Concepedia
Journal of Financial Markets · 2002 · 380 citations · 25 references
Market MicrostructureMarket ManipulationHigh-frequency TradingBusinessOrder AggressivenessMarket DesignFinance
25
A Theory of Intraday Patterns: Volume and Price Variability
Anat R. Admati, Paul Pfleiderer · Review of Financial Studies · 1988 · 3.2K citations
Empirical Finance, Intraday Patterns, Market Design +17
Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis
Charles M.C. Lee, Belinda Mucklow, Mark J. Ready · Review of Financial Studies · 1993 · 1K citations
Financial Data, Michigan Address Correspondence, Economic Analysis +16
Order flow composition and trading costs in a dynamic limit order market
Thierry Foucault · Journal of Financial Markets · 1999 · 711 citations
Market Microstructure, Economics, Financial Economics +9
Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes
Lawrence Harris · Review of Financial Studies · 1994 · 650 citations
Market Microstructure, Minimum Price Variations, Economics +14
Price Dynamics in Limit Order Markets
Christine A. Parlour · Review of Financial Studies · 1998 · 623 citations
Limit Order Market, Market Equilibrium, Market Design +16