References

• 1985Continuous Auctions and Insider Trading9,626 cited
• 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
• 1991Inferring Trade Direction from Intraday Data3,150 cited
• 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
• 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
• 1987Price, trade size, and information in securities markets2,169 cited
• 1993Differences of Opinion Make a Horse Race1,650 cited
• 1988Estimating the components of the bid/ask spread1,612 cited
• 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
• 1992Stock Prices and Volume1,295 cited
• 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
• 1989Stock Volatility and the Crash of '871,045 cited
• 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
• 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
• 1993Stealth trading and volatility948 cited
• 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis