Common factors in prices, order flows, and liquidity

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Commonality in liquidity

2000 • 1,683 citations

Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

1996 • 1,631 citations

Market microstructure theory

1995 • 1,457 citations

Stock Prices and Volume

1992 • 1,388 citations

Optimal control of execution costs

1998 • 1,123 citations

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

1993 • 1,050 citations

Stealth trading and volatility

1993 • 1,007 citations

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

1990 • 818 citations

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

2000 • 702 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

Multimarket Trading and Market Liquidity

1991 • 634 citations

A Theory of Trading in Stock Index Futures

1991 • 579 citations

Intraday Volatility in the Stock Index and Stock Index Futures Markets

1991 • 469 citations

Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices

1988 • 368 citations

Components of the Bid‐Ask Spread and the Statistical Properties of Transaction Prices

1987 • 362 citations

A Bayesian model of intraday specialist pricing

1991 • 357 citations

Equilibrium Block Trading and Asymmetric Information

1990 • 331 citations

Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?

1994 • 322 citations

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

1984 • 191 citations

Imperfect Information and Cross‐Autocorrelation among Stock Prices

1993 • 164 citations

Information and Index Arbitrage

1994 • 148 citations

Imperfect Competition in a Multi-Security Market with Risk Neutrality

1994 • 144 citations

Stock returns and trading at the close

2000 • 138 citations

Can Speculative Trading Explain the Volume–Volatility Relation?

1995 • 117 citations

CHANGES IN TRADING ACTIVITY FOLLOWING STOCK SPLITS AND THEIR EFFECT ON VOLATILITY AND THE ADVERSE‐INFORMATION COMPONENT OF THE BID‐ASK SPREAD

1998 • 110 citations

Program Trading and Intraday Volatility

1994 • 77 citations

Order characteristics and stock price evolution An application to program trading

1996 • 65 citations

A Microstructure Analysis of Ex-Dividend Stock Price Behavior Before and After the 1984 and 1986 Tax Reform Acts

1996 • 61 citations

A Baysian Model of Intraday Specialist Pricing

1991 • 51 citations

Why Are Mutual Fund Flow and Market Returns Related? Evidence from High-frequency Data

1999 • 17 citations