Trade Size, Order Imbalance, and the Volatility-Volume Relation

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

Differences of Opinion Make a Horse Race

1993 • 1,618 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

Stock Prices and Volume

1992 • 1,388 citations

The Components of the Bid-Ask Spread: A General Approach

1997 • 1,198 citations

Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE

1996 • 1,096 citations

Stealth trading and volatility

1993 • 1,007 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

Inferring Trade Direction from Intraday Data

1991 • 989 citations

The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

1976 • 967 citations

Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks

1997 • 943 citations

Transactions, Volume, and Volatility

1994 • 888 citations

One Day in the Life of a Very Common Stock

1997 • 683 citations

Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets

1993 • 679 citations

The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

1996 • 645 citations

Market reaction to anticipated announcements

1991 • 643 citations

Trade Size and Components of the Bid-Ask Spread

1995 • 563 citations

Trade and the Revelation of Information through Prices and Direct Disclosure

1989 • 448 citations

The information content of the trading process

1997 • 379 citations

A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks

1997 • 346 citations

Divergence of Opinion in Complete Markets: A Note

1985 • 341 citations

Equilibrium Block Trading and Asymmetric Information

1990 • 331 citations

A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks

1997 • 306 citations

Futures-Trading Activity and Stock Price Volatility

1992 • 291 citations

Cross-Security Tests of the Mixture of Distributions Hypothesis

1986 • 291 citations

The Impact of Trader Type on the Futures Volatility‐Volume Relation

1999 • 284 citations

Differences of Opinion in Financial Markets

1989 • 283 citations

On the occurrence and consequences of inaccurate trade classification

2000 • 273 citations

Limit orders and the bid–ask spread

1999 • 254 citations

MARKET STRUCTURE AND REPORTED TRADING VOLUME: NASDAQ VERSUS THE NYSE

1997 • 237 citations

A Day-End Transaction Price Anomaly

1989 • 217 citations

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

1987 • 161 citations

Trade Size and Components of the Bid-Ask Spread

1998 • 90 citations

The importance of firm quotes and rapid executions: Evidence from the January 1994 SOES rules changes

1997 • 68 citations

The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

1994 • 60 citations

Market Structure and Reported Trading Volume: NASDAQ Versus the NYSE

1997 • 43 citations

Subperiod aggregation and the power of multivariate tests of portfolio efficiency

1987 • 43 citations

SOES Trading and Market Volatility

1997 • 42 citations

A Comparison of Trade Execution Costs for NYSE and Nasdaq- Listed Stocks

1996 • 33 citations