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Penny pricing and the components of spread and depth changes
16 references·1 citing·44 second hop
Penny pricing and the components of spread and depth changes (2004)Penny pricing and the components of sprea…TRADING COSTS AND QUOTE CLUSTERING ON THE NYSE AND NASDAQ AFTER DECIMALIZATION (2004)TRADING COSTS AND QUOTE CLUST…The information content of the limit order book: evidence from NYSE specialist trading decisions (2004)The information content of th…Decimals And Liquidity: A Study Of The Nyse (2004)Decimals And Liquidity: A Stu…Trade Execution Costs and Market Quality after Decimalization (2003)Trade Execution Costs and Mar…Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange (2003)Order submission strategies, …Issues in assessing trade execution costs (2003)Issues in assessing trade exe…Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten Dollars (2000)Tick Size, Spreads, and Liqui…Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison (1999)Trade Execution Costs on NASD…Limit orders and the bid–ask spread (1999)Limit orders and the bid–ask …Decimalization: A Review of the Arguments and Evidence (1997)Decimalization: A Review of t…Clustering and Competition in Asset Markets (1997)Clustering and Competition in…Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes (1994)Minimum Price Variations, Dis…An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…Stock Price Clustering and Discreteness (1991)Stock Price Clustering and Di…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS (1978)THE PRICING OF SECURITY DEALE…Share Repurchase Offers and Liquidity: An Examination of Temporary and Permanent Effects (2008)Share Repurchase Offers and L…Information Effects on the Bid-Ask Spread (1983)Limited-dependent and qualitative variables in econometrics (1983)Technical Analysis and Liquidity Provision (2004)An intraday market risk management approach based on textual analysis (2010)Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market (2010)Liquidity and Market Structure (1988)Trading and Exchanges: Market Microstructure for Practitioners (2002)The Determinants of Underpricing for Seasoned Equity Offers (2003)Realized Volatility: A Review (2008)The Cost of Transacting (1968)The capital asset pricing model: Some empirical tests (1972)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Transaction costs and the small firm effect (1983)Transaction costs and the small firm effect (1983)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)Estimating the components of the bid/ask spread (1988)Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Corporate Governance and Liquidity (2010)Stock returns and the weekend effect (1980)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Order flow composition and trading costs in a dynamic limit order market (1999)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Mean reversion in stock prices (1988)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Recent trends in trading activity and market quality (2011)Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? (2014)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks (2002)Dimensions of execution quality: Recent evidence for US equity markets (2005)An analysis of trade-size clustering and its relation to stealth trading☆ (2007)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Econometric models of limit-order executions (2002)Disclosure Policy and Market Liquidity: Impact of Depth Quotes and Order Sizes* (2005)Optimal Trading Strategy and Supply/Demand Dynamics (2005)Market efficiency in real time (2002)A simple approximation of intraday spreads using daily data (2013)Algorithmic Trading and Market Quality: International Evidence (2020)
this work references cited by second hop

References

  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 1978THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS630 cited
  • 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
  • 1991Stock Price Clustering and Discreteness576 cited
  • 2003Trade Execution Costs and Market Quality after Decimalization512 cited
  • 2003Issues in assessing trade execution costs358 cited
  • 1999Limit orders and the bid–ask spread268 cited
  • 1999Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison263 cited
  • 2004The information content of the limit order book: evidence from NYSE specialist trading decisions177 cited
  • 1997Clustering and Competition in Asset Markets147 cited
  • 2004Decimals And Liquidity: A Study Of The Nyse107 cited
  • 2000Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten Dollars104 cited
  • 1997Decimalization: A Review of the Arguments and Evidence99 cited
  • 2003Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange

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97 cited
  • 2004TRADING COSTS AND QUOTE CLUSTERING ON THE NYSE AND NASDAQ AFTER DECIMALIZATION80 cited
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    • 2008Share Repurchase Offers and Liquidity: An Examination of Temporary and Permanent Effects18 cited