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Liquidity and market makers: a pseudo-experimental analysis with ultrahigh frequency data. (2003). Montalvo, Jose .
In: The European Journal of Finance.
RePEc:taf:eurjfi:v:9:y:2003:i:4:p:358-378.

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Cited: 3

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Cites: 11

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Coauthors: 0

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Citations received by this document

  1. ISRAELI TREASURY AUCTION REFORM. (2018). Wiener, Zvi ; Stein, Roy ; Sade, Orly.
    In: Israel Economic Review.
    RePEc:boi:isrerv:v:16:y:2018:i:1:p:41-61.

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  2. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Murphy Jun Jie Lee, .
    In: PhD Thesis.
    RePEc:uts:finphd:4.

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  3. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Jie, Murphy Jun.
    In: PhD Thesis.
    RePEc:uts:finphd:2-2013.

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References

References cited by this document

  1. 10 Engle R., Russell J. Autoregressive conditional duration: a new model for irregularly spaced transaction data Econometrica (1998); 66: 1127-62

  2. 12 Goodhart C., OHara M. High frequency data in financial markets: issues and applications Journal of Empirical Finance (1997); 4: 73-114

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  7. 24 Wahal S. Entry, exit, market makers and the bid-ask spread The Review of Financial Studies (1997); 5: 871-901

  8. 3 Board J., Sutcliffe C., Charles M., Vila A. Market maker performance: the search for fair weather market makers Journal of Financial Services Research (2000); 17: 259-76

  9. 4 Cho D., Frees E. Estimating the volatility of stocks prices Journal of Finance (1988); 43: 451-66
    Paper not yet in RePEc: Add citation now

  10. 5 Christie W., Harris J., Schultz P. Why did NASDAQ market makers stop avoiding odd-eighths quotas Journal of Finance (1994); 49: 1841-60

  11. 7 Christie W., Schultz P. Why do NASDAQ market makers avoid odd-eighths quotas Journal of Finance (1994); 49: 1813-40

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