Information and Index Arbitrage

Continuous Auctions and Insider Trading

1985 • 9,651 citations

ARCH modeling in finance

1992 • 4,478 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

One Security, Many Markets: Determining the Contributions to Price Discovery

1995 • 1,526 citations

A Theory of Trading in Stock Index Futures

1991 • 579 citations

Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices

1988 • 368 citations

Arbitrage in Stock Index Futures

1990 • 240 citations

Futures Manipulation with “Cash Settlement”

1992 • 226 citations

Market structure, information, futures markets, and price formation.

1984 • 191 citations

The October 1987 S&P 500 Stock‐Futures Basis

1989 • 169 citations

Imperfect Information and Cross‐Autocorrelation among Stock Prices

1993 • 164 citations

Anonymity in securities markets

1992 • 96 citations

Index Arbitrage Profitability

1993 • 82 citations

Program Trading and Intraday Volatility

1994 • 77 citations

General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence

1991 • 69 citations

Stock Index Futures and Index Arbitrage in a Rational Expectations Model

1991 • 46 citations