Optimal dealer pricing under transactions and return uncertainty

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

1978 • 1,374 citations

Dealership market

1980 • 998 citations

A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices

1974 • 921 citations

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

1978 • 648 citations

A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*

1976 • 635 citations

Determinants of bid-asked spreads in the over-the-counter market

1974 • 590 citations

Market microstructure

1976 • 533 citations

A Model of Asset Trading Under the Assumption of Sequential Information Arrival

1976 • 530 citations

The Economics of Liquidity Services

1972 • 440 citations

Linear Estimation and Stochastic Control

1984 • 353 citations

The Supply of Dealer Services in Securities Markets

1978 • 261 citations

Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market

1972 • 189 citations

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

1979 • 179 citations

On Dealer Markets Under Competition

1980 • 176 citations

The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models

1977 • 154 citations

The Pricing of Security Dealer Services: An Empirical Study of Nasdaq Stocks

1978 • 113 citations

Linear estimation and stochastic control

1979 • 108 citations

An autoregressive jump process for common stock returns

1977 • 81 citations

THE RETURNS GENERATION PROCESS, RETURNS VARIANCE, AND THE EFFECT OF THINNESS IN SECURITIES MARKETS

1978 • 80 citations

THE TIME‐VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS

1977 • 78 citations

The Demand for Brokers' Services: The Relation between Security Trading Volume and Transaction Cost

1976 • 74 citations

Market Makers and the Market Spread: A Review of Recent Literature

1979 • 58 citations

The Optimal Pricing Policy of a Monopolistic Marketmaker in the Equity Market

1983 • 55 citations

Information dissemination, market efficiency and the frequency of transactions

1979 • 55 citations

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

1979 • 49 citations

On Dealer Markets Under Competition

1980 • 41 citations

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

1979 • 35 citations

The Time-Variance Relationship: Evidence on Autocorrelation in Common Stock Returns

1977 • 31 citations

The Returns Generation Process, Returns Variance, and the Effect of Thinness in Securities Markets

1978 • 25 citations

LIMIT ORDERS, MARKET STRUCTURE, AND THE RETURNS GENERATION PROCESS

1978 • 23 citations

Limit Orders, Market Structure, and the Returns Generation Process

1978 • 10 citations

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

1979 • 8 citations