Gains from Trade in Limit‐Order Markets (2006)Estimating the Gains from Tra…Empirical Analysis of Limit Order Markets (2004)Empirical Analysis of Limit O…Crossing Networks and Dealer Markets: Competition and Performance (2000)Crossing Networks and Dealer …Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Information, trade and common knowledge (1982)Information, trade and common…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)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Limit Order Book as a Market for Liquidity (2005)Agreeing to Disagree (1976)The Private and Social Value of Information and the Reward to Inventive Activity (1978)Herd Behavior and Investment (1988)Noise Trader Risk in Financial Markets (1990)Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)How Markets Slowly Digest Changes in Supply and Demand (2009)A Stochastic Model for Order Book Dynamics (2010)Optimal trading strategy and supply/demand dynamics (2012)A Theory of Auctions and Competitive Bidding (1982)Presidential Address: Friction (2000)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Market Liquidity and Funding Liquidity (2008)Measuring the Information Content of Stock Trades (1991)The Competitive Landscape of High-Frequency Trading Firms (2017)Do High-Frequency Traders Anticipate Buying and Selling Pressure? (2020)Macroeconomic Attention and Announcement Risk Premia (2022)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Informed traders and limit order markets (2009)Do Prices Reveal the Presence of Informed Trading? (2015)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Trading and Arbitrage in Cryptocurrency Markets (2018)Machine behaviour (2019)
this work references cited by second hop

References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1982Information, trade and common knowledge1,738 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2006So What Orders Do Informed Traders Use?*351 cited
  • 2013Do Dark Pools Harm Price Discovery?309 cited
  • 2019Price Discovery without Trading: Evidence from Limit Orders274 cited
  • 2000Crossing Networks and Dealer Markets: Competition and Performance257 cited
  • 2004Empirical Analysis of Limit Order Markets235 cited
  • 2015Dark trading and price discovery202 cited
  • 2014The Impact of Dark Trading and Visible Fragmentation on Market Quality201 cited
  • 2008Dynamic order submission strategies with competition between a dealer market and a crossing network☆162 cited

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2006
Estimating the Gains from Trade in Limit‐Order Markets
153 cited

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