Order imbalance, liquidity, and market returns

Continuous Auctions and Insider Trading

Albert S. Kyle · Econometrica · 1985 · 10K citations

Business, Economics, Auction Theory +12

The theory and practice of econometrics

Journal of Macroeconomics · 1986 · 4.4K citations

Social Sciences, Business Economics, Economics +10

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

The Relation Between Price Changes and Trading Volume: A Survey

Jonathan M. Karpoff · Journal of Financial and Quantitative Analysis · 1987 · 2.5K citations

Business, Economics, Finance +9

Stock return variances

Kenneth R. French, Richard Roll · Journal of Financial Economics · 1986 · 1.9K citations