Quotes, Order Flow, and Price Discovery

Citations

Cited by:

1. Paolo Pasquariello & Clara Vega, 2015. "Strategic Cross-Trading in the U.S. Stock Market," Review of Finance, European Finance Association, vol. 19(1), pages 229-282.
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3. Coskun, Yener & Cetin, Muge, 2018. "Menkul Kiymet Borsalarinda Pi̇yasa Mi̇kro Yapisi: Tasarim Ve Ri̇skler [STOCK EXCHANGE MICROSTRUCTURE: DESIGN and RISKS]," MPRA Paper 105590, University Library of Munich, Germany.
4. Goldstein, Michael A. & Shkilko, Andriy V. & Van Ness, Bonnie F. & Van Ness, Robert A., 2008. "Competition in the market for NASDAQ securities," Journal of Financial Markets, Elsevier, vol. 11(2), pages 113-143, May.
5. Hartmut Schmidt & Michael Schleef, 2001. "Schlägt sich die Prinzipal-Agent-Beziehung zwischen Anlageinstitution und Bank in überhöhten Transaktionskosten nieder?," Schmalenbach Journal of Business Research, Springer, vol. 53(7), pages 663-689, November.
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7. George F. Tannous & Ying Zhang, 2008. "Cross‐listing and Trading on the Domestic Market: Evidence from Canada–US Partial Holidays," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9‐10), pages 1245-1275, November.
8. Thierry Foucault & Sophie Moinas & Erik Theissen, 2007. "Does Anonymity Matter in Electronic Limit Order Markets?," The Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1707-1747, 2007 28.
   • Thierry, FOUCAULT & Sophie, MOINAS & Erik, THEISSEN, 2003. "Does anonymity matter in electronic limit order markets ?," HEC Research Papers Series 784, HEC Paris.
   • Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2005. "Does anonymity matter in electronic limit order markets?," CFR Working Papers 05-15, University of Cologne, Centre for Financial Research (CFR).
   • Thierry Foucault & Sophie Moinas & Eric Theissen, 2007. "Does anonymity matter in electronic limit order markets ?," Post-Print halshs-00170387, HAL.
   • Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2004. "Does Anonymity Matter in Electronic Limit Order Markets?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 3, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
   • Thierry Foucault & Sophie Moinas & Erik Theissen, 2007. "Does Anonymity Matter in Electronic Limit Order Markets?," Post-Print hal-00459795, HAL.
   • Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2003. "Does Anonymity Matter in Electronic Limit Order Markets?," CEPR Discussion Papers 4091, C.E.P.R. Discussion Papers.
   • Thierry Foucault & Sophie Moinas & Erik Theissen, 2011. "Does anonymity matter in electronic limit order markets ?," Working Papers hal-00592031, HAL.
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31. Charlie Charoenwong & David K. Ding & Tiong Yang Thong, 2016. "Decimalization, IPO aftermath, and liquidity," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1303-1344, November.
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33. Erindi Allaj, 2017. "Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-39, June.
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35. Kelly David L. & Steigerwald Douglas G, 2004. "Private Information and High-Frequency Stochastic Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-30, March.
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