Positive Feedback Trading Under Stress: Evidence from the US Treasury Securities Market

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

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

1998 • 1,873 citations

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

1993 • 1,843 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Time and the Process of Security Price Adjustment

1992 • 1,163 citations

Order Flow and Exchange Rate Dynamics

2002 • 914 citations

The Econometrics of Ultra-high-frequency Data

2000 • 811 citations

Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

1999 • 717 citations

A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

1984 • 615 citations

Market Liquidity, Hedging, and Crashes

1990 • 595 citations

Positive Feedback Investment Strategies and Destabilizing Rational Speculation

1990 • 561 citations

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

1998 • 381 citations

Measuring Treasury Market Liquidity

2001 • 250 citations

Order Flow and Exchange Rate Dynamics

1999 • 215 citations

The Term Structure of Announcement Effects

1999 • 94 citations

An Econometric Model of the Yield Curve with Macroeconomic Jump Effects

2001 • 88 citations

Information-Based Trading in the Treasury Note Interdealer Broker Market

2002 • 86 citations

Measuring and Explaining Liquidity on an Electronic Limit Order Book: Evidence from Reuters D2000-2

2001 • 47 citations

Trading Fast and Slow: Security Market Events in Real Time

1999 • 38 citations

Depth Discovery in a Market with Expandable Limit Orders: An Investigation of the U.S. Treasury Market

2001 • 11 citations