Inferring Trade Direction from Intraday Data

Market microstructure

1976 • 533 citations

Trades, quotes, inventories, and information

1988 • 517 citations

The effect of large block transactions on security prices: A cross-sectional analysis

1987 • 501 citations

A Day-End Transaction Price Anomaly

1989 • 217 citations

Order Imbalances and Stock Price Movements on October 19 and 20, 1987

1989 • 34 citations

Information dissemination and the small trader : an intraday analysis of the small trader response to announcements of corporate earnings and changes in dividend policy

1990 • 6 citations