Journal of International Financial Markets Institutions and Money · 2014 · 28 citations · 51 references
BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsQuantitative FinanceCapital MarketsInformation AsymmetryInvestmentOptions MarketsTrading MechanismsTrading StrategiesIndex Option Implied VolatilityInvestor Information EnvironmentMarket Reaction To InformationOption Market LiquidityOptions Market LiquidityStock Index OptionsTrading SecuritiesTrading Volume Reaction
51
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
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