Sunshine Trading and Financial Market Equilibrium

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

On the Impossibility of Informationally Efficient Markets

1980 • 4,825 citations

On the impossibility of informationally efficient markets

1980 • 3,972 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Liquidity and Market Structure

1988 • 1,528 citations

On the aggregation of information in competitive markets

1980 • 1,192 citations

Informed Speculation with Imperfect Competition

1989 • 956 citations

A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets

1985 • 821 citations

Market Liquidity, Hedging, and Crashes

1990 • 595 citations

Risk Aversion, Market Liquidity, and Price Efficiency

1991 • 337 citations

An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies

1988 • 336 citations

Institutional Markets, Financial Marketing, and Financial Innovation

1989 • 217 citations

Liquidity and Market Structure

1988 • 193 citations

Dual-capacity trading and the quality of the market

1990 • 159 citations

Viable allocations of information in financial markets

1987 • 92 citations

Institutional Markets, Financial Marketing, and Financial Innovation

1989 • 86 citations

Market Liquidity, Hedging and Crashes

1989 • 59 citations

Security Prices and Market Transparency

1991 • 7 citations