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Zooming in on Liquidity
16 references·4 citing·44 second hop
Zooming in on Liquidity (2004)Zooming in on LiquidityLimit Order Book as a Market for Liquidity (2005)Limit Order Book as a Market …Aggressive Orders and the Resiliency of a Limit Order Market (2005)Aggressive Orders and the Res…How the Equity Market Responds to Unanticipated Events* (2003)How the Equity Market Respond…Liquidity in an Automated Auction (2002)Liquidity in an Automated Auc…Limit Order Book as a Market for Liquidity (2001)Limit Order Book as a Market …Liquidity Beyond the Inside Spread: Measuring and Using Information in the Limit Order Book (2000)Liquidity Beyond the Inside S…Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks (1999)Effects of Market Reform on t…Price Discovery on the NYSE and the NASDAQ: The Case of Overnight and Daytime News Releases (1996)Price Discovery on the NYSE a…Earnings Announcements and the Components of the Bid-Ask Spread (1996)Earnings Announcements and th…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Liquidity , Trading Rules and Electronic Trading Systems . (1990)Liquidity , Trading Rules and…The effect of large block transactions on security prices: A cross-sectional analysis (1987)The effect of large block tra…Information Asymmetry and the Dealer's Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements (1986)Information Asymmetry and the…Toward a Fully Automated Stock Exchange, Part II (1971)Toward a Fully Automated Stoc…Toward a Fully Automated Stock Exchange, Part I (1971)Toward a Fully Automated Stoc…The Effect of Maker-Taker Pricing on Market Liquidity in Electronic Trading Systems – Empirical Evidence from European Equity Trading (2011)The Effect of Maker-Taker Pri…Liquidity determination in an order-driven market (2011)Liquidity determination in an…Competition in securities markets: the impact on liquidity (2011)Competition in securities mar…Liquidity supply and adverse selection in a pure limit order book market (2005)Liquidity supply and adverse …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Information Flow and Liquidity around Anticipated and Unanticipated Dividend Announcements* (2006)The Effects of Ambiguous Information on Initial and Subsequent IPO Returns (2010)The Effect of EU Antitrust Investigations and Fines on a Firm's Valuation (2013)American Economic Review (2019)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)The Quality of ECN and Nasdaq Market Maker Quotes (2002)Information Diffusion Effects in Individual Investors' Common Stock Purchases: Covet Thy Neighbors' Investment Choices (2007)Liquidity in Asset Markets With Search Frictions (2009)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter™ (2013)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Large-block transactions, the speed of response, and temporary and permanent stock-price effects (1990)Insider Trading and the Efficiency of Stock Prices (1992)Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Information Effects on the Bid-Ask Spread (1983)Dividend Policy under Asymmetric Information (1985)Insider Holdings and Perceptions of Information Asymmetry: A Note (1988)Prices, Liquidity, and the Information Content of Trades (2000)Target’s earnings quality and bidders’ takeover decisions (2013)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market evidence on the opaqueness of banking firms’ assets (2003)When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions (2010)The 2007–2009 financial crisis and bank opaqueness (2012)The Cost of Transacting (1968)A Dynamic Model of the Limit Order Book (2009)Optimal trading strategy and supply/demand dynamics (2012)High frequency market microstructure (2015)Does a Large Minimum Price Variation Encourage Order Exposure (1996)The Dynamics of Discrete Bid and Ask Quotes (1999)The information content of the limit order book: evidence from NYSE specialist trading decisions (2004)AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE (2008)How Markets Slowly Digest Changes in Supply and Demand (2008)Liquidity and Credit Default Swap Spreads (2008)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)
this work references cited by second hop

References

  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 2005Limit Order Book as a Market for Liquidity614 cited
  • 1987The effect of large block transactions on security prices: A cross-sectional analysis464 cited
  • 1996Earnings Announcements and the Components of the Bid-Ask Spread388 cited
  • 1999Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks327 cited
  • 1986Information Asymmetry and the Dealer's Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements244 cited
  • 1990Liquidity , Trading Rules and Electronic Trading Systems .203 cited
  • 1971Toward a Fully Automated Stock Exchange, Part I193 cited
  • 2003How the Equity Market Responds to Unanticipated Events*134 cited
  • 2000Liquidity Beyond the Inside Spread: Measuring and Using Information in the Limit Order Book131 cited
  • 1996Price Discovery on the NYSE and the NASDAQ: The Case of Overnight and Daytime News Releases113 cited
  • 2005Aggressive Orders and the Resiliency of a Limit Order Market106 cited
  • 2001Limit Order Book as a Market for Liquidity98 cited
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Liquidity in an Automated Auction
68 cited
  • 1971Toward a Fully Automated Stock Exchange, Part II57 cited
  • Cited by

    • 2005Liquidity supply and adverse selection in a pure limit order book market41 cited
    • 2011Liquidity determination in an order-driven market40 cited
    • 2011Competition in securities markets: the impact on liquidity32 cited
    • 2011The Effect of Maker-Taker Pricing on Market Liquidity in Electronic Trading Systems – Empirical Evidence from European Equity Trading29 cited