- Angel, J., 1992, Limit orders versus market orders, Working Paper, Georgetown University.
Paper not yet in RePEc: Add citation now
- Bacidore, Jeffrey M., and George Sofianos, 2000, NYSE specialist trading in non-US stocks, NYSE Working Paper, 00-05.
Paper not yet in RePEc: Add citation now
- Barclay, Michael J., and Jerold B. Warner, 1993, Stealth trading and volatility, Journal of Financial Economics, 34, 28 1-305.
Paper not yet in RePEc: Add citation now
Booth, G. Geoffrey, Ji-Chan Lin, Teppo Martikainen, and Yiurman Tse, 2002, Trading and pricing in upstairs and downstairs stock markets, Review of Financial Studies, 15, 4, 1111-1135.
- Breusch, T., and A. Pagan, 1980, The LM test and its implications to model specification in econometrics, Review of Economic Studies, 47, 239-254.
Paper not yet in RePEc: Add citation now
Chakravarty, Sugato, 2001, Stealth-trading: Which traders trades move stock prices?, Journal of Financial Economics, 61, 289-307.
Chakravarty, Sugato, Frederick H. deB. Harris, and Robert A. Wood, 2001, Do bid-ask spreads or bid and ask depths convey information first?, Working Paper, Wake Forest University.
Chan, Kalok C., Wai-Ming Fong, Bong-Chan Kho, and René Stulz, 1996, Information, trading and stock returns: lessons from dually listed securities, Journal of Banking and Finance, 1161-1187.
- Chiang, Kevin C.H., and Ji-Chai Lin, 1999, Inferring price discovery from frictional markets, Working Paper, E.J. Ourso College of Business Administration, Louisiana State University.
Paper not yet in RePEc: Add citation now
Chowdhry, Bhagwan, and Vikram Nanda, 1991, Multimarket trading and market liquidity, Review of Financial Studies, 4, 3, 483-511.
- Coppejans, Mark, and Ian Domowitz, 1999, Screen information, trader activity, and bid-ask spreads in a limit order market, Working Paper, Duke University.
Paper not yet in RePEc: Add citation now
- Coppejans, Mark, and Ian Domowitz, 2002, An empirical analysis of trades, orders, and cancellations in a limit order market, Working Paper, Duke University.
Paper not yet in RePEc: Add citation now
- Coppejans, Mark, Ian Domowitz, and Ananth Madhavan, 2001, Liquidity in an automated auction, Working Paper, Duke University.
Paper not yet in RePEc: Add citation now
- Dickey, D.A., and W.A. Fuller, 1979, Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 427-431.
Paper not yet in RePEc: Add citation now
Easley, David, and Maureen OHara, 1992, Time and the process of security price adjustment, Journal of Finance, 47, 2, 5 77-605.
Ellis, Katrina, Roni Michaely, and Maureen OHara, 2000, The accuracy of trade classification rules: evidence from Nasdaq, Journal of Financial and Quantitative Analysis, 35, 4, 529-55 1.
Engle, Robert, and C. Granger, 1987, Co-integration and error correction: Representation, estimation and testing, Econometrica, 35, 25 1-276.
Foucault, Thierry, 1999, Order flow composition and trading costs in a dynamic limit order market, Journal of Financial Markets, 2, 99-134.
Glosten, L., 1994, Is the electronic open limit order book inevitable? Journal of Finance, 47, 577-606.
Gonzalo, Jesus, and Clive Granger, 1995, Estimation of common long-memory components in co-integrated systems, Journal of Business and Economic Statistics, 13, 1-9.
Grammig, Joachim, Michael Melvin, and Christian Schlag, 2004, Price discovery in international equity trading, Journal of Empirical Finance, forthcoming.
- Green, William H., 1997, Econometric Analysis, Prentice-Hall.
Paper not yet in RePEc: Add citation now
Handa, Puneet, and Robert A. Schwartz, 1996, Limit order trading, Journal of Finance, 51, 1835-186 1.
Harris, Frederick H. deB, Thomas H. Mclnish, and Robert A. Wood, 2002, Security price adjustment across exchanges: an investigation of common factor components for Dow stocks, Journal of Financial Markets, 5, 277-308.
- Harris, Lawrence E., and Venkatesh Panchapagesan, 2003, The information-content of the limit order book: evidence from NYSE specialist actions, Working Paper, Marshall School of Business, University of Southern California.
Paper not yet in RePEc: Add citation now
Harris, Milton, and Arthur Raviv, 1993, Differences of opinion make a horse race, Review of Financial Studies, 6, 473-506.
- Harris, Richard, 1995, Co-integration analysis in econometric modeling, Prentice Hall.
Paper not yet in RePEc: Add citation now
- Hasbrouck, Joel, 1988, Trades, quotes and information, Journal of Financial Economics, 22, 229-252.
Paper not yet in RePEc: Add citation now
Hasbrouck, Joel, 1991 a, Measuring the information content of stock trades, Journal of Finance, 46, 179-207.
Hasbrouck, Joel, 1991b, The summary informativeness of stock trades: An econometric analysis, Review of Financial Studies, 4, 57 1-595.
Hasbrouck, Joel, 1995, One security, many markets: determining the contributions to price discovery, Journal of Finance, 50, 4, 1175-1199.
- Hasbrouck, Joel, 1996, Modeling market microstructure time series, G.S. Maddala and C.R. Rao, eds.: Handbook of Statistics, vol. 14, Statistical Methods in Finance (Elsevier, North-Holland, Amsterdam).
Paper not yet in RePEc: Add citation now
Hasbrouck, Joel, 2002, Stalking the efficient price in market microstructure specifications: An overview, Journal of Financial Markets, 5, 3, 329-339.
- Hasbrouck, Joel, George Sofianos, and Deborah Sosebee, 1993, New York Stock Exchange systems and trading procedures, NYSE Working Paper 93-0 1.
Paper not yet in RePEc: Add citation now
Holden, Craig W., and Avanidhar Subrahmanyam, 1992, Long-lived private information and imperfect competition, Journal of Finance, 47, 247-270.
Huang, Roger D., 2002, The quality of ECN and Nasdaq market maker quotes, Journal of Finance, 57, 3, 1285-1319.
Huang, Roger D., and Hans R. Stoll, 1994, Market microstructure and stock return predictions, Review of Financial Studies, 7, 1, 179-213.
Huang, Roger D., and Hans R. Stoll, 1997, The components of the bid-ask spread: a general approach, Review of Financial Studies, 10, 995-1034.
Hupperets, Erik, and Bert Menkveld, 2002, Intra-daily analysis of market integration: Dutch blue chips traded in Amsterdam and New York, Journal of Financial Markets, 5, 57-82.
Johansen, Soren, 1988, Statistical analysis of co-integration vectors, Journal of Economic Dynamics and Control, 12, 231-254.
Johansen, Soren, 1991, Estimation and hypothesis testing of co-integration vectors in Gaussian vector autoregressive models, Econometrica, 59, 155 1-1580.
Johansen, Soren, 1992, Determination of the co-integration rank in the presence of a linear trend, Oxford Bulletin of Economics and Statistics, 54, 383-397.
Kaniel, Ron, and Hong Liu, 2001, So what order do informed traders use?, Working Paper, University of Texas at Austin.
Kempf, Alenxander, and Olaf Korn, 1999, Market depth and order size, Journal of Financial Markets, 2, 29-48.
- Kim, Oliver, and Robert E. Verrecchia, 1991, Market reaction to anticipated announcements, Journal of Financial Economics, 273-309.
Paper not yet in RePEc: Add citation now
- Kim, Oliver, and Robert E. Verrecchia, 1994, Market liquidity and volume around earnings announcements, Journal ofAccounting and Economics, 17, 4 1-67.
Paper not yet in RePEc: Add citation now
Kwiatkowski, D., P. C. B. Phillips, P. Schmidt andY. Shin, 1992, Testing the null hypothesis of stationarity against the alternative of a unit root, Journal of Econometrics, 54, 159-178.
Kyle, Albert 5., 1985, Continuos auctions and insider trading, Econometrica, 53, 1315-1335.
Lee, Charles M., and Mark J. Ready, 1991, Inferring trade direction from intra-daily data, Journal of Finance, 46, 733-746.
Lieberman, Offer, Un Ben-Zion, and Schmuel Hauser, 1999, A characterization of the price behavior of international dual stocks: an error correction approach, Journal of International Money and Finance, 18, 2, 289-304.
Madhavan, Ananth, and George Sofianos, 1998, An empirical analysis of NYSE specialist trading, Journal of Financial Economics, 48, 189-2 10.
Madhavan, Ananth, and Venkatesh Pachapagesan, 2000, Price discovery in auction markets: a look inside the black box, Review of Financial Studies, 13, 3, 627-65 8.
Madhavan, Ananth, Matthew Richardson, and Mark Roomans, 1997, Why do security prices change? A transaction-level analysis of NYSE stocks, Review of Financial Studies, 10, 1035-1064.
Odders-White, Elizabeth R., 2000, On the occurrence and consequences of inaccurate trade classification, Journal of Financial Markets, 3, 3, 259-286.
Pantula, S., G., 1989, Testing for unit roots in time series data, Econometric Theory, 5, 256-27 1.
Parlour, Christine A., 1998, Price dynamics and limit order markets, Review of Financial Studies, 11,4,789-816.
Pascual, Roberto, Alvaro Escribano, and Mikel Tapia, 2003, Adverse Selection Costs, Trading Activity and Liquidity in the NYSE: An Empirical Analysis, Journal of Banking and Finance, forthcoming.
- Phillips, P.C.B., and P. Perron, 1988, Testing for a unit root in time series regression, Biometrika, 75, 335-346.
Paper not yet in RePEc: Add citation now
Seppi, Duane, 1997, Liquidity provision with limit orders and a strategic specialist, Review of Financial Studies, 10, 1, 103-150.
- Watson, Mark W., 1994, Vector autoregressions and co-integration, in Engle R.F. and D.L. McFadden (Eds.) Handbook of Econometrics, Vol. IV, Elsevier Science, NorthHolland, Amsterdam, 2844-19 15.
Paper not yet in RePEc: Add citation now
- Zellner, Arnold, 1962, An efficient method of estimating Seemingly Unrelated Regressions and tests for aggregation bias, Journal of the American StatisticalAssociation, 57, 348-368.
Paper not yet in RePEc: Add citation now