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Quote setting and price formation in an order driven market
16 references·16 citing·45 second hopsampled
Quote setting and price formation in an order driven market (2002)Quote setting and price formation in an o…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)Volume, Volatility, Price, an…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Dealership market (1980)Dealership marketTHE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…The Only Game in Town (1971)The Only Game in TownDark pool trading strategies, market quality and welfare (2016)Dark pool trading strategies,…Why do carbon prices and price volatility change? (2015)Why do carbon prices and pric…The Provision of Liquidity by High‐Frequency Participants (2014)The Provision of Liquidity by…Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks (2013)Intraday liquidity dynamics a…Intraday technical analysis of individual stocks on the Tokyo Stock Exchange (2012)Intraday technical analysis o…The information content of a limit order book: The case of an FX market (2011)The information content of a …On the hidden side of liquidity (2011)On the hidden side of liquidi…Dark Pool Trading Strategies, Market Quality and Welfare (2010)Dark Pool Trading Strategies,…Limit Order Markets: A Survey (2008)Limit Order Markets: A SurveyAnonymity, liquidity and fragmentation (2008)Anonymity, liquidity and frag…Order Aggressiveness of Institutional and Individual Investors (2007)Order Aggressiveness of Insti…On the Magnet Effect of Price Limits (2007)On the Magnet Effect of Price…Modelling the buy and sell intensity in a limit order book market (2007)Modelling the buy and sell in…Hide-and-Seek in the Market: Placing and Detecting Hidden Orders (2007)Hide-and-Seek in the Market: …Order aggressiveness and order book dynamics (2005)Order aggressiveness and orde…Liquidity, Transaction Costs, and Reintermediation in Electronic Markets (2002)Liquidity, Transaction Costs,…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)Measuring the Information Content of Stock Trades (1991)Theory of rational option pricing (2005)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Market liquidity and volume around earnings announcements (1994)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)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)On the Impossibility of Informationally Efficient Markets (1980)Noise Trader Risk in Financial Markets (1990)What Makes Investors Trade? (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Individualism and Momentum around the World (2010)A Theory of Auctions and Competitive Bidding (1982)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The Cost of Transacting (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Do Investors Trade Too Much? (1999)Investor Psychology and Asset Pricing (2001)Gender Differences in Preferences (2009)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1998Volume, Volatility, Price, and Profit When All Traders Are Above Average1,980 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1980Dealership market965 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 1971The Only Game in Town855 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited

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  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • Cited by

    • 2008Limit Order Markets: A Survey202 cited
    • 2016Dark pool trading strategies, market quality and welfare131 cited
    • 2007Hide-and-Seek in the Market: Placing and Detecting Hidden Orders105 cited
    • 2013Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks93 cited
    • 2002Liquidity, Transaction Costs, and Reintermediation in Electronic Markets86 cited
    • 2005Order aggressiveness and order book dynamics84 cited
    • 2014The Provision of Liquidity by High‐Frequency Participants70 cited
    • 2007Modelling the buy and sell intensity in a limit order book market70 cited
    • 2007Order Aggressiveness of Institutional and Individual Investors69 cited
    • 2012Intraday technical analysis of individual stocks on the Tokyo Stock Exchange55 cited
    • 2008Anonymity, liquidity and fragmentation54 cited
    • 2015Why do carbon prices and price volatility change?49 cited
    • 2007On the Magnet Effect of Price Limits48 cited
    • 2011The information content of a limit order book: The case of an FX market48 cited
    • 2011On the hidden side of liquidity45 cited
    • 2010Dark Pool Trading Strategies, Market Quality and Welfare45 cited