A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks

An Introduction to the Bootstrap

1994 • 39,661 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

Information, trade and common knowledge

1982 • 1,739 citations

Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE

1996 • 1,096 citations

Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes

1994 • 659 citations

Cream‐Skimming or Profit‐Sharing? The Curious Role of Purchased Order Flow

1996 • 507 citations

The implementation shortfall

1988 • 466 citations

Posted versus effective spreads

1994 • 285 citations

Market Integration and Price Execution for NYSE‐Listed Securities

1993 • 252 citations

In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets

1997 • 245 citations

Quotes, Order Flow, and Price Discovery

1997 • 212 citations

Third Market Broker‐Dealers: Cost Competitors or Cream Skimmers?

1997 • 180 citations

The Law and Economics of Best Execution

1997 • 158 citations

Estimating the profits from trading strategies

1996 • 150 citations

Do Competing Specialists and Preferencing Dealers Affect Market Quality?

1997 • 149 citations

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

1995 • 129 citations

New York Stock Exchange Systems and Trading Procedures

1996 • 129 citations

Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades

1998 • 35 citations