The interaction between order imbalance and stock price
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- Blume, Marshall E & MacKinley, A Craig & Terker, Bruce, 1989. " Order Imbalances and Stock Price Movements on October 19 and 20, 1987," Journal of Finance, American Finance Association, vol. 44(4), pages 827-48, September.
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- Ananth Madhavan & Seymour Smidt, . "A Bayesian Model of Intraday Specialist Pricing," Rodney L. White Center for Financial Research Working Papers 2-91, Wharton School Rodney L. White Center for Financial Research.
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- Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Lease, Ronald C & Masulis, Ronald W & Page, John R, 1991. " An Investigation of Market Microstructure Impacts on Event Study Returns," Journal of Finance, American Finance Association, vol. 46(4), pages 1523-36, September.
- Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, June.
- Barclay, Michael J. & Warner, Jerold B., 1993. "Stealth trading and volatility : Which trades move prices?," Journal of Financial Economics, Elsevier, vol. 34(3), pages 281-305, December.
- Huang, Roger D & Stoll, Hans R, 1994. "Market Microstructure and Stock Return Predictions," Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 179-213.
- Madhavan, Ananth & Smidt, Seymour, 1993. " An Analysis of Changes in Specialist Inventories and Quotations," Journal of Finance, American Finance Association, vol. 48(5), pages 1595-1628, December.
- Glosten, Lawrence R, 1989. "Insider Trading, Liquidity, and the Role of the Monopolist Specialist," The Journal of Business, University of Chicago Press, vol. 62(2), pages 211-35, April.
- Hasbrouck, Joel & Ho, Thomas S Y, 1987. " Order Arrival, Quote Behavior, and the Return-Generating Process," Journal of Finance, American Finance Association, vol. 42(4), pages 1035-48, September.
- Lee, Charles M. C., 1992. "Earnings news and small traders : An intraday analysis," Journal of Accounting and Economics, Elsevier, vol. 15(2-3), pages 265-302, August.
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