Determinants of Liquidity and Execution Probability in Exchange Operated Dark Pool: Evidence from the Australian Securities Exchange

Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests

Hans R. Stoll · The Journal of Finance · 1989 · 949 citations

Business, Accountancy, Business Economics +14

The Cost of Institutional Equity Trades

Donald B. Keim, Ananth Madhavan · Financial Analysts Journal · 1998 · 272 citations

Social Sciences, Economics, Finance +12

Is Market Fragmentation Harming Market Quality?

Maureen O’Hara, Mao Ye · SSRN Electronic Journal · 2009 · 110 citations · Full text

Business, Economics, Finance +16

Trade Size and Components of the Bid-Ask Spread

Ji‐Chai Lin, G. Geoffrey Booth, Gary C. Sanger · RePEc: Research Papers in Economics · 1998 · 89 citations

Social Sciences, Business Economics, Economics +17

A Glimpse into the Dark: Price Formation, Transaction Cost and Market Share of the Crossing Network

Mao Ye · SSRN Electronic Journal · 2011 · 82 citations · Full text

Business, Business Economics, Economics +14