References

• 1985Continuous Auctions and Insider Trading9,626 cited
• 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
• 1991Inferring Trade Direction from Intraday Data3,150 cited
• 1987Price, trade size, and information in securities markets2,169 cited
• 1968The Cost of Transacting1,909 cited
• 1988Estimating the components of the bid/ask spread1,612 cited
• 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
• 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 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
• 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
• 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
• 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
• 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
• 2000Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE