Quote Dynamics is a temporal pattern analysis framework within derivative market microstructure that characterizes the evolution and interaction of bid and ask prices to reveal the underlying mechanisms governing order book behavior and price formation.
121
Publications
7.6K
Citations
162
Authors
138
Institutions
Publications per year
2017–2026
4
Publications
121
Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE
Ekkehart Boehmer, Gideon Saar, Yu Lei · The Journal of Finance · 2005 · 359 citations · Full text
1–5 of 121
Authors
162
- JH
11
h-index
- KHKee H. Chung
University at Buffalo, State University of New York, United States
8 publications · 245 citations
9
h-index
- BF
6
h-index
- RA
6
h-index
- JH
5
h-index
1–5 of 162
Institutions
138
New York University
New York, United States
10 h-index
12 publications
729 citations
University at Buffalo, State University of New York
Buffalo, United States
7 h-index
8 publications
180 citations
University of Notre Dame
Notre Dame, United States
5 h-index
6 publications
976 citations
University of Mississippi
Oxford, United States
5 h-index
9 publications
296 citations
Vanderbilt University
Nashville, United States
5 h-index
6 publications
853 citations
University of Rochester
Rochester, United States
4 h-index
4 publications
578 citations
Universidad Carlos III de Madrid
Madrid, Spain
4 h-index
5 publications
209 citations
Cornell University
Ithaca, United States
3 h-index
3 publications
599 citations
1–8 of 138
Venues
- The Journal of Finance
21 publications · 3.7K citations
20
h-index
- SSRN Electronic Journal
Repository · 33 publications · 941 citations
19
h-index
- Journal of Financial Economics
6 publications · 541 citations
6
h-index
- Journal of Financial Markets
6 publications · 269 citations
6
h-index
- Journal of Banking & Finance
5 publications · 119 citations
5
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1–5