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Citations for "The Microeconomics of Market Making"

by O'Hara, Maureen & Oldfield, George S.

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  1. Baye, M.R. & Gillette, A. & De Vries, C.G., 1993. "Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist," Papers 10-93-10a, Pennsylvania State - Department of Economics.
  2. Bondarenko, Oleg, 2001. "Competing market makers, liquidity provision, and bid-ask spreads," Journal of Financial Markets, Elsevier, vol. 4(3), pages 269-308, June.
  3. Sugato Chakravarty & Frederick H. deB. Harris & Robert A. Wood, 2002. "Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?," Econometrics 0201003, EconWPA.
  4. Andrew W. Lo & A. Craig MacKinlay & June Zhang, . "Econometric Models of Limit-Order Executions," Rodney L. White Center for Financial Research Working Papers 12-99, Wharton School Rodney L. White Center for Financial Research.
  5. Rafael Romeu, 2004. "A Puzzle of Microstructure Market Maker Models," IMF Working Papers 04/6, International Monetary Fund.
  6. Lei, Qin & Wu, Guojun, 2005. "Time-varying informed and uninformed trading activities," Journal of Financial Markets, Elsevier, vol. 8(2), pages 153-181, May.
  7. Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2005. "The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms," University of California at Los Angeles, Anderson Graduate School of Management qt6z81z2wc, Anderson Graduate School of Management, UCLA.
  8. Richard K. Lyons, 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Working Papers 4984, National Bureau of Economic Research, Inc.
  9. Goyenko, Ruslan & Sarkissian, Sergei, 2010. "Flight to Liquidity and Global Equity Returns," MPRA Paper 27546, University Library of Munich, Germany.
  10. Chakrabarty, Bidisha & Moulton, Pamela C., 2012. "Earnings announcements and attention constraints: The role of market design," Journal of Accounting and Economics, Elsevier, vol. 53(3), pages 612-634.
  11. Oldfield, George S., 2000. "Making markets for structured mortgage derivatives," Journal of Financial Economics, Elsevier, vol. 57(3), pages 445-471, September.
  12. John Rust & George Hall, 2003. "Middlemen versus Market Makers: A Theory of Competitive Exchange," Journal of Political Economy, University of Chicago Press, vol. 111(2), pages 353-403, April.
  13. Ardalan, Kavous, 1999. "The no-arbitrage condition and financial markets with transaction costs and heterogeneous information: The bid-ask spread," Global Finance Journal, Elsevier, vol. 10(1), pages 83-91.
  14. Coughenour, Jay F. & Saad, Mohsen M., 2004. "Common market makers and commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 73(1), pages 37-69, July.
  15. Gau, Yin-Feng, 2005. "Intraday volatility in the Taipei FX market," Pacific-Basin Finance Journal, Elsevier, vol. 13(4), pages 471-487, September.
  16. Charoenwong, Charlie & Ding, David K. & Siraprapasiri, Vasan, 2011. "Adverse selection and corporate governance," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 406-420, June.
  17. Richard K. Lyons., 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," Research Program in Finance Working Papers RPF-230, University of California at Berkeley.
  18. Shen, Pu & Starr, Ross M., 2000. "Market Makers' Supply and Pricing of Financial Market Liquidity," University of California at San Diego, Economics Working Paper Series qt69f9h5bz, Department of Economics, UC San Diego.
  19. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
  20. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York.
  21. Frino, Alex & Jarnecic, Elvis, 2000. "An empirical analysis of the supply of liquidity by locals in futures markets: Evidence from the Sydney Futures Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 443-456, July.
  22. Anand, Amber, 2005. "Specialist: The firm or the individual?: Empirical evidence from the options markets," Journal of Economics and Business, Elsevier, vol. 57(6), pages 555-575.
  23. Hollifield, Burton & Miller, Robert & Sandås, Patrik, 2001. "Empirical Analysis of Limit Order Markets," CEPR Discussion Papers 2843, C.E.P.R. Discussion Papers.
  24. Ligon, James A. & Liu, Hao-Chen, 2013. "The relation of trade size and price contribution in a traditional foreign exchange brokered market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1024-1045.
  25. Levin, Eric J. & Wright, Robert E., 2004. "Estimating the profit markup component of the bid-ask spread: evidence from the London Stock Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 1-19, February.
  26. Sigridur Benediktsdottir, 2006. "An empirical analysis of specialist trading behavior at the New York Stock Exchange," International Finance Discussion Papers 876, Board of Governors of the Federal Reserve System (U.S.).
  27. Takatoshi Ito Richard K. Lyons and Michael T. Melvin., 1997. "Is There Private Information in the FX Market? The Tokyo Experiment," Research Program in Finance Working Papers RPF-270, University of California at Berkeley.
  28. Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, vol. 1(2), pages 203-219, August.
  29. Fong, Wai-Ming & Valente, Giorgio & Fung, Joseph K.W., 2010. "Covered interest arbitrage profits: The role of liquidity and credit risk," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1098-1107, May.
  30. Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," NBER Working Papers 6129, National Bureau of Economic Research, Inc.
  31. Shen, Pu & Starr, Ross M., 2002. "Market-makers' supply and pricing of financial market liquidity," Economics Letters, Elsevier, vol. 76(1), pages 53-58, June.
  32. Hao-Chen Liu, 2011. "Timing of price clustering and trader behavior in the foreign exchange market: evidence from Taiwan," Journal of Economics and Finance, Springer, vol. 35(2), pages 198-210, April.
  33. 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.
  34. Shane A. Corwin & Jay F. Coughenour, 2008. "Limited Attention and the Allocation of Effort in Securities Trading," Journal of Finance, American Finance Association, vol. 63(6), pages 3031-3067, December.
  35. Saida Gtifa & Naoufel LIOUANE, 2013. "Bid-ask spread, order size and volatility in the foreign exchange market: an empirical investigation," E3 Journal of Business Management and Economics., E3 Journals, vol. 4(12), pages 267-275.
  36. Pu Shen & Ross M. Starr, 2000. "Market makers' supply and pricing of financial market liquidity," Research Working Paper RWP 00-03, Federal Reserve Bank of Kansas City.
  37. Bowe, Michael & Hyde, Stuart & McFarlane, Lavern, 2013. "Duration, trading volume and the price impact of trades in an emerging futures market," Emerging Markets Review, Elsevier, vol. 17(C), pages 89-105.
  38. Dubofsky, David, 1997. "Limit orders and ex-dividend day return distributions," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 47-65, January.
  39. Chordia, Tarun & Subrahmanyam, Avanidhar, 2004. "Order imbalance and individual stock returns: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 72(3), pages 485-518, June.
  40. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Working Papers 02-9, Bank of Canada.
  41. Andrade, Sandro C. & Chang, Charles & Seasholes, Mark S., 2008. "Trading imbalances, predictable reversals, and cross-stock price pressure," Journal of Financial Economics, Elsevier, vol. 88(2), pages 406-423, May.
  42. Wai-Ming Fong & Giorgio Valente & Joseph K.W. Fung, 2008. "FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value," Working Papers 082008, Hong Kong Institute for Monetary Research.
  43. Gu, Mu, 1995. "Market mediating behavior: An economic analysis of the security exchange specialists," Journal of Economic Behavior & Organization, Elsevier, vol. 27(2), pages 237-256, July.
  44. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
  45. Corwin, Shane A., 2004. "Specialist performance and new listing allocations on the NYSE: an empirical analysis," Journal of Financial Markets, Elsevier, vol. 7(1), pages 27-51, January.
  46. Rafael Romeu, 2003. "An Intraday Pricing Model of Foreign Exchange Markets," IMF Working Papers 03/115, International Monetary Fund.
  47. Hatch, Brian C. & Johnson, Shane A., 2002. "The impact of specialist firm acquisitions on market quality," Journal of Financial Economics, Elsevier, vol. 66(1), pages 139-167, October.
  48. 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 16-98, Wharton School Rodney L. White Center for Financial Research.
  49. Chung, Kee H. & Van Ness, Bonnie F. & Van Ness, Robert A., 1999. "Limit orders and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 53(2), pages 255-287, August.
  50. 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, vol. 15(4), pages 656-678, September.
  51. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York.
  52. Yavas, Abdullah, 2001. "The immediacy service of the specialist as a coordination mechanism," International Review of Economics & Finance, Elsevier, vol. 10(3), pages 205-221, July.