The market liquidity of DIAMONDS, Q's, and their underlying stocks

Large Sample Properties of Generalized Method of Moments Estimators

Lars Peter Hansen · Econometrica · 1982 · 13.9K citations

Natural Sciences, Mathematics, Probability Theory +15

Continuous Auctions and Insider Trading

Albert S. Kyle · Econometrica · 1985 · 10K citations

Business, Economics, Auction Theory +12

A Theory of Intraday Patterns: Volume and Price Variability

Anat R. Admati, Paul Pfleiderer · Review of Financial Studies · 1988 · 3.3K citations

Business, Economics, Finance +8

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

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

Richard Roll · The Journal of Finance · 1984 · 2.8K citations

Social Sciences, Economics, Finance +13