Order Form and Information in Securities Markets

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

1985 • 6,148 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

Constraints on short-selling and asset price adjustment to private information

1987 • 1,865 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Market Liquidity, Hedging, and Crashes

1990 • 595 citations

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

1981 • 394 citations

Stock Market Volatility

1990 • 384 citations

The Microeconomics of Market Making

1986 • 370 citations

An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies

1988 • 336 citations

Disentangling Equity Return Regularities: New Insights and Investment Opportunities

1988 • 129 citations

Building blocks

1987 • 110 citations

Portfolio Insurance and Financial Market Equilibrium

1989 • 103 citations

Program Trading and Market Volatility: A Report on Interday Relationships

1988 • 66 citations

Market Liquidity, Hedging and Crashes

1989 • 59 citations