Program Trading and Intraday Volatility

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

1984 • 2,564 citations

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

1995 • 1,102 citations

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

1984 • 615 citations

Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices

1988 • 368 citations

S&P 500 Cash Stock Price Volatilities

1989 • 255 citations

Program Trading and Expiration-Day Effects

1987 • 210 citations

The October 1987 S&P 500 Stock‐Futures Basis

1989 • 169 citations

Index Arbitrage Profitability

1993 • 82 citations

Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew

1990 • 67 citations

Program Trading and Market Volatility: A Report on Interday Relationships

1988 • 66 citations

Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data test

1993 • 50 citations

New trading practices and short‐run market efficiency

1995 • 49 citations

Arbitrage, Nontrading, and Stale Prices: October 1987

1992 • 46 citations

Program Trading and Price Movement: Evidence from the October 1987 Market Crash

1989 • 35 citations

The October 1987 S&P 500 Stock-Futures Basis

1989 • 32 citations

Index futures, program trading, and stock market procedures

1988 • 29 citations

New Trading Practices and Short-run Market Efficiency

1990 • 26 citations

The effect of the "triple witching hour" on stock market volatility

1988 • 13 citations

A primer on program trading and stock price volatility: a survey of the issues and the evidence

1990 • 13 citations

Is Program Trading Destabilizing?

1993 • 7 citations

Deleted Work

1955 • 0 citations