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Market architecture: limit-order books versus dealership markets
16 references·16 citing·42 second hopsampled
Market architecture: limit-order books versus dealership markets (2002)Market architecture: limit-order books ve…Auctioning divisible goods (2002)Auctioning divisible goodsCompeting Mechanisms in a Common Value Environment (2000)Competing Mechanisms in a Com…Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange (1998)Do Inventories Matter in Deal…Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets (1993)Price Formation and Equilibri…Auctions of Divisible Goods: On the Rationale for the Treasury Experiment (1993)Auctions of Divisible Goods: …The Economics of Missing Markets: Information and Games. (1990)The Economics of Missing Mark…Optimal Multi-Unit Auctions (1989)Optimal Multi-Unit AuctionsInsider Trading, Liquidity, and the Role of the Monopolist Specialist (1989)Insider Trading, Liquidity, a…Informed Speculation with Imperfect Competition (1989)Informed Speculation with Imp…Menu Auctions, Resource Allocation, and Economic Influence (1986)Menu Auctions, Resource Alloc…The Dynamics of Dealer Markets Under Competition (1983)The Dynamics of Dealer Market…Auctions of Shares (1979)Auctions of SharesSIZE AND HETEROGENEITY MATTER. A MICROSTRUCTURE-BASED ANALYSIS OF REGULATION OF SECONDARY MARKETS FOR GOVERNMENT BONDS (2021)SIZE AND HETEROGENEITY MATTER…Over-the-Counter versus Limit-Order Markets: The Role of Traders’ Expertise (2019)Over-the-Counter versus Limit…How efficiency shapes market impact (2013)How efficiency shapes market …The Effect of a Closing Call Auction on Market Quality and Trading Strategies (2010)The Effect of a Closing Call …Order aggressiveness and quantity: How are they determined in a limit order market? (2010)Order aggressiveness and quan…Market makers as information providers: The natural experiment of STAR (2010)Market makers as information …Working Orders in Limit Order Markets and Floor Exchanges (2007)Working Orders in Limit Order…Modelling the buy and sell intensity in a limit order book market (2007)Modelling the buy and sell in…Dealer Liquidity in an Auction Market: Evidence from the London Stock Exchange (2007)Dealer Liquidity in an Auctio…Institutional Design and Liquidity at Stock Exchanges Around the World (2005)Institutional Design and Liqu…Inter‐Dealer Trading in Financial Markets (2004)Inter‐Dealer Trading in Finan…Anonymity, Adverse Selection, and the Sorting of Interdealer Trades (2004)Anonymity, Adverse Selection,…Do ‘thinly-traded’ stocks benefit from specialist intervention? (2003)Do ‘thinly-traded’ stocks ben…Traders’ choice between limit and market orders: evidence from NYSE stocks (2002)Traders’ choice between limit…The components of the bid–ask spread in a limit-order market: evidence from the Tokyo Stock Exchange (2002)The components of the bid–ask…A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization (2001)A Theory of Mutual Funds: Opt…A Non-cooperative Equilibrium for Supergames (1971)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Presidential Address: Friction (2000)Reexamination of the perfectness concept for equilibrium points in extensive games (1975)Electoral Competition and Special Interest Politics (1996)The Economist as Engineer: Game Theory, Experimentation, and Computation as Tools for Design Economics (2002)Advanced International Trade : Theory and Evidence Ed. 2 (2004)Information aggregation in a noisy rational expectations economy (1981)Tests of microstructural hypotheses in the foreign exchange market (1995)Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Information Asymmetry, Information Precision, and the Cost of Capital (2011)Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information (1976)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Trades, quotes, inventories, and information (1988)The Summary Informativeness of Stock Trades: An Econometric Analysis (1991)Asset pricing and the bid-ask spread (1986)Trade Execution Costs and Market Quality after Decimalization (2003)The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)Firm incentives to promote technological change in pollution control: Reply (1992)An Efficient Ascending-Bid Auction for Multiple Objects (2004)The Cost of Transacting (1968)Information Effects on the Bid-Ask Spread (1983)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Liquidity and Asset Prices (2006)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)A Theory of Auctions and Competitive Bidding (1982)Auctions and Bidding (1986)Why new issues are underpriced (1986)Special Repo Rates (1996)Asset Pricing under Asymmetric Information (2001)Tradeable carbon permit auctions (2002)Inferring Trade Direction from Intraday Data (1991)The Cross-Section of Expected Stock Returns (1992)Advertising, Breadth of Ownership, and Liquidity (2003)The illusory nature of momentum profits (2003)Order flow composition and trading costs in a dynamic limit order market (1999)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)
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References

  • 1986Menu Auctions, Resource Allocation, and Economic Influence1,224 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1989Informed Speculation with Imperfect Competition963 cited
  • 1983The Dynamics of Dealer Markets Under Competition783 cited
  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 1979Auctions of Shares733 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 1993Auctions of Divisible Goods: On the Rationale for the Treasury Experiment517 cited
  • 1989Insider Trading, Liquidity, and the Role of the Monopolist Specialist517 cited
  • 1993Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets358 cited
  • 2000Competing Mechanisms in a Common Value Environment353 cited
  • 2002Auctioning divisible goods280 cited
  • 1989Optimal Multi-Unit Auctions256 cited
  • 1990The Economics of Missing Markets: Information and Games.230 cited
  • 1998Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange

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203 cited

Cited by

  • 2002Traders’ choice between limit and market orders: evidence from NYSE stocks117 cited
  • 2002The components of the bid–ask spread in a limit-order market: evidence from the Tokyo Stock Exchange114 cited
  • 2005Institutional Design and Liquidity at Stock Exchanges Around the World110 cited
  • 2003Do ‘thinly-traded’ stocks benefit from specialist intervention?98 cited
  • 2007Working Orders in Limit Order Markets and Floor Exchanges98 cited
  • 2013How efficiency shapes market impact95 cited
  • 2004Anonymity, Adverse Selection, and the Sorting of Interdealer Trades82 cited
  • 2007Modelling the buy and sell intensity in a limit order book market70 cited
  • 2004Inter‐Dealer Trading in Financial Markets70 cited
  • 2010The Effect of a Closing Call Auction on Market Quality and Trading Strategies62 cited
  • 2001A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization62 cited
  • 2019Over-the-Counter versus Limit-Order Markets: The Role of Traders’ Expertise53 cited
  • 2010Order aggressiveness and quantity: How are they determined in a limit order market?51 cited
  • 2021SIZE AND HETEROGENEITY MATTER. A MICROSTRUCTURE-BASED ANALYSIS OF REGULATION OF SECONDARY MARKETS FOR GOVERNMENT BONDS42 cited
  • 2007Dealer Liquidity in an Auction Market: Evidence from the London Stock Exchange36 cited
  • 2010Market makers as information providers: The natural experiment of STAR35 cited