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INTRADAY STEALTH TRADING: WHICH TRADES MOVE PRICES DURING PERIODS OF HIGH VOLUME?
16 references·6 citing·43 second hop
INTRADAY STEALTH TRADING: WHICH TRADES MOVE PRICES DURING PERIODS OF HIGH VOLUME? (2009)INTRADAY STEALTH TRADING: WHICH TRADES MO…Stealth-trading: Which traders' trades move stock prices? (2001)Stealth-trading: Which trader…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Variations in Trading Volume,…Stealth trading and volatility (1993)Stealth trading and volatilityWhen Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Trades, quotes, inventories, and information (1988)Trades, quotes, inventories, …The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL* (1976)A MODEL OF ASSET TRADING UNDE…A Model of Asset Trading Under the Assumption of Sequential Information Arrival (1976)A Model of Asset Trading Unde…Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market (2014)Informed trading, trading str…A dynamic intraday measure of the probability of informed trading and firm-specific return variation (2014)A dynamic intraday measure of…TRADE SIZE AND PRICE CLUSTERING: THE CASE OF SHORT SALES AND THE SUSPENSION OF PRICE TESTS (2012)TRADE SIZE AND PRICE CLUSTERI…What drives the volume–volatility relationship on Euronext Paris? (2011)What drives the volume–volati…The effectiveness of the order-splitting strategy: an analysis of unique data (2011)The effectiveness of the orde…Stealth trading: The case of the Tokyo Stock Exchange (2010)Stealth trading: The case of …The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? 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(2010)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Time and the Price Impact of a Trade (2000)Optimal trading strategy and supply/demand dynamics (2012)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Cointegration and Tests of Present Value Models (1987)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 1993Stealth trading and volatility948 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 2001Stealth-trading: Which traders' trades move stock prices?682 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1993Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models624 cited
  • 1976A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*608 cited
  • 1976A Model of Asset Trading Under the Assumption of Sequential Information Arrival556 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks

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534 cited
  • 1988Trades, quotes, inventories, and information489 cited
  • Cited by

    • 2011What drives the volume–volatility relationship on Euronext Paris?41 cited
    • 2010Stealth trading: The case of the Tokyo Stock Exchange36 cited
    • 2011The effectiveness of the order-splitting strategy: an analysis of unique data35 cited
    • 2014A dynamic intraday measure of the probability of informed trading and firm-specific return variation29 cited
    • 2014Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market27 cited
    • 2012TRADE SIZE AND PRICE CLUSTERING: THE CASE OF SHORT SALES AND THE SUSPENSION OF PRICE TESTS27 cited