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

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The Microstructure of Securities Markets

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Bidding and Auctioning for Procurement and Allocation

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Asset Price Behavior in a Dealership Market

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THE TIME‐VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS

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The Trading Decision and Market Clearing under Transaction Price Uncertainty

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Performance Evaluation of New York Stock Exchange Specialists

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Random competitive exchange: Price distributions and gains from trade

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Bidding and Auctioning Institutions: Experimental Results

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Market Prices vs. Equilibrium Prices: Returns' Variance, Serial Correlation, and the Role of the Specialist

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On the independence of transactions on the New York Stock exchange

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The Time-Variance Relationship: Evidence on Autocorrelation in Common Stock Returns

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Continuous Versus Intermittent Trading on Auction Markets

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