Order characteristics and stock price evolution An application to program trading

Time Series Analysis.

1995 • 11,935 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

Introduction to Multiple Time Series Analysis

1993 • 2,070 citations

No news is good news

1992 • 1,945 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

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

1995 • 1,526 citations

Stealth trading and volatility

1993 • 1,007 citations

Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests

1989 • 951 citations

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

1990 • 818 citations

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

1993 • 645 citations

A Theory of Trading in Stock Index Futures

1991 • 579 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

An ordered probit analysis of transaction stock prices

1992 • 454 citations

Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy

1996 • 432 citations

An Analysis of Changes in Specialist Inventories and Quotations

1993 • 423 citations

The Trades of Market Makers: An Empirical Analysis of NYSE Specialists

1993 • 397 citations

A Bayesian model of intraday specialist pricing

1991 • 357 citations

An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies

1988 • 336 citations

Equilibrium Block Trading and Asymmetric Information

1990 • 331 citations

Market Microstructure and Stock Return Predictions

1994 • 274 citations

Information and Index Arbitrage

1994 • 148 citations

Underestimation of Portfolio Insurance and the Crash of October 1987

1992 • 113 citations

Order Form and Information in Securities Markets

1991 • 90 citations

Program Trading and Intraday Volatility

1994 • 77 citations

Displayed and Effective Spreads By Market

1992 • 53 citations

Index arbitrage as cross‐sectional market making

1995 • 52 citations

A Baysian Model of Intraday Specialist Pricing

1991 • 51 citations

Stock Index Futures and Index Arbitrage in a Rational Expectations Model

1991 • 46 citations

Optimal Dynamic Order Submission Strategies In Some Stylized Trading Problems

1994 • 38 citations

Program Trading and Price Movement: Evidence from the October 1987 Market Crash

1989 • 35 citations

Introduction to Multiple Time Series Analysis

1994 • 16 citations

Program trading and price movements

1990 • 4 citations