Multi-market trading and the informativeness of stock trades: An empirical intraday analysis

Continuous Auctions and Insider Trading

1985 • 9,651 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

A Primer of Multivariate Statistics

1975 • 2,051 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

Inferring Trade Direction from Intraday Data

1991 • 989 citations

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

1989 • 951 citations

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

1993 • 645 citations

Multimarket Trading and Market Liquidity

1991 • 634 citations

Estimation of the Bid–Ask Spread and Its Components: A New Approach

1991 • 630 citations

Trade Size and Components of the Bid-Ask Spread

1995 • 563 citations

Measuring the Information Content of Stock Trades

1991 • 426 citations

Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets

1995 • 393 citations

A Bayesian model of intraday specialist pricing

1991 • 357 citations

Market Integration and Price Execution for NYSE‐Listed Securities

1993 • 252 citations

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

1989 • 204 citations

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

1993 • 155 citations

Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence

1995 • 129 citations

Market Integration and Price Execution for NYSE-Listed Securities

1993 • 107 citations

A Baysian Model of Intraday Specialist Pricing

1991 • 51 citations