Expandable limit order markets

Market microstructure theory

1995 • 1,457 citations

Market Microstructure Theory.

1996 • 1,263 citations

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

1995 • 1,102 citations

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

1996 • 1,096 citations

Economic News and Bond Prices: Evidence from the U.S. Treasury Market

2001 • 904 citations

Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

1999 • 717 citations

Price Dynamics in Limit Order Markets

1998 • 655 citations

Special Repo Rates

1996 • 459 citations

Economic News and the Impact of Trading on Bond Prices

2004 • 429 citations

Building Blocks

1984 • 404 citations

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

1995 • 316 citations

Competition among Trading Venues: Information and Trading on Electronic Communications Networks

2003 • 311 citations

Posted versus effective spreads

1994 • 285 citations

Market Integration and Price Execution for NYSE‐Listed Securities

1993 • 252 citations

Measuring Treasury Market Liquidity

2001 • 250 citations

Quotes, Order Flow, and Price Discovery

1997 • 212 citations

Tax and Liquidity Effects in Pricing Government Bonds

1998 • 199 citations

Institutional trading and alternative trading systems

2003 • 185 citations

Does an electronic stock exchange need an upstairs market?

2004 • 174 citations

What moves the bond market

1997 • 163 citations

The money market

1983 • 163 citations

U.S. monetary policy and financial markets

1998 • 151 citations

Dual Trading in Futures Markets

1992 • 144 citations

Prices, Liquidity, and the Information Content of Trades

2000 • 138 citations

Measuring Treasury Market Liquidity

2001 • 138 citations

The Round-the-Clock Market for U.S. Treasury Securities

1997 • 114 citations

Building blocks

1987 • 110 citations

Market Integration and Price Execution for NYSE-Listed Securities

1993 • 107 citations

The trades of NYSE floor brokers

2000 • 99 citations

Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings

2002 • 90 citations

Information-Based Trading in the Treasury Note Interdealer Broker Market

2002 • 86 citations

Principles of trading market structure

1992 • 84 citations

Quotes, Order Flow, and Price Discovery

1997 • 83 citations

Special Repo Rates

1996 • 79 citations

Are larger Treasury issues more liquid? Evidence from bill reopenings

2002 • 65 citations

When the Back Office Moved to the Front Burner: Settlement Fails in the Treasury Market after 9/11

2002 • 64 citations

Arbitrage, Hedging, and Financial Innovation

1998 • 59 citations

The Industrial Organization and Regulation of the Securities Industry

1995 • 56 citations

Competition on the Nasdaq and the growth of electronic communication networks

2006 • 56 citations

Salomon brothers and the May 1991 Treasury auction: Analysis of a market corner

1996 • 53 citations

Displayed and Effective Spreads By Market

1992 • 53 citations

Positive Feedback Trading Under Stress: Evidence from the US Treasury Securities Market

2002 • 50 citations

Hidden Limit Orders on the NYSE

1995 • 46 citations

Does an Electronic Stock Exchange Need an Upstairs Market?

2002 • 43 citations

Supply Contraction and Trading Protocol: An Examination of Recent Changes in the U.S. Treasury Market

2002 • 34 citations

The Effect of Interdealer Brokerage on the Transactional Characteristics of Dealer Markets

1978 • 33 citations

Dual Trading in Futures Markets

1992 • 23 citations

Financial Markets Liberalisation and the Role of Banks

1993 • 16 citations

Front-running and stock market liquidity

1993 • 16 citations

The Industrial Organization and Regulation of the Securities Industry

1996 • 16 citations

Price Improvement and Price Discovery on a Primary Market

1999 • 15 citations

What If Time Priority Is Not Enforced Among Traders?

1998 • 14 citations

Information Asymmetries and Security Market Design: An Empirical Study of the Secondary Market for U.S. Government Securities

1991 • 11 citations

Price Discovery in a Market Under Stress: The U.S. Treasury Market in Fall 1998

2003 • 7 citations

Information Asymmetries and Security Market Design: An Empirical Study of the Secondary Market for U.S. Government Securities

1991 • 2 citations