Equilibrium High-Frequency Trading

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

ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION

Sanford J. Grossman · The Journal of Finance · 1976 · 1.4K citations

Social Sciences, Business Economics, Economics +10

High-Frequency Trading and Price Discovery

Jonathan Brogaard, Terrence Hendershott, Ryan Riordan · Review of Financial Studies · 2014 · 1.2K citations · Full text

Business, Economics, Finance +14

Log-concave probability and its applications

Mark Bagnoli, Ted Bergstrom · Economic Theory · 2004 · 1.1K citations

Natural Sciences, Mathematics, Optimization +9

Is market fragmentation harming market quality?

Maureen O’Hara, Mao Ye · Journal of Financial Economics · 2011 · 575 citations

Business, Economics, Finance +16