Journal of Financial Markets · 2008 · 48 citations · 42 references
BusinessEconomicsFinanceCorporate FinanceFinancial EconomicsFinancial MarketsAsymmetric InformationBond MarketsCapital MarketsInformation AsymmetryMarket MicrostructureOrder TypesCross-section Of Asset ReturnsMarket Information FlowMarket Reaction To InformationOrder Flow DynamicsOrder Flow Effects
42
Continuous Auctions and Insider Trading
Albert S. Kyle · Econometrica · 1985 · 10K citations
Business, Economics, Auction Theory +12
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
Price, trade size, and information in securities markets
David Easley, Maureen O’Hara · Journal of Financial Economics · 1987 · 2.3K citations
Measuring the Information Content of Stock Trades
Joel Hasbrouck · The Journal of Finance · 1991 · 1.9K citations
Social Sciences, Economics, Finance +14
Predicting returns in the stock and bond markets
Donald B. Keim, Robert F. Stambaugh · Journal of Financial Economics · 1986 · 1.8K citations · Full text