Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

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

1995 • 1,102 citations

Is the Electronic Open Limit Order Book Inevitable?

1994 • 1,002 citations

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

1992 • 906 citations

A transaction data study of weekly and intradaily patterns in stock returns

1986 • 828 citations

A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

1990 • 818 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

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

1993 • 645 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

The Summary Informativeness of Stock Trades: An Econometric Analysis

1991 • 571 citations

Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement

1993 • 524 citations

Trades, quotes, inventories, and information

1988 • 517 citations

Measuring the Information Content of Stock Trades

1991 • 426 citations

Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market

1991 • 307 citations

A Day-End Transaction Price Anomaly

1989 • 217 citations

Is the Electronic Open Limit Order Book Inevitable?

1994 • 209 citations

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

1992 • 189 citations

Order Arrival, Quote Behavior, and the Return‐Generating Process

1987 • 161 citations

Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View

1994 • 156 citations

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

1993 • 155 citations

Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market

1991 • 94 citations

Weekly Patterns in Japanese Stock Returns

1990 • 87 citations

Transitory Price Changes and Price-Limit Rules: Evidence from the Tokyo Stock Exchange

1995 • 72 citations

Order Arrival, Quote Behavior, and the Return-Generating Process

1987 • 47 citations

Market microstructure and price discovery on the Tokyo Stock Exchange

1989 • 46 citations

A Standard Data Base for the Analysis of Japanese Security Markets

1991 • 25 citations

Specialist vs. Saitori: Market-Making in New York and Tokyo

1992 • 20 citations