Journal of Economics and Finance · 2013 · 14 citations · 50 references
Social SciencesEconomicsFinanceFinancial EconomicsFinancial MarketsAsymmetric InformationCapital MarketsInformation AsymmetryInformation EconomicsMarket MicrostructureTrading StrategiesLearning In MarketsMarket Microstructure SurveillanceMicrostructure Of Exchange RatesTrading IntermediariesTrading Securities
50
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
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
Differences of Opinion Make a Horse Race
Milton Harris, Artur Raviv · Review of Financial Studies · 1993 · 1.7K citations
The Components of the Bid-Ask Spread: A General Approach
Roger D. Huang, Hans R. Stoll · Review of Financial Studies · 1997 · 1.2K citations