The impact of limit order anonymity on liquidity: Evidence from Paris, Tokyo and Korea

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 16.8K citations

Empirical Finance, Volatility Modeling, Economics +13

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

Thomas H. McInish, R.J.K. Wood · The Journal of Finance · 1992 · 908 citations

Market Microstructure, Intraday Patterns, Economics +15

Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes

Lawrence Harris · Review of Financial Studies · 1994 · 650 citations

Market Microstructure, Minimum Price Variations, Economics +14

Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE

Michael A. Goldstein, Kenneth A. Kavajecz · Journal of Financial Economics · 2000 · 412 citations

Economics, Market Depth, Tick Size +6

Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE

Ekkehart Boehmer, Gideon Saar, Yu Lei · The Journal of Finance · 2005 · 356 citations · Full text

Market Microstructure, Securities Law, Financial Economics +10