An Analysis of Changes in Specialist Inventories and Quotations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

Forecasting, Structural Time Series Models and the Kalman Filter

1991 • 5,040 citations

Forecasting, Structural Time Series Models and the Kalman Filter

1990 • 3,965 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

Intervention Analysis with Applications to Economic and Environmental Problems

1975 • 2,217 citations

The Cost of Transacting

1968 • 1,909 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Dealership market

1980 • 998 citations

Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests

1989 • 951 citations

The Dynamics of Dealer Markets Under Competition

1983 • 790 citations

Outliers in Time Series

1972 • 708 citations

Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

1993 • 645 citations

Market microstructure

1976 • 533 citations

Trades, quotes, inventories, and information

1988 • 517 citations

Estimation of Time Series Parameters in the Presence of Outliers

1988 • 494 citations

The Trades of Market Makers: An Empirical Analysis of NYSE Specialists

1993 • 397 citations

Estimation of Time Series Parameters in the Presence of Outliers

1988 • 364 citations

A Bayesian model of intraday specialist pricing

1991 • 357 citations

Equilibrium Block Trading and Asymmetric Information

1990 • 331 citations

Time Series Model Specification in the Presence of Outliers

1986 • 329 citations

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

1989 • 169 citations

Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets

1984 • 119 citations

Dealer Bid‐Ask Quotes and Transaction Prices: An Empirical Study of Some AMEX Options

1984 • 92 citations

Dealer Inventory Behavior: An Empirical Investigation of Nasdaq Stocks

1976 • 69 citations

An Empirical Examination of Market Maker Profits on the London Stock Exchange

1992 • 25 citations