SSRN Electronic Journal · 2001 · 52 citations · 36 references
BusinessEconomicsFinanceEconometricsFinancial EconomicsFinancial MarketsCapital MarketsHigh-frequency Data AnalysisHigh-frequency Financial DataMarket MicrostructureMarket RiskStock MarketsBid-ask DynamicsBid-ask Spread AnalysisBid-ask Spread EffectsBid-ask Spread ReactionCommon Stock Price ImpactHigh-frequency Asset PricingMarket Volatility EffectsStock Return Forecasting
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Price, trade size, and information in securities markets
David Easley, Maureen O’Hara · Journal of Financial Economics · 1987 · 2.3K citations
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
Liquidity and Market Structure
Sanford J. Grossman, Merton H. Miller · The Journal of Finance · 1988 · 1.6K citations
Steven C. Mann, Maureen O’Hara · The Journal of Finance · 1996 · 1.2K citations
Inferring Trade Direction from Intraday Data
Charles M.C. Lee, Mark J. Ready · The Journal of Finance · 1991 · 988 citations · Full text
Business, Data Science, Data Mining +11