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Citations for " An Analysis of Changes in Specialist Inventories and Quotations"

by Madhavan, Ananth & Smidt, Seymour

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  1. Bondarenko, Oleg & Sung, Jaeyoung, 2003. "Specialist participation and limit orders," Journal of Financial Markets, Elsevier, Elsevier, vol. 6(4), pages 539-571, August.
  2. McGroarty, Frank & ap Gwilym, Owain & Thomas, Steve, 2010. "Market structure and microstructure, in international interest rate futures markets," Research in International Business and Finance, Elsevier, Elsevier, vol. 24(3), pages 253-266, September.
  3. Leony, Larissa & Romeu, Rafael, 2011. "A model of bank lending in the global financial crisis and the case of Korea," Journal of Asian Economics, Elsevier, vol. 22(4), pages 322-334, August.
  4. Geir Hoidal Bjonnes & Dagfinn Rime, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," Working Paper, Norges Bank 2003/10, Norges Bank.
  5. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
  6. Castellano, Rosella & Cerqueti, Roy, 2011. "The optimal bid/ask spread in a Specialist System," Economic Modelling, Elsevier, vol. 28(5), pages 2247-2253, September.
  7. Carl Chiarella & Roberto Dieci, 2004. "Asset price and wealth dynamics in a financial market with heterogeneous agents," Computing in Economics and Finance 2004, Society for Computational Economics 261, Society for Computational Economics.
  8. Albert Wang & Joon Chae, 2004. "Who makes markets? The Role of Dealers and Liquidity Provision," Econometric Society 2004 North American Summer Meetings 364, Econometric Society.
  9. Chatrath, Arjun & Christie-David, Rohan A. & Lee, Kiseop & Moore, William T., 2009. "Competitive inventory management in Treasury markets," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 800-809, May.
  10. Anand, Amber & Tanggaard, Carsten & Weaver, Daniel G., 2005. "Paying for Market Quality," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies F-2006-06, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  11. Hansch, Oliver, 2004. "The cross-sectional determinants of inventory control and the subtle effects of ADRs," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1915-1933, August.
  12. Li, Mingsheng & McCormick, Timothy & Zhao, Xin, 2005. "Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(4), pages 533-555, September.
  13. Hatch, Brian C. & Johnson, Shane A., 2002. "The impact of specialist firm acquisitions on market quality," Journal of Financial Economics, Elsevier, Elsevier, vol. 66(1), pages 139-167, October.
  14. Thomas Gehrig & Matthew Jackson, 1994. "Bid-Ask Spreads with Indirect Competition Among Specialists," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1107, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  15. Guéant, Olivier & Lehalle, Charles-Albert & Tapia, Joaquin Fernandez, 2011. "Dealing with the Inventory Risk," Economics Papers from University Paris Dauphine 123456789/7390, Paris Dauphine University.
  16. Lescourret, Laurence & Robert, Christian Y., 2011. "Transparency matters: Price formation in the presence of order preferencing," Journal of Financial Markets, Elsevier, Elsevier, vol. 14(2), pages 227-258, May.
  17. Lescourret, Laurence & Robert, Christian Y., 2006. "Preferencing, internalization and inventory position," ESSEC Working Papers DR 06017, ESSEC Research Center, ESSEC Business School.
  18. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September.
  19. Richard K. Lyons, 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," NBER Working Papers 4471, National Bureau of Economic Research, Inc.
  20. Chordia, Tarun & Subrahmanyam, Avanidhar, 2004. "Order imbalance and individual stock returns: Theory and evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 72(3), pages 485-518, June.
  21. Wu, Wei-Shao & Liu, Yu-Jane & Lee, Yi-Tsung & Fok, Robert C.W., 2014. "Hedging costs, liquidity, and inventory management: The evidence from option market makers," Journal of Financial Markets, Elsevier, Elsevier, vol. 18(C), pages 25-48.
  22. Subrahmanyam, Avanidhar, 2009. "The implications of liquidity and order flows for neoclassical finance," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 17(5), pages 527-532, November.
  23. Snell, Andy & Tonks, Ian, 1998. "Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange," Journal of Empirical Finance, Elsevier, Elsevier, vol. 5(1), pages 1-25, January.
  24. Brown, Philip & Walsh, David & Yuen, Andrea, 1997. "The interaction between order imbalance and stock price," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 5(5), pages 539-557, December.
  25. Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Hannover Economic Papers (HEP) dp-351, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  26. Chris D'Souza, 2002. "How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?," Working Papers 02-34, Bank of Canada.
  27. Carl Chiarella & Roberto Dieci & Laura Gardini, 2003. "A Dynamic Analysis of Speculation Across Two Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 89, Quantitative Finance Research Centre, University of Technology, Sydney.
  28. Zhu, Mei & Chiarella, Carl & He, Xue-Zhong & Wang, Duo, 2009. "Does the market maker stabilize the market?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3164-3180.
  29. Dubofsky, David, 1997. "Limit orders and ex-dividend day return distributions," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(1), pages 47-65, January.
  30. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(2-3), pages 73-114, June.
  31. Nikbakht, Ehsan & Shahrokhi, Manuchehr, 2006. "An extension of price improvement debate: The case of American Depository Receipts (ADRs)," Global Finance Journal, Elsevier, vol. 16(3), pages 317-329, March.
  32. Hendershott, Terrence & Menkveld, Albert J., 2010. "Price pressures," CFS Working Paper Series 2010/14, Center for Financial Studies (CFS).
  33. Sugato Chakravarty, 2002. "Stealth-Trading: Which Traders' Trades Move Stock Prices?," Finance, EconWPA 0201003, EconWPA.
  34. Bohl, Martin T. & Gottschalk, Katrin & Henke, Harald & Pál, Rozália, 2006. "Institutional investors and stock market efficiency: The case of the January anomaly," Working Paper Series 2006,6, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
  35. de Groot, Wilma & Huij, Joop & Zhou, Weili, 2012. "Another look at trading costs and short-term reversal profits," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 371-382.
  36. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers, Financial Markets Group dp709, Financial Markets Group.
  37. Michael R. King & Carol Osler & Dagfinn Rime, 2013. "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper, Norges Bank 2013/12, Norges Bank.
  38. Michel van der Wel & Albert J. Menkveld & Asani Sarkar, 2009. "Are market makers uninformed and passive? Signing trades in the absence of quotes," Staff Reports 395, Federal Reserve Bank of New York.
  39. Bülent, Köksal, 2008. "Participation Strategy of the NYSE Specialists to the Trades," MPRA Paper 30512, University Library of Munich, Germany.
  40. Chung, Kee H. & Van Ness, Bonnie F. & Van Ness, Robert A., 1999. "Limit orders and the bid-ask spread," Journal of Financial Economics, Elsevier, Elsevier, vol. 53(2), pages 255-287, August.
  41. Hasbrouck, Joel, 1996. "Order characteristics and stock price evolution An application to program trading," Journal of Financial Economics, Elsevier, Elsevier, vol. 41(1), pages 129-149, May.
  42. Andrade, Sandro C. & Chang, Charles & Seasholes, Mark S., 2008. "Trading imbalances, predictable reversals, and cross-stock price pressure," Journal of Financial Economics, Elsevier, Elsevier, vol. 88(2), pages 406-423, May.
  43. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
  44. Dunne, Peter & Hau, Harald & Moore, Michael, 2008. "A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market," CEPR Discussion Papers 6969, C.E.P.R. Discussion Papers.
  45. Derviz, Alexis, 2004. "Asset return dynamics and the FX risk premium in a decentralized dealer market," European Economic Review, Elsevier, vol. 48(4), pages 747-784, August.
  46. Marios Panayides, 2004. "The Specialist's Participation in Quoted Prices and the NYSE's Price Continuity Rule," Yale School of Management Working Papers, Yale School of Management amz2384, Yale School of Management, revised 01 Aug 2006.
  47. Chordia, Tarun & Subrahmanyam, Avanidhar, 2000. "Order Imbalance and Individual Stock Returns," University of California at Los Angeles, Anderson Graduate School of Management qt34k8f3pv, Anderson Graduate School of Management, UCLA.
  48. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012. "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(3), pages 523-541.
  49. Sugato Chakravarty & Asani Sarkar, 1999. "Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets," Staff Reports 73, Federal Reserve Bank of New York.
  50. Amber Anand & Carsten Tanggaard & Daniel G. Weaver, 2007. "Paying for Market Quality," CREATES Research Papers 2007-04, School of Economics and Management, University of Aarhus.
  51. Chung, Kee H. & Chuwonganant, Chairat & Jiang, Jing, 2008. "The dynamics of quote adjustments," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2390-2400, November.
  52. Anand, Amber, 2005. "Specialist: The firm or the individual?: Empirical evidence from the options markets," Journal of Economics and Business, Elsevier, Elsevier, vol. 57(6), pages 555-575.
  53. Ken Nyholm, 2003. "Inferring the private information content of trades: a regime-switching approach The views presented in the paper are not necessarily shared by the European Central Bank," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 18(4), pages 457-470.
  54. Joon Chae & Albert Wang, 2004. "Who makes market," Econometric Society 2004 Far Eastern Meetings, Econometric Society 605, Econometric Society.
  55. Anand, Amber & Gatchev, Vladimir A. & Madureira, Leonardo & Pirinsky, Christo A. & Underwood, Shane, 2011. "Geographic proximity and price discovery: Evidence from NASDAQ," Journal of Financial Markets, Elsevier, Elsevier, vol. 14(2), pages 193-226, May.
  56. Vitale, Paolo, 1998. "Two months in the life of several gilt-edged market makers on the London Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 8(3-4), pages 299-324, December.
  57. Kandel, Eugene & Marx, Leslie M., 1997. "Nasdaq market structure and spread patterns," Journal of Financial Economics, Elsevier, Elsevier, vol. 45(1), pages 61-89, July.
  58. Köksal, Bülent, 2010. "Participation strategy of the NYSE specialists to the posted quotes," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 314-331, December.
  59. Bohl, Martin T. & Gottschalk, Katrin & Pál, Rozália, 2006. "Institutional investors and stock market efficiency: The case of the January anomaly," MPRA Paper 677, University Library of Munich, Germany, revised Nov 2006.
  60. Lei, Qin & Wu, Guojun, 2005. "Time-varying informed and uninformed trading activities," Journal of Financial Markets, Elsevier, Elsevier, vol. 8(2), pages 153-181, May.
  61. Frino, Alex & Gerace, Dionigi & Lepone, Andrew, 2008. "Liquidity in auction and specialist market structures: Evidence from the Italian bourse," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2581-2588, December.
  62. Iosif ZIMAN, 2011. "Trading Platform for the Global Warrant Markets," Informatica Economica, Academy of Economic Studies - Bucharest, Romania, Academy of Economic Studies - Bucharest, Romania, vol. 15(2), pages 57-68.
  63. Ron Kaniel & Hong Liu, . "Are Transactions and Market Orders More Important than Limit Orders in the Quote Updating Process?," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 16-98, Wharton School Rodney L. White Center for Financial Research.
  64. Sigridur Benediktsdottir, 2006. "An empirical analysis of specialist trading behavior at the New York Stock Exchange," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 876, Board of Governors of the Federal Reserve System (U.S.).
  65. Oehler, Andreas & Häcker, Mirko, 2003. "Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt," Discussion Papers 20, University of Bamberg, Chair of Finance.
  66. Subrahmanyam, Avanidhar, 2008. "Lagged order flows and returns: A longer-term perspective," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 48(3), pages 623-640, August.
  67. Locke, Peter R. & Sarajoti, Pattarake, 2004. "Aggressive dealer pricing," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 44(4), pages 559-573, September.
  68. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2008. "Determinants of bid and ask quotes and implications for the cost of trading," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(4), pages 656-678, September.
  69. Albert J. Menkveld & Siem Jan Koopman & Andr� Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003.
  70. Panayides, Marios A., 2007. "Affirmative obligations and market making with inventory," Journal of Financial Economics, Elsevier, Elsevier, vol. 86(2), pages 513-542, November.
  71. Alexis Derviz, 2003. "Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market," Working Papers, Czech National Bank, Research Department 2003/04, Czech National Bank, Research Department.
  72. Victoria Saporta & Giorgio Trebeschi & Anne Vila, 1999. "Price formation and transparency on the London Stock Exchange," Bank of England working papers 95, Bank of England.
  73. Umut \c{C}etin & Albina Danilova, 2014. "Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems," Papers 1407.2420, arXiv.org.
  74. Chris D'Souza & Charles Gaa & Jing Yang, 2003. "An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds," Working Papers 03-28, Bank of Canada.