Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Optimal control of execution costs

1998 • 1,123 citations

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

1995 • 1,102 citations

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

1986 • 828 citations

Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes

1994 • 659 citations

The implementation shortfall

1988 • 466 citations

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

1996 • 432 citations

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

1981 • 394 citations

Transaction Data Tests of the Mixture of Distributions Hypothesis

1987 • 335 citations

Cross-Security Tests of the Mixture of Distributions Hypothesis

1986 • 291 citations

The Total Cost of Transactions on the NYSE

1988 • 283 citations

An Integrated Model of Market and Limit Orders

1995 • 230 citations

Liquidity , Trading Rules and Electronic Trading Systems .

1990 • 208 citations

Estimation of Stock Price Variances and Serial Covariances from Discrete Observations

1990 • 151 citations

Limit Order Trading

1996 • 113 citations

The joint density of the maximum and its location for a Wiener process with drift

1979 • 97 citations

Limit and Market Orders with Optimizing Traders

1994 • 51 citations

The Economics of the Dealer Function

1987 • 34 citations