A Theory of Intraday Patterns: Volume and Price Variability

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

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Stock return variances

1986 • 1,878 citations

A transaction data study of weekly and intradaily patterns in stock returns

1986 • 828 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

Market structure, information, futures markets, and price formation.

1984 • 191 citations