Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

Time and the Process of Security Price Adjustment

1992 • 1,163 citations

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

1995 • 1,102 citations

Is the Electronic Open Limit Order Book Inevitable?

1994 • 1,002 citations

Order flow composition and trading costs in a dynamic limit order market

1999 • 724 citations

Price Dynamics in Limit Order Markets

1998 • 655 citations

Liquidity Provision with Limit Orders and a Strategic Specialist

1997 • 543 citations

Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy

1996 • 432 citations

Limit Order Trading

1996 • 410 citations

Competing Mechanisms in a Common Value Environment

2000 • 379 citations

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

1995 • 316 citations

Time and the Process of Security Price Adjustment

1992 • 311 citations

A Specialist's Quoted Depth and the Limit Order Book

1999 • 293 citations

Is the Electronic Open Limit Order Book Inevitable?

1994 • 209 citations

Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange

1995 • 174 citations

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

1994 • 156 citations

Price effects of trading and components of the bid-ask spread on the Paris Bourse

1996 • 122 citations

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

1995 • 120 citations

Limit Order Trading

1996 • 113 citations

A taxonomy of automated trade execution systems

1993 • 112 citations

Empirical Analysis of Limit Order Markets

2004 • 46 citations

Liquidity-Based Competition for Order Flow

1998 • 46 citations

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

1994 • 43 citations

Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange

1997 • 41 citations

Empirical tests of the Longstaff extendible warrant model

1996 • 7 citations