Liquidity provision in the overnight foreign exchange market

Continuous Auctions and Insider Trading

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

Business, Economics, Auction Theory +12

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Lawrence R. Glosten, Paul Milgrom · Journal of Financial Economics · 1985 · 6.4K citations

Social Sciences, Economics, Auction Theory +7

Empirical exchange rate models of the seventies

Richard Meese, Kenneth Rogoff · Journal of International Economics · 1983 · 4.2K citations

Social Sciences, Economics, Finance +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

Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK

Søren Johansen, Katarina Jusélius · Journal of Econometrics · 1992 · 1.7K citations

Social Sciences, Business Economics, Economics +5