Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

Continuous Auctions and Insider Trading

Albert S. Kyle · Econometrica · 1985 · 9.8K citations

Market Microstructure, Electronic Auction, Financial Economics +6

Scaling of the distribution of fluctuations of financial market indices

Parameswaran Gopikrishnan, Vasiliki Plerou, Luı́s A. Nunes Amaral et al. · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 1999 · 880 citations · Full text

Empirical Finance, Economics, Volatility Modeling +14

Scaling of the distribution of price fluctuations of individual companies

Vasiliki Plerou, Parameswaran Gopikrishnan, Luı́s A. Nunes Amaral et al. · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 1999 · 539 citations · Full text

Measuring the Information Content of Stock Trades

Joel Hasbrouck · The Journal of Finance · 1991 · 426 citations

Trade, Vector Autoregressive System, Market Microstructure +16

Direct Estimation of Equity Market Impact

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