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Optimal Trading Strategy and Supply/Demand Dynamics
16 references·0 citing·42 second hop
Optimal Trading Strategy and Supply/Demand Dynamics (2005)Optimal Trading Strategy and Supply/Deman…Presidential Address: Liquidity and Price Discovery (2003)Presidential Address: Liquidi…Does Arbitrage Flatten Demand Curves for Stocks? (2002)Does Arbitrage Flatten Demand…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Common factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Optimal control of execution costs (1998)Optimal control of execution …The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …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 …Institutional trades and intraday stock price behavior (1993)Institutional trades and intr…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)The Market for Securities: Su…Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The econometrics of ultra-high frequency data /Stock returns and the weekend effect (1980)Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)Statistical properties of the volatility of price fluctuations (1999)Expected stock returns and volatility (1987)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The market for corporate control (1983)Noise (1986)The determinants of cross-border equity flows (2004)An Engine, Not a Camera (2006)The cost of capital, corporation finance and the theory of investment (2008)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)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)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Industry costs of equity (1997)Demand-Based Option Pricing (2005)Do Retail Trades Move Markets? (2008)Asset pricing and the bid-ask spread (1986)The Relation Between Price Changes and Trading Volume: A Survey (1987)Order imbalance, liquidity, and market returns (2002)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Market Efficiency (2007)The Event Study Methodology Since 1969 (1998)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)
this work references cited by second hop

References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1972The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices886 cited
  • 2002Does Arbitrage Flatten Demand Curves for Stocks?861 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 2003Presidential Address: Liquidity and Price Discovery652 cited

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  • 1993Institutional trades and intraday stock price behavior626 cited
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