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Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility. (2006). Mizrach, Bruce.
In: Departmental Working Papers.
RePEc:rut:rutres:200602.

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Cited: 3

Citations received by this document

Cites: 14

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. The next tick on Nasdaq. (2008). Mizrach, Bruce.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:8:y:2008:i:1:p:19-40.

    Full description at Econpapers || Download paper

  2. The microstructure of the U.S. treasury market. (2007). Neely, Christopher ; Mizrach, Bruce.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-052.

    Full description at Econpapers || Download paper

  3. The transition to electronic communications networks in the secondary treasury market. (2006). Neely, Christopher ; Mizrach, Bruce.
    In: Review.
    RePEc:fip:fedlrv:y:2006:i:nov:p:527-542:n:v.88no.6.

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References

References cited by this document

  1. Barclay, M. J., W. G. Christie, J. H. Harris, E. Kandel, and P. H. Schultz, 1999, The effects of market reform on the trading costs and depths of Nasdaq stocks, Journal of Finance 54, 1-34.

  2. Engle, R. F., and J. Russell, 1998, Autoregressive conditional duration: a new model for irregularly spaced transaction data, Econometrica 66, 1127-63.

  3. Engle, R.F. and A.J. Patton, 2004, Impacts of trades in an error-correction model of quote prices, Journal of Financial Markets 7, 1-25.

  4. Handa, P., R. Schwartz and A. Tiwari, 2000, Not held orders: evidence on the value of order timing in an equity market, U. of Iowa Working Paper.
    Paper not yet in RePEc: Add citation now

  5. Hasbrouck, J., 1991, Measuring the information content of stock trades, Journal of Finance 46, 179-207.

  6. Huang, R.D., 2002, The quality of ECN and Nasdaq market maker quotes, Journal of Finance 57: 1285-1319.

  7. Klock, M. and D. T. McCormick, 1999, The impact of market maker competition on Nasdaq spreads, The Financial Review 34, 55-74.

  8. L. Harris and P. Schultz, 1998, The trading profits of SOES bandits, Journal of Financial Economics 50, 39-62.

  9. M. J. Barclay, T. Hendershott, D. T. McCormick, 2003, Competition among trading venues: information and trading on electronic communications networks, Journal of Finance 58, 2637-65.

  10. Madhavan, A. and M. Cheng, 1997, In search of liquidity: block trades in the upstairs and downstairs markets, Review of Financial Studies 10, 175-204.

  11. Smith, J.W., J. P. Selway, and D.T. McCormick, 1998, The Nasdaq stock market. historical background and current operation, NASD Working Paper 98-01.
    Paper not yet in RePEc: Add citation now

  12. W.G. Christie and P.H. Schultz, 1994, Why do NASDAQ market makers avoid odd-eighth quotes? Journal of Finance 49, 1813-40.

  13. Weston, J., 2000, Competition on the Nasdaq and the impact of recent market reforms, Journal of Finance 55, 2565-98.

  14. Weston, J., 2002, Electronic communication networks and liquidity on the Nasdaq, Journal of Financial Services Research 22, 125-39.

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  3. Market makers as information providers: The natural experiment of STAR. (2010). Rindi, Barbara ; Perotti, Pietro.
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  7. The next tick on Nasdaq. (2008). Mizrach, Bruce.
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  13. Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility. (2006). Mizrach, Bruce.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200602.

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  14. Effect of the Actual Size Rule Under Market Stress. (2006). Porter, David ; Simaan, Yusif ; Whitcomb, David ; Weaver, Daniel.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.