Electronic Communications Networks and Market Quality

Specification Tests in Econometrics

Jerry A. Hausman · Econometrica · 1978 · 18.4K citations

Social Sciences, Economics, Causal Inference +15

Inferring Trade Direction from Intraday Data

Charles M.C. Lee, Mark J. Ready · The Journal of Finance · 1991 · 3K citations

Business, Data Science, Data Mining +11

Price, trade size, and information in securities markets

David Easley, Maureen O’Hara · Journal of Financial Economics · 1987 · 2.3K citations

Business, Economics, Finance +14

Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE

Roger D. Huang, Hans R. Stoll · Journal of Financial Economics · 1996 · 1.1K citations

Business, Economics, Finance +14

Stealth trading and volatility

Michael J. Barclay, Jerold B. Warner · Journal of Financial Economics · 1993 · 1K citations · Full text

Social Sciences, Economics, Finance +11