On the Effects of Continuous Trading

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

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

Richard Roll · The Journal of Finance · 1984 · 2.8K citations

Social Sciences, Economics, Finance +13

Optimal dealer pricing under transactions and return uncertainty

Thomas Ho, Hans R. Stoll · Journal of Financial Economics · 1981 · 1.4K citations

Business, Economics, Finance +12

High-Frequency Trading and Price Discovery

Jonathan Brogaard, Terrence Hendershott, Ryan Riordan · Review of Financial Studies · 2014 · 1.2K citations · Full text

Business, Economics, Finance +14