Emerging Markets Review · 2018 · 18 citations · 36 references
Social SciencesEconomicsFinanceEconometricsFinancial EconomicsFinancial MarketsCapital MarketsMarket EfficiencyOrder TypesFinancial Market EfficiencyMarket Efficiency EffectsMarket Efficiency TestingMarket Efficiency TestsMarket OrdersOrder Book Dynamics
36
Continuous Auctions and Insider Trading
Albert S. Kyle · Econometrica · 1985 · 10K citations
Business, Economics, Auction Theory +12
On a measure of lack of fit in time series models
Greta M. Ljung, George E. P. Box · Biometrika · 1978 · 6K 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
David Scharfstein, Jeremy C. Stein · American Economic Review · 1988 · 2.8K citations