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New York Stock Exchange Systems and Trading Procedures
0 references·16 citing·46 second hopsampled
New York Stock Exchange Systems and Trading Procedures (1996)New York Stock Exchange Systems and Tradi…An Empirical Analysis of Market Segmentation on U.S. Equity Markets (2017)An Empirical Analysis of Mark…Working Orders in Limit Order Markets and Floor Exchanges (2007)Working Orders in Limit Order…There's more to volatility than volume (2006)There's more to volatility th…Cross-listing, price discovery and the informativeness of the trading process (2006)Cross-listing, price discover…Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models (2003)Modelling Security Market Eve…Evaluation of the biases in execution cost estimation using trade and quote data (2003)Evaluation of the biases in e…Upstairs Market for Principal and Agency Trades: Analysis of Adverse Information and Price Effects (2001)Upstairs Market for Principal…Trade Size and Information-Motivated Trading in the Options and Stock Markets (2001)Trade Size and Information-Mo…Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten Dollars (2000)Tick Size, Spreads, and Liqui…The trades of NYSE floor brokers (2000)The trades of NYSE floor brok…Econometric Modeling of Multivariate Irregularly-Spaced High-Frequency Data (2000)Econometric Modeling of Multi…The Specialist's Discretion: Stopped Orders and Price Improvement (1999)The Specialist's Discretion: …Differences in Trading Behavior across NYSE Specialist Firms (1999)Differences in Trading Behavi…The degree of price resolution and equity trading costs (1997)The degree of price resolutio…Do institutions receive comparable execution in the NYSE and Nasdaq markets? A transaction study of block trades (1997)Do institutions receive compa…Program Trading and Intraday Volatility (1994)Program Trading and Intraday …Stock Price Clustering and Discreteness (1991)Is the Electronic Open Limit Order Book Inevitable? (1994)The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)Overnight information and stochastic volatility: A study of European and US stock exchanges (2007)Reputation Effects in Trading on the New York Stock Exchange (2007)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)Do ‘thinly-traded’ stocks benefit from specialist intervention? (2003)Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean reversion in stock prices (1988)Inferring Trade Direction from Intraday Data (1991)The Information Content of Short Interest: A Natural Experiment (2002)The Tobin Tax: A Review of the Evidence (2011)Relative Tick Size and the Trading Environment (2018)PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes (1994)NYSE order flow, spreads, and information (2003)On the importance of timing specifications in market microstructure research (2006)Measuring and Modeling Execution Cost and Risk (2011)The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)Price, trade size, and information in securities markets (1987)Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets? (2008)The Rise of Accelerated Seasoned Equity Underwritings (2008)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Order aggressiveness and order book dynamics (2005)Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics (2005)Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets (2013)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Price Discovery in High Resolution (2018)The Search Theory of Over-the-Counter Markets (2020)Dark Pool Trading and Information Acquisition (2021)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods (2007)The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand (2009)The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry (2020)Generalized autoregressive conditional heteroskedasticity (1986)Constraints on short-selling and asset price adjustment to private information (1987)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Stochastic Conditional Intensity Processes (2006)Modelling the buy and sell intensity in a limit order book market (2007)High Frequency Traders and Asset Prices (2010)How do designated market makers create value for small-caps? (2013)How efficiency shapes market impact (2013)
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  • 2006Cross-listing, price discovery and the informativeness of the trading process119 cited
  • 2000Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten Dollars104 cited
  • 2001Upstairs Market for Principal and Agency Trades: Analysis of Adverse Information and Price Effects103 cited
  • 1999The Specialist's Discretion: Stopped Orders and Price Improvement102 cited
  • 2000Econometric Modeling of Multivariate Irregularly-Spaced High-Frequency Data101 cited
  • 2003Evaluation of the biases in execution cost estimation using trade and quote data99 cited
  • 2007Working Orders in Limit Order Markets and Floor Exchanges98 cited
  • 2017An Empirical Analysis of Market Segmentation on U.S. Equity Markets89 cited
  • 2003Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models88 cited
  • 2000The trades of NYSE floor brokers84 cited
  • 1997Do institutions receive comparable execution in the NYSE and Nasdaq markets? A transaction study of block trades81 cited
  • 2006There's more to volatility than volume81 cited
  • 1997The degree of price resolution and equity trading costs79 cited
  • 2001Trade Size and Information-Motivated Trading in the Options and Stock Markets

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73 cited
  • 1999Differences in Trading Behavior across NYSE Specialist Firms70 cited
  • 1994Program Trading and Intraday Volatility70 cited