Order Flow and Liquidity around NYSE Trading Halts

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

1995 • 1,102 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 780 citations

Stock Market Structure and Volatility

1990 • 580 citations

On Technical Analysis

1989 • 533 citations

Trade and the Revelation of Information through Prices and Direct Disclosure

1989 • 448 citations

Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE

2000 • 412 citations

Price Discovery and Learning during the Preopening Period in the Paris Bourse

1999 • 379 citations

A Specialist's Quoted Depth and the Limit Order Book

1999 • 293 citations

Price Discovery in Auction Markets: A Look Inside the Black Box

2000 • 235 citations

Price Discovery without Trading: Evidence from the Nasdaq Preopening

2000 • 233 citations

Volume, Volatility, and New York Stock Exchange Trading Halts

1994 • 196 citations

Transactional Risk, Market Crashes, and the Role of Circuit Breakers

1991 • 150 citations

Transactional risk, market crashes, and the role of circuit breakers

1993 • 136 citations

The Task Force Report: The Reasoning Behind the Recommendations

1988 • 118 citations

Price Formation on Stock Exchanges: The Evolution of Trading within the Day

1994 • 98 citations

Differences in Trading Behavior across NYSE Specialist Firms

1999 • 77 citations

The Existence of Pareto-Superior Price Limits

2016 • 76 citations

The Existence of Pareto Superior Price Limits

1993 • 61 citations

Liquidity Provision During Circuit Breakers and Extreme Market Movements

2000 • 36 citations

Introduction to NBER Symposium on the October 1987 Crash

1990 • 27 citations