IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "A Baysian Model of Intraday Specialist Pricing"

by Madhavan, A. & Smidt, S.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Sugato Chakravarty, 2002. "Stealth-Trading: Which Traders' Trades Move Stock Prices?," Finance 0201003, EconWPA.
  2. 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.
  3. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank, Research Centre.
  4. Noronha, Gregory M. & Sarin, Atulya & Saudagaran, Shahrokh M., 1996. "Testing for micro-structure effects of international dual listings using intraday data," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 965-983, July.
  5. Rafael Romeu, 2003. "An Intraday Pricing Model of Foreign Exchange Markets," IMF Working Papers 03/115, International Monetary Fund.
  6. Koopman, S.J.M. & Lai, H.N., 1998. "Modelling bid-ask spreads in competitive dealership markets," Discussion Paper 1998-032, Tilburg University, Center for Economic Research.
  7. Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Hannover Economic Papers (HEP) dp-357, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  8. Rafael Romeu, 2004. "A Puzzle of Microstructure Market Maker Models," IMF Working Papers 04/6, International Monetary Fund.
  9. Peter C. Reiss & Ingrid M. Werner, 1994. "Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange," NBER Working Papers 4727, National Bureau of Economic Research, Inc.
  10. Lyons, Richard K., 1995. "Tests of microstructural hypotheses in the foreign exchange market," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351.
  11. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, Archie Craig, 1955-, 1990. "An ordered probit analysis of transaction stock prices," Working papers 3234-90., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  12. Mende, Alexander & Menkhoff, Lukas, 2006. "Profits and speculation in intra-day foreign exchange trading," Journal of Financial Markets, Elsevier, vol. 9(3), pages 223-245, August.
  13. Richard K. Lyons, 1996. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 183-208 National Bureau of Economic Research, Inc.
  14. Madhavan, Ananth & Porter, David & Weaver, Daniel, 2005. "Should securities markets be transparent?," Journal of Financial Markets, Elsevier, vol. 8(3), pages 265-287, August.
  15. Shino Takayama & Han Ozsoylev, 2005. "Price, Trade Size, and Information Revelation in Multi-Period Securities Markets," Finance 0510031, EconWPA.
  16. 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.).
  17. Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January.
  18. Randi Næs, 2004. "Ownership Structure and Stock Market Liquidity," Working Paper 2004/6, Norges Bank.
  19. Cheng, Louis & Firth, Michael & Leung, T.Y. & Rui, Oliver, 2006. "The effects of insider trading on liquidity," Pacific-Basin Finance Journal, Elsevier, vol. 14(5), pages 467-483, November.
  20. Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1998. "Estimating the adverse selection and fixed costs of trading in markets with multiple informed traders," Research Paper 9814, Federal Reserve Bank of New York.
  21. Wang, Jian-Xin, 2001. "Quote revision and information flow among foreign exchange dealers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 115-136, June.
  22. Hasbrouck, Joel & Seppi, Duane J., 2001. "Common factors in prices, order flows, and liquidity," Journal of Financial Economics, Elsevier, vol. 59(3), pages 383-411, March.
  23. Flannery, Mark J. & Kwan, Simon H. & Nimalendran, M., 2004. "Market evidence on the opaqueness of banking firms' assets," Journal of Financial Economics, Elsevier, vol. 71(3), pages 419-460, March.
  24. 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.
  25. Hartmann, Philipp, 1999. "Trading volumes and transaction costs in the foreign exchange market: Evidence from daily dollar-yen spot data," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 801-824, May.
  26. de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1995. "A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International," European Economic Review, Elsevier, vol. 39(7), pages 1277-1301, August.
  27. Bjonnes,H. & Rime,D., 2000. "FX trading ... LIVE! : dealer behavior and trading systems in foreign exchange markets," Memorandum 29/2000, Oslo University, Department of Economics.
  28. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y.K., 2005. "Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1483-1508, June.
  29. M. Frömmel & F. Van Gysegem, 2011. "Spread Components in the Hungarian Forint-Euro Market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/709, Ghent University, Faculty of Economics and Business Administration.
  30. H. Henry Cao & Martin D. Evans & Richard K. Lyons, 2006. "Inventory Information," The Journal of Business, University of Chicago Press, vol. 79(1), pages 325-364, January.
  31. Neal, Robert & Wheatley, Simon M., 1998. "Adverse selection and bid-ask spreads: Evidence from closed-end funds," Journal of Financial Markets, Elsevier, vol. 1(1), pages 121-149, April.
  32. 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.
  33. Foster, F Douglas & Viswanathan, S, 1995. "Can Speculative Trading Explain the Volume-Volatility Relation?," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(4), pages 379-96, October.
  34. Keim, Donald B. & Madhavan, Ananth, 1997. "Transactions costs and investment style: an inter-exchange analysis of institutional equity trades," Journal of Financial Economics, Elsevier, vol. 46(3), pages 265-292, December.
  35. Massa, Massimo & Simonov, Andrei, 2001. "Reputation and Interdealer Trading. A Microstructure Analysis of the Treasury Bond Market," SIFR Research Report Series 5, Institute for Financial Research.
  36. Ulibarri, Carlos A. & Anselmo, Peter & Hovsepian, Karen & Florescu, Ionut & Tolk, Jacob, 2008. "'Noise trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," MPRA Paper 14814, University Library of Munich, Germany.
  37. Hendershott, Terrence & Menkveld, Albert J., 2010. "Price pressures," CFS Working Paper Series 2010/14, Center for Financial Studies (CFS).
  38. Raman Kumar & Marius Popescu, 2014. "The implied intra-day probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 42(2), pages 357-371, February.
  39. Joel Hasbrouck & Duane J. Seppi, 1998. "Common Factors in Prices, Order Flows and Liquidity," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-011, New York University, Leonard N. Stern School of Business-.
  40. Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Hannover Economic Papers (HEP) dp-351, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  41. Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005. "Dealer behavior and trading systems in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
  42. Hasbrouck, Joel, 1996. "Order characteristics and stock price evolution An application to program trading," Journal of Financial Economics, Elsevier, vol. 41(1), pages 129-149, May.
  43. Subrahmanyam, Avanidhar, 2008. "Lagged order flows and returns: A longer-term perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 623-640, August.
  44. Dunne, Peter G., 2000. "A generalised Bayesian model of market microstructure behaviour applied to the market in Irish government securities," International Review of Financial Analysis, Elsevier, vol. 9(4), pages 369-388.
  45. Krueger, Malte, 2008. "Money: A Market Microstructure Approach," MPRA Paper 18416, University Library of Munich, Germany.
  46. LaPlante, Michele & Muscarella, Chris J., 1997. "Do institutions receive comparable execution in the NYSE and Nasdaq markets? A transaction study of block trades," Journal of Financial Economics, Elsevier, vol. 45(1), pages 97-134, July.
  47. Subrahmanyam, Avanidhar, 2009. "The implications of liquidity and order flows for neoclassical finance," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 527-532, November.
  48. Michele O’Neill & Judith Swisher, 2009. "How useful are signals? A micro-structure analysis," Journal of Economics and Finance, Springer, vol. 33(1), pages 60-70, January.
  49. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y. K., 2002. "The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 399-430, November.
  50. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 441-464, July.
  51. 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.
  52. Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1997. "Estimating the adverse selection cost in markets with multiple informed traders," Research Paper 9713, Federal Reserve Bank of New York.
  53. Chan, Yue-Cheong, 2000. "The price impact of trading on the stock exchange of Hong Kong," Journal of Financial Markets, Elsevier, vol. 3(1), pages 1-16, February.
  54. 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.
  55. Chris D'Souza, 2002. "A Market Microstructure Analysis of Foreign Exchange Intervention in Canada," Working Papers 02-16, Bank of Canada.
  56. Dubofsky, David, 1997. "Limit orders and ex-dividend day return distributions," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 47-65, January.
  57. Toni Gravelle, 1999. "The Market Microstructure of Dealership Equity and Government Securities Markets: How They Differ," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-16 Bank for International Settlements.
  58. de Jong, F.C.J.M. & Nijman, T.E. & Roell, A.A., 1994. "Price effects of trading and components of the bid-ask spread on the Paris Bource," Discussion Paper 1994-54, Tilburg University, Center for Economic Research.
  59. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York.
  60. Frieder, Laura, 2008. "Investor and price response to patterns in earnings surprises," Journal of Financial Markets, Elsevier, vol. 11(3), pages 259-283, August.
  61. Brown, Philip & Walsh, David & Yuen, Andrea, 1997. "The interaction between order imbalance and stock price," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 539-557, December.
  62. Bacidore, Jeffrey M. & Sofianos, George, 2002. "Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks," Journal of Financial Economics, Elsevier, vol. 63(1), pages 133-158, January.
  63. Fantazzini, Dean, 2008. "Credit Risk Management," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 12(4), pages 84-137.
  64. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Working Papers 02-9, Bank of Canada.
  65. 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.
  66. Keim, Donald B. & Madhavan, Ananth, 1995. "Anatomy of the trading process Empirical evidence on the behavior of institutional traders," Journal of Financial Economics, Elsevier, vol. 37(3), pages 371-398, March.
  67. Carpenter, Andrew & Wang, Jianxin, 2007. "Herding and the information content of trades in the Australian dollar market," Pacific-Basin Finance Journal, Elsevier, vol. 15(2), pages 173-194, April.
  68. Griffiths, Mark D. & Lindley, James T. & Winters, Drew B., 2010. "Market-making costs in Treasury bills: A benchmark for the cost of liquidity," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2146-2157, September.
  69. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1995. "Investment analysis and price formation in securities markets," Journal of Financial Economics, Elsevier, vol. 38(3), pages 361-381, July.
  70. Chan, Soon Huat & Kim, Kenneth A. & Rhee, S. Ghon, 2005. "Price limit performance: evidence from transactions data and the limit order book," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 269-290, March.
  71. Sofianos, George & Werner, Ingrid M., 2000. "The trades of NYSE floor brokers," Journal of Financial Markets, Elsevier, vol. 3(2), pages 139-176, May.
  72. Lei, Qin & Wu, Guojun, 2005. "Time-varying informed and uninformed trading activities," Journal of Financial Markets, Elsevier, vol. 8(2), pages 153-181, May.
  73. 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, vol. 8(3-4), pages 299-324, December.
  74. Locke, Peter R. & Sarajoti, Pattarake, 2004. "Aggressive dealer pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 559-573, September.
  75. Lamoureux, Christopher G. & Wang, Qin, 2015. "Measuring private information in a specialist market," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 92-119.
  76. Degryse, H.A., 1996. "The total cost of trading Belgian shares : Brussels versus London," Discussion Paper 1996-105, Tilburg University, Center for Economic Research.
  77. Oehler, Andreas & Häcker, Mirko, 2003. "Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt," Discussion Papers 20, University of Bamberg, Chair of Finance.
  78. Bjonnes,H. & Rime,D., 2000. "Customer trading and information in foreign exchange markets," Memorandum 30/2000, Oslo University, Department of Economics.
  79. Huang, Roger D. & Ting, Christopher, 2008. "A functional approach to the price impact of stock trades and the implied true price," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 1-16, January.
  80. Charles Goodhart & Takatoshi Ito & Richard Payne, 1995. "One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System," NBER Technical Working Papers 0179, National Bureau of Economic Research, Inc.
  81. Lin, Ji-Chai & Sanger, Gary C. & Geoffrey Booth, G., 1998. "External information costs and the adverse selection problem: A comparison of NASDAQ and NYSE stocks," International Review of Financial Analysis, Elsevier, vol. 7(2), pages 113-136.
  82. Reitz, Stefan & Schmidt, Markus A. & Taylor, Mark P., 2009. "Financial intermediation and the role of price discrimination in a two-tier market," Discussion Paper Series 1: Economic Studies 2009,13, Deutsche Bundesbank, Research Centre.
  83. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
  84. David Abad & Antonio Rubia, 2005. "Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español," Working Papers. Serie EC 2005-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  85. Subrahmanyam, Avanidhar, 1997. "Multi-market trading and the informativeness of stock trades: An empirical intraday analysis," Journal of Economics and Business, Elsevier, vol. 49(6), pages 515-531.
  86. Kempf, Alexander & Korn, Olaf, 1998. "Market depth and order size: an analysis of permanent price effects of DAX futures' trades," ZEW Discussion Papers 98-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  87. de Jong, F.C.J.M. & Nijman, T.E. & Röell, A.A., 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Other publications TiSEM 08f5fa19-14b7-4bc8-ba07-1, Tilburg University, School of Economics and Management.
  88. repec:hal:wpaper:halshs-00547470 is not listed on IDEAS
  89. Griese, Knut & Kempf, Alexander, 2005. "Liquiditätsdynamik am deutschen Aktienmarkt," CFR Working Papers 05-12, University of Cologne, Centre for Financial Research (CFR).
  90. Henker, Thomas & Wang, Jian-Xin, 2006. "On the importance of timing specifications in market microstructure research," Journal of Financial Markets, Elsevier, vol. 9(2), pages 162-179, May.
  91. 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.
  92. Spiegel, Matthew & Subrahmanyam, Avanidhar, 2000. "Asymmetric Information and News Disclosure Rules," Journal of Financial Intermediation, Elsevier, vol. 9(4), pages 363-403, October.
  93. 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, vol. 5(1), pages 1-25, January.
  94. Sadka, Ronnie, 2006. "Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk," Journal of Financial Economics, Elsevier, vol. 80(2), pages 309-349, May.
  95. Hendershott, Terrence & Menkveld, Albert J., 2014. "Price pressures," Journal of Financial Economics, Elsevier, vol. 114(3), pages 405-423.
  96. Riccardo Giacomelli & Elisa Luciano, 2011. "Equilibrium price of immediacy and infrequent trade," Carlo Alberto Notebooks 221, Collegio Carlo Alberto, revised 2013.
  97. Bond, Shaun A. & Chang, Qingqing, 2012. "Liquidity dynamics across public and private markets," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1890-1910.
  98. Eric J. Levin & Robert E. Wright, 2002. "Estimating the price elasticity of demand in the London stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 8(2), pages 222-237, June.
  99. Lee, Charles M. C. & Radhakrishna, Balkrishna, 2000. "Inferring investor behavior: Evidence from TORQ data," Journal of Financial Markets, Elsevier, vol. 3(2), pages 83-111, May.
  100. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-89, December.
  101. 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, vol. 105(3), pages 523-541.
  102. Heidle, Hans Gerhard, 1999. "Market Microstructure and Asset Pricing: A Survey," Discussion Papers 691, The Research Institute of the Finnish Economy.
  103. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.