Stalking the “efficient price” in market microstructure specifications: an overview
Top Cited Papers
- 31 July 2002
- journal article
- Published by Elsevier in Journal of Financial Markets
- Vol. 5 (3) , 329-339
- https://doi.org/10.1016/s1386-4181(02)00029-0
Abstract
No abstract availableKeywords
This publication has 19 references indexed in Scilit:
- Common factor components versus information shares: a replyJournal of Financial Markets, 2002
- Measures of contributions to price discovery: a comparisonJournal of Financial Markets, 2002
- Some desiderata for the measurement of price discovery across marketsJournal of Financial Markets, 2002
- Price, trade size, and information in securities marketsPublished by Elsevier ,2002
- Estimation of Common Long-Memory Components in Cointegrated SystemsJournal of Business & Economic Statistics, 1995
- The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical BoundsEconometrica, 1992
- Estimating the components of the bid/ask spreadJournal of Financial Economics, 1988
- Components of the Bid-Ask Spread and the Statistical Properties of Transaction PricesThe Journal of Finance, 1987
- Continuous Auctions and Insider TradingEconometrica, 1985
- Bid, ask and transaction prices in a specialist market with heterogeneously informed tradersJournal of Financial Economics, 1985