Consistency between Predicted and Actual Bid‐Ask Quote‐Revisions

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

1978 • 1,374 citations

Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests

1989 • 951 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

Trades, quotes, inventories, and information

1988 • 517 citations

The Microeconomics of Market Making

1986 • 370 citations

A Day-End Transaction Price Anomaly

1989 • 217 citations

The Microstructure of Securities Markets.

1986 • 178 citations

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

1987 • 161 citations

Market Making and the Changing Structure of the Securities Industry

1985 • 140 citations

The Microstructure of Securities Markets

1986 • 133 citations

Equity Markets: Structure, Trading, and Performance

1988 • 92 citations

The stock exchange specialist system : an economic analysis

1985 • 58 citations

The Optimal Pricing Policy of a Monopolistic Marketmaker in the Equity Market

1983 • 55 citations

Trading Activity and Price Behavior in the Stock and Stock Index Futures Markets in October 1987

1988 • 48 citations

Competition and the cost of liquidity to investors

1985 • 20 citations

Market structure

1986 • 16 citations

Trader's Optimal Order Placement Strategies with Limit and Market Orders

1991 • 1 citations