Latency, liquidity and price discovery

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 26.1K citations

Social Sciences, Economics, Econometrics +11

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

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Lawrence R. Glosten, Paul Milgrom · Journal of Financial Economics · 1985 · 6.4K citations

Social Sciences, Economics, Auction Theory +7

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

Robust Tests for the Equality of Variances

Morton B. Brown, Alan B. Forsythe · Journal of the American Statistical Association · 1974 · 2.9K citations

Natural Sciences, Biostatistics, Econometrics +15