Lawrence R. Glosten

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

Business, Economics, Finance +17

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Lawrence R. Glosten, Paul Milgrom · Journal of Financial Economics · 1985 · 6.4K citations

Social Sciences, Economics, Auction Theory +7

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 2.2K citations · Full text

Business, Economics, Finance +17

Estimating the components of the bid/ask spread

Lawrence R. Glosten, Lawrence Harris · Journal of Financial Economics · 1988 · 1.7K citations

Business, Economics, Auction Theory +10

Is the Electronic Open Limit Order Book Inevitable?

Lawrence R. Glosten · The Journal of Finance · 1994 · 1K citations

Computing, Computer Science, Cryptography +1