A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

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 Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Stock return variances

1986 • 1,878 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

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

1989 • 951 citations

The Only Game in Town

1971 • 899 citations

A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

1990 • 818 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

Private Information, Trading Volume, and Stock-Return Variances

1990 • 363 citations

A Theory of Common Stock Returns Over Trading and Non‐Trading Periods

1980 • 138 citations