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

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

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

1995 • 1,102 citations

Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis

1993 • 1,050 citations

Stock Price Clustering and Discreteness

1991 • 585 citations

Stock Prices and the Supply of Information

1991 • 584 citations

An ordered probit analysis of transaction stock prices

1992 • 454 citations

Stock splits, stock prices, and transaction costs

1988 • 309 citations

The degree of price resolution: The case of the gold market

1985 • 247 citations

Liquidity , Trading Rules and Electronic Trading Systems .

1990 • 208 citations

Stock Prices and the Supply of Information

1991 • 198 citations

Implications of the Discreteness of Observed Stock Prices

1985 • 166 citations

Estimation of Stock Price Variances and Serial Covariances from Discrete Observations

1990 • 151 citations

Estimation Bias Induced by Discrete Security Prices

1988 • 82 citations

Implications of the Discreteness of Observed Stock Prices

1985 • 52 citations

Estimation Bias Induced by Discrete Security Prices

1988 • 24 citations