OrderImbalance, Liquidity and Market Returns

Continuous Auctions and Insider Trading

1985 • 9,651 citations

The theory and practice of econometrics

1986 • 4,551 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

The Relation Between Price Changes and Trading Volume: A Survey

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Do Demand Curves for Stocks Slope Down?

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Market Liquidity and Trading Activity

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Stock Prices and Volume

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THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

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Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation

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Day of the Week Effects and Asset Returns

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Common factors in prices, order flows, and liquidity

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Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures

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Inferring Trade Direction from Intraday Data

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The Theory and Practice of Econometrics

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Transactions, Volume, and Volatility

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The Dynamics of Dealer Markets Under Competition

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Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

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PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE

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THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS

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Determinants of bid-asked spreads in the over-the-counter market

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Earnings news and small traders

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Inferring investor behavior: Evidence from TORQ data

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Trade size, order imbalance, and the volatility–volume relation

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Market Liquidity and Trading Activity

2000 • 376 citations

Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures

1986 • 303 citations

Stock Returns following Large One‐Day Declines: Evidence on Short‐Term Reversals and Longer‐Term Performance

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Price Reversals, Bid-Ask Spreads, and Market Efficiency

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Common Factors in Prices, Order Flows and Liquidity

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On the occurrence and consequences of inaccurate trade classification

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

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Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence

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On Intraday Risk Premia

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Parallel Trading by Institutional Investors

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

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The interaction between order imbalance and stock price

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The initiation and withdrawal of odd-eighth quotes among Nasdaq stocks: an empirical analysis

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PRICE PRESSURE AND THE ROLE OF INSTITUTIONAL INVESTORS IN CLOSED‐END FUNDS

1997 • 49 citations