Estimating the profits from trading strategies

Robust Locally Weighted Regression and Smoothing Scatterplots

1979 • 10,049 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

Robust Locally Weighted Regression and Smoothing Scatterplots

1979 • 2,012 citations

Statistical Models in S

1991 • 1,762 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Visualizing Data

1993 • 1,658 citations

Design-adaptive Nonparametric Regression

1992 • 1,206 citations

Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis

1993 • 1,050 citations

Inferring Trade Direction from Intraday Data

1991 • 989 citations

Biases in computed returns

1983 • 846 citations

Institutional trades and intraday stock price behavior

1993 • 652 citations

Variable Bandwidth and Local Linear Regression Smoothers

1992 • 636 citations

Data-Driven Bandwidth Selection in Local Polynomial Fitting: Variable Bandwidth and Spatial Adaptation

1995 • 562 citations

Kernels for Nonparametric Curve Estimation

1985 • 468 citations

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

1996 • 432 citations

A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns

1994 • 392 citations

Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns

1995 • 349 citations

Design-adaptive Nonparametric Regression

1992 • 347 citations

On computing mean returns and the small firm premium

1983 • 319 citations

Portfolio return autocorrelation

1993 • 293 citations

Posted versus effective spreads

1994 • 285 citations

Market Integration and Price Execution for NYSE‐Listed Securities

1993 • 252 citations

New York Stock Exchange Systems and Trading Procedures

1996 • 129 citations

Nonparametric Kernel Regression Estimation-Optimal Choice of Bandwidth

1987 • 15 citations

Local polynomial estimation of regression functions for mixing processes

2002 • 11 citations

Editorial data

1986 • 2 citations