High-Frequency Trading around Large Institutional Orders

Continuous Auctions and Insider Trading

Albert S. Kyle · Econometrica · 1985 · 9.8K citations

Market Microstructure, Electronic Auction, Financial Economics +6

Information, trade and common knowledge

Paul Milgrom, Nancy L. Stokey · Journal of Economic Theory · 1982 · 1.8K citations

Economics, Trade Economics, Knowledge Production +8

Liquidity and Market Structure

Sanford J. Grossman, Merton H. Miller · The Journal of Finance · 1988 · 1.5K citations

Market Microstructure, Economics, Financial Economics +12

High-Frequency Trading and Price Discovery

Jonathan Brogaard, Terrence Hendershott, Ryan Riordan · Review of Financial Studies · 2014 · 1.2K citations

Market Microstructure, Economics, Liquidity Supplying Orders +11

Information Immobility and the Home Bias Puzzle

Stijn Van Nieuwerburgh, Laura Veldkamp · The Journal of Finance · 2009 · 887 citations · Full text

Communication, Home Bias Arises, Industry Bias +22