Journal of Financial Markets · 2023 · 59 citations · 42 references
BusinessBusiness EconomicsEconomicsFinancial EconomicsFinancial MarketsMicroeconomicsCapital MarketsLiquidityLiquidity RiskMarket LiquidityMarket MicrostructurePrice DiscoveryLiquidity Effects On Price DiscoveryPrice Discovery Across MarketsPrice Discovery Effects
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Illiquidity and stock returns: cross-section and time-series effects
Yakov Amihud · Journal of Financial Markets · 2002 · 10.3K citations · Full text
Continuous Auctions and Insider Trading
Albert S. Kyle · Econometrica · 1985 · 10K citations
Business, Economics, Auction Theory +12
A Theory of Intraday Patterns: Volume and Price Variability
Anat R. Admati, Paul Pfleiderer · Review of Financial Studies · 1988 · 3.3K citations
Liquidity and Market Structure
Sanford J. Grossman, Merton H. Miller · The Journal of Finance · 1988 · 1.6K citations