Trading Mechanisms and the Components of the Bid‐Ask Spread

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

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

Liquidity and Market Structure

1988 • 1,528 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

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

1989 • 951 citations

The Dynamics of Dealer Markets Under Competition

1983 • 790 citations

THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS

1978 • 648 citations

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

1991 • 630 citations

Stock Market Structure and Volatility

1990 • 580 citations

Insider Trading, Liquidity, and the Role of the Monopolist Specialist

1989 • 550 citations

Market microstructure

1976 • 533 citations

Trades, quotes, inventories, and information

1988 • 517 citations

Trading Mechanisms in Securities Markets

1992 • 385 citations

Insider Trading in the OTC Market

1990 • 363 citations

Components of the Bid‐Ask Spread and the Statistical Properties of Transaction Prices

1987 • 362 citations

Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets

1993 • 351 citations

Liquidity of the CBOE Equity Options

1990 • 217 citations

Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk

1979 • 179 citations

The Microstructure of Securities Markets.

1986 • 178 citations

BID‐ASKED SPREADS ON THE AMEX AND THE BIG BOARD

1977 • 172 citations

Dominant and Satellite Markets: A Study of Dually-Traded Securities

1979 • 160 citations

Market Making and the Changing Structure of the Securities Industry

1985 • 140 citations

The Microstructure of Securities Markets

1986 • 133 citations

Marketplace Fragmentation, Competition, and the Efficiency of the Stock Exchange

1979 • 120 citations

MARKETPLACE ORGANIZATION AND MARKETABILITY: NASDAQ, THE STOCK EXCHANGE, AND THE NATIONAL MARKET SYSTEM

1978 • 94 citations

Equity Markets: Structure, Trading, and Performance

1988 • 92 citations

A Comparison of Transaction Costs Between Competitive Market Maker and Specialist Market Structures

1992 • 88 citations

Market Prices vs. Equilibrium Prices: Returns' Variance, Serial Correlation, and the Role of the Specialist

1979 • 49 citations

Off-Board Trading of NYSE-Listed Stocks: The Effects of Deregulation and the National Market System

1987 • 13 citations

Bid-ask spreads on U.S. equity markets

1993 • 2 citations