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ARCH modeling in finance

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A long memory property of stock market returns and a new model

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

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Price, trade size, and information in securities markets

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Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

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Long memory processes and fractional integration in econometrics

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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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

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Measuring the Information Content of Stock Trades

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Trading Volume and Serial Correlation in Stock Returns

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Transmission of Volatility between Stock Markets

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The Price Variability-Volume Relationship on Speculative Markets

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Liquidity, Information, and Infrequently Traded Stocks

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Market microstructure theory

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Investor Sentiment and the Closed-End Fund Puzzle

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Multivariate Stochastic Variance Models

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Stock Prices and Volume

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Bayesian Analysis of Stochastic Volatility Models

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Special Information and Insider Trading

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Market Microstructure Theory.

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5 Stochastic volatility

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An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

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The use of technical analysis in the foreign exchange market

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Option Volume and Stock Prices: Evidence on Where Informed Traders Trade

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Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

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Market Statistics and Technical Analysis: The Role of Volume

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Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis

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Fact and Fantasy in the Use of Options

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Stealth trading and volatility

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Stock Volatility and the Crash of ’87

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Is the Electronic Open Limit Order Book Inevitable?

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Dealership market

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How Markets Process Information: News Releases and Volatility

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ARCH models as diffusion approximations

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The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

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Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks

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

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Transactions, Volume, and Volatility

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

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An Empirical Analysis of Illegal Insider Trading

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Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

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The Dynamics of Dealer Markets Under Competition

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Trading Mechanisms and Stock Returns: An Empirical Investigation

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A Long Memory Property of Stock Market Returns and a New Model

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One Day in the Life of a Very Common Stock

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Volatility and Links between National Stock Markets

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A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market

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Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

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The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

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Market reaction to anticipated announcements

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A geographical model for the daily and weekly seasonal volatility in the foreign exchange 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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The Summary Informativeness of Stock Trades: An Econometric Analysis

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Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading

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Insider Trading, Liquidity, and the Role of the Monopolist Specialist

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Bayesian Analysis of Stochastic Volatility Models

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On the Distribution of Stock Price Differences

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Intra-Day and Inter-Market Volatility in Foreign Exchange Rates

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Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis

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The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index

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The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach

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Intraday Volatility in the Stock Index and Stock Index Futures Markets

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Periodic market closure and trading volume

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Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets

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An Analysis of Changes in Specialist Inventories and Quotations

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Hourly volatility spillovers between international equity markets

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Technical trading rule profitability and foreign exchange intervention

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The Trades of Market Makers: An Empirical Analysis of NYSE Specialists

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Trading Mechanisms in Securities Markets

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Option Prices as Predictors of Equilibrium Stock Prices

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The information content of the trading process

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Trading Patterns and Prices in the Interbank Foreign Exchange Market

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Liquidity and Asset Prices: Financial Management Implications

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A Bayesian model of intraday specialist pricing

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The Reaction of Investors and Stock Prices to Insider Trading

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Cointegration, Fractional Cointegration, and Exchange Rate Dynamics

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Bid—ask spreads and volatility in the foreign exchange market

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An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989

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In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets

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The long memory of the forward premium

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

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[Bayesian Analysis of Stochastic Volatility Models]: Reply

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Every minute counts in financial markets

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The Intertemporal Relation Between the U.S. and Japanese Stock Markets

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Examining the use of technical currency analysis

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The October 1987 S&P 500 Stock‐Futures Basis

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The Efficient Market Hypothesis and Insider Trading on the Stock Market

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Order Arrival, Quote Behavior, and the Return‐Generating Process

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Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View

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News effects in a high‐frequency model of the sterling‐dollar exchange rate

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A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of Information

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Dual Trading in Futures Markets

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Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom

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A Theory of Common Stock Returns Over Trading and Non‐Trading Periods

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New York Stock Exchange Systems and Trading Procedures

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A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International

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Can Speculative Trading Explain the Volume–Volatility Relation?

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An analysis of transactions data for the Toronto Stock Exchange

1990 • 115 citations

A taxonomy of automated trade execution systems

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Beyond Belief: Randomness, Prediction and Explanation in Science

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Discount window borrowing, monetary policy, and the post-October 6, 1979 federal reserve operating procedure

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Predictability of Stock Market Prices.

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A transactions data analysis of the variability of common stock returns during 1980–1984

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One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System

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An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964-1989

1990 • 101 citations

Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading

1996 • 96 citations

Risk and Turnover in the Foreign Exchange Market

1996 • 91 citations

A Characterization of the Daily and Intraday Behavior of Returns on Options

1994 • 87 citations

The Long Memory of the Foreward Premium

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Block Trading and Information Revelation around Quarterly Earnings Announcements

1992 • 85 citations

Sources of meteor showers and heat waves in the foreign exchange market

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Optimal Transparency in a Dealer Market with an Application to Foreign Exchange

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Where does the meteor shower come from?

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News and the Foreign Exchange Market

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Intraday relationships between volatility in S&P 500 futures prices and volatility in the S&P 500 index

1990 • 78 citations

Japanese financial market research

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After‐Hours Stock Prices and Post‐Crash Hangovers

1991 • 73 citations

Auction and dealership markets

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Potential Biases from Using Only Trade Prices of Related Securities on Different Exchanges: A Comment

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Can Speculative Trading Explain the Volume-Volatility Relation?

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HOURLY RETURNS, VOLUME, TRADE SIZE, AND NUMBER OF TRADES

1991 • 62 citations

No Evidence of Chaos But Some Evidence of Multifractals in the Foreign Exchange and the Stock Markets

1993 • 62 citations

Microstructural dynamics in a foreign exchange electronic broking system

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The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks

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The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior

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Auction and Dealership Markets: What is the Difference?

1991 • 53 citations

Technical Trading Rule Profitability and Foreign Exchange Intervention

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A Baysian Model of Intraday Specialist Pricing

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The effect of the 1987 Stock Crash on international financial integration

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Stock Index Futures: Does the Tail Wag the Dog?

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Order Arrival, Quote Behavior, and the Return-Generating Process

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Why Option Prices Lag Stock Prices: A Trading-Based Explanation

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Japanese financial market research

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The Effects of Trade Transparency in the London Stock Exchange: A Summary

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The international transmission of stock prices disruption in October 1987

1988 • 39 citations

The interaction between the frequency of market quotations, spread and volatility in the foreign exchange market

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Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange Markets

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Order flow and the bid-ask spread: An empirical probability model of screen-based trading

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Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns

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FROM HOUR TO HOUR IN THE FOREIGN EXCHANGE MARKET

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Competitive Price Adjustment without Market Clearing

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Option Volume and Stock Prices: Evidence on Where Informed Traders Trade

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The relationship between daily U.S. and Japanese equity prices: Evidence from spot versus futures markets

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The Performance and Market Impact of Dual Trading: CME Rule 552

1996 • 26 citations

Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets

1995 • 25 citations

An Empirical Examination of Market Maker Profits on the London Stock Exchange

1992 • 25 citations

Determinants of Price Quote Revisions on the London Stock Exchange

1995 • 24 citations

After-Hours Stock Prices and Post-Crash Hangovers

1991 • 22 citations

When Support/Resistance Levels are Broken, Can Profits be Made? Evidence from the Foreign Exchange Market

1992 • 22 citations

Assessing the Costs of Regulation: The Case of Dual Trading

1994 • 21 citations

An empirical examination of market maker profits on the London stock exchange

1993 • 18 citations

Auction Markets, Dealership Markets and Execution Risk

1990 • 16 citations

From The Bird's Eye to the Microscope: A Survey of New Stylized Facts of the Intra-Daily Foreign Exchange Markets

1994 • 15 citations

In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets

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Federal funds : instrument of Federal Reserve policy

1986 • 10 citations

Dynamic implicit cost and Discount Window borrowing

1993 • 9 citations

Federal Funds: Instrument of Federal Reserve Policy

1986 • 8 citations

A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International

1993 • 7 citations

NYSE execution costs: A case study of a leading bank

1994 • 6 citations

Interdependence between International Stock Returns--News or Contagion Effect?

1994 • 3 citations

Is there Lif(f)e after DTB?: competitive aspects of cross listed futures contracts on synchronous markets

1993 • 1 citations

Overnight market interest rates and bank's demand for reserves in Finland

1992 • 1 citations

Order Flow and the Bid-Ask Spread: An Empirical Probability Model of Screen-Based Trading

1994 • 1 citations