The Accuracy of Trade Classification Rules: Evidence from Nasdaq

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

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

1996 • 1,096 citations

When the Underwriter Is the Market Maker: An Examination of Trading in the IPO Aftermarket

2000 • 566 citations

Trades, quotes, inventories, and information

1988 • 517 citations

Inferring investor behavior: Evidence from TORQ data

2000 • 512 citations

Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks

1999 • 351 citations

Posted versus effective spreads

1994 • 285 citations

On the occurrence and consequences of inaccurate trade classification

2000 • 273 citations

Quotes, Order Flow, and Price Discovery

1997 • 212 citations

A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data

2000 • 201 citations

Order Imbalances and Stock Price Movements on October 19 and 20, 1987

1989 • 169 citations

The accuracy of the tick test: Evidence from the Australian stock exchange

1996 • 104 citations

Post-trade transparency on Nasdaq's national market system1We would like to thank Tom Abbott, Robert Battalio, George Benston, Bill Christie, Larry Fisher, Steve Foerster, Jason Greene, Mike Jensen, Pete Kyle, Paul Laux, Ananth Madhavan, Jean Masson, Junius Peake, Paul Schultz, Paul Seguin, Paul Torregrosa, Dave Whitcomb, as well as seminar participants at the Northern, Southern, and Western Finance Meetings, the Symposium on the Organization of Financial Trade and Exchange Mechanisms, the …

1998 • 58 citations

Why Do Larger Orders Receive Discounts on the London Stock Exchange

1999 • 22 citations