Concepedia

Fragmentation, competition, and limit orders: New evidence from interday spreads

David C. Porter, John G. Thatcher

The Quarterly Review of Economics and Finance · 1998 · 25 citations · 38 references

DOI

Concepts

References

38

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 26.1K citations

, , +11

Regression Diagnostics -- Identifying Influential Data and Sources of Collinearity

Chris Beaumont, D. A. Belsley, E. Kuh et al. · Journal of the Operational Research Society · 1981 · 6.5K citations

, , +13

The Cost of Transacting

Harold Demsetz · The Quarterly Journal of Economics · 1968 · 1.9K citations

, , +11

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

Bruno Biais, Pierre Hillion, Chester S. Spatt · The Journal of Finance · 1995 · 1.1K citations

, , +17

Statistical Theory and Methodology in Science and Engineering

E. Keith Lloyd, K. A. Brownlee · Technometrics · 1961 · 1K citations

, , +11