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Information-Based Trading and the Bid-Ask Spread

https://doi.org/10.2139/ssrn.1676952
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(87)90029-8openalex-extracted
Price, trade size, and information in securities markets
inferredcites →https://doi.org/10.1016/0304-405x(92)90025-sopenalex-extracted
What's special about the specialist?
inferredcites →https://doi.org/10.1016/0304-405x(95)00867-eopenalex-extracted
Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE
inferredcites →https://doi.org/10.1016/j.finmar.2004.07.001openalex-extracted
The information content of the limit order book: evidence from NYSE specialist trading decisions
inferredcites →https://doi.org/10.1016/j.finmar.2005.12.002openalex-extracted
The value of the specialist: Empirical evidence from the CBOE
inferredcites →https://doi.org/10.1016/j.jbankfin.2008.02.001openalex-extracted
The dynamics of quote adjustments
inferredcites →https://doi.org/10.1016/s0304-405x(03)00174-0openalex-extracted
Order preferencing and market quality on NASDAQ before and after decimalization
inferredcites →https://doi.org/10.1016/s0304-405x(98)00008-7openalex-extracted
An empirical analysis of NYSE specialist trading1We thank Jim Cochrane, Joel Hasbrouck, Don Keim, Kim Shapiro, Jerry Warner, and an anonymous referee for their helpful comments. Seminar participants at the Ohio State Conference on `Dealer Markets', London School of Economics, University of…
inferredcites →https://doi.org/10.1111/0022-1082.00124openalex-extracted
A Specialist's Quoted Depth and the Limit Order Book
inferredcites →https://doi.org/10.1111/0022-1082.00375openalex-extracted
Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges
inferredcites →https://doi.org/10.2139/ssrn.243104openalex-extracted
Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges
inferredcites →https://doi.org/10.2139/ssrn.393560openalex-extracted
inferredcites →https://doi.org/10.2307/1913210openalex-extracted
Continuous Auctions and Insider Trading
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