Periodic market closure and trading volume

Continuous Auctions and Insider Trading

1985 • 9,651 citations

A Theory of the Term Structure of Interest Rates

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Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

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Optimum consumption and portfolio rules in a continuous-time model

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A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Doctoral Dissertation

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A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

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An Intertemporal General Equilibrium Model of Asset Prices

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Stock returns and the weekend effect

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Size-related anomalies and stock return seasonality

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Information Effects on the Bid‐Ask Spread

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Estimating the components of the bid/ask spread

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Liquidity and Market Structure

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Optimal dealer pricing under transactions and return uncertainty

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Portfolio Selection with Transaction Costs

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Day of the Week Effects and Asset Returns

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Capital Market Equilibrium with Transaction Costs

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Dealership market

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An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

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The Only Game in Town

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A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

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The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

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An Investigation of Transactions Data for NYSE Stocks

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Stock Market Structure and Volatility

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A monthly effect in stock returns

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Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread

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Two-Person Dynamic Equilibrium in the Capital Market

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Information Effects on the Bid-Ask Spread

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IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES

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Risk Aversion, Market Liquidity, and Price Efficiency

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Stochastic Methods in Economics and Finance.

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Trading patterns, bid-ask spreads, and estimated security returns

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Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities

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Optimal stock trading with personal taxes

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Stochastic Methods in Economics and Finance.

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A Day-End Transaction Price Anomaly

1989 • 217 citations

Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects

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Liquidity and Market Structure

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A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees

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Market structure, information, futures markets, and price formation.

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Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close

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Transactions costs and portfolio choice in a discrete-continuous-time setting

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Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model

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Equity Markets: Structure, Trading, and Performance

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An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs

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The economics of uncertainty and information

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International agricultural trade: Advanced readings in price formation, market structure and price instability

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Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close

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Constitution and Rules

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Explaining intra-day and overnight price behavior

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