High Frequency Trading and Price Discovery

Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

Mitchell A. Petersen · Review of Financial Studies · 2008 · 11.2K citations · Full text

Social Sciences, Economics, Finance +12

Continuous Auctions and Insider Trading

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

Business, Economics, Auction Theory +12

On the Impossibility of Informationally Efficient Markets

Sanford J. Grossman · RePEc: Research Papers in Economics · 1980 · 5.3K citations

Social Sciences, Economics, Information Theory +9

Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

Mitchell A. Petersen · SSRN Electronic Journal · 2006 · 2.8K citations · Full text

Social Sciences, Economics, Finance +12

Measuring the Information Content of Stock Trades

Joel Hasbrouck · The Journal of Finance · 1991 · 1.9K citations

Social Sciences, Economics, Finance +14