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Speed of convergence to market efficiency: The role of ECNs
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1990The Noise Trader Approach to Finance1,659 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1996Momentum Strategies1,491 cited
  • 1996Market Microstructure Theory.1,204 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 2007Liquidity and Market Efficiency984 cited
  • 2009Institutional Investors and the Informational Efficiency of Prices784 cited
  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 1997One Day in the Life of a Very Common Stock634 cited
  • 2012Flow Toxicity and Liquidity in a High-frequency World573 cited
  • 2002Trading and Exchanges: Market Microstructure for Practitioners

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