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The price impact of trade-size clustering: Evidence from an intraday analysis
16 references·1 citing·37 second hop
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2011In Search of Attention3,124 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2014High-Frequency Trading and Price Discovery1,185 cited
  • 2009Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data1,098 cited
  • 1993Stealth trading and volatility948 cited
  • 2012Short Selling and the Price Discovery Process737 cited
  • 2011Investor Information Demand: Evidence from Google Searches Around Earnings Announcements694 cited
  • 1992Market Structure and the Nature of Price Rigidity: Evidence from the Market for Consumer Deposits693 cited
  • 2001Stealth-trading: Which traders' trades move stock prices?682 cited
  • 2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market608 cited

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Time and the Price Impact of a Trade
592 cited

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  • 2025Investigation of a Green Production Inventory Model with Stock-Dependent Production Rate Under Preservation Investment and Artificial Ecosystem-Based Optimizer8 cited