SOES Trading and Market Volatility

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

1969 • 21,257 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

Transactions, Volume, and Volatility

1994 • 888 citations

Why do NASDAQ Market Makers Avoid Odd‐Eighth Quotes?

1994 • 792 citations

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

1981 • 394 citations

Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities

1995 • 342 citations

Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?

1994 • 336 citations

Consolidation, Fragmentation, and Market Performance

1987 • 229 citations

Program Trading and Market Volatility: A Report on Interday Relationships

1988 • 66 citations

Fragmentation Versus Consolidation of Securities Trading: Evidence From the Operation of Rule 19C‐3

1998 • 24 citations

An Empirical Study of the Effect of Rule 19c-3

1990 • 22 citations