Trades, quotes, inventories, and information

Time Series Analysis: Forecasting and Control

1977 • 19,717 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

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

1985 • 6,148 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

1984 • 2,564 citations

Time Series Analysis: Forecasting and Control

1977 • 2,451 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

Stock return variances

1986 • 1,878 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

Time series models

1981 • 1,163 citations

The financial analysts journal

1960 • 1,053 citations

Dealership market

1980 • 998 citations

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

1989 • 951 citations

The Dynamics of Dealer Markets Under Competition

1983 • 790 citations

A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

1984 • 615 citations

Insider Trading, Liquidity, and the Role of the Monopolist Specialist

1989 • 550 citations

Market microstructure

1976 • 533 citations

Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread

1981 • 394 citations

Information Effects on the Bid-Ask Spread

1983 • 381 citations

The Microeconomics of Market Making

1986 • 370 citations

Liquidity and execution costs in equity markets

1988 • 227 citations

Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering

1980 • 185 citations

On Dealer Markets Under Competition

1980 • 176 citations

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

1987 • 161 citations

The Dynamics of Dealer Markets Under Competition

1983 • 143 citations

Dealer Bid‐Ask Quotes and Transaction Prices: An Empirical Study of Some AMEX Options

1984 • 92 citations

Asset Price Behavior in a Dealership Market

1982 • 87 citations

Dealer Inventory Behavior: An Empirical Investigation of Nasdaq Stocks

1976 • 69 citations

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

1987 • 47 citations

On Dealer Markets Under Competition

1980 • 41 citations

Dealer Bid-Ask Quotes and Transaction Prices: An Empirical Study of Some AMEX Options

1984 • 14 citations

The Growth Factor In Electric Utility Earnings

1952 • 9 citations