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Price, trade size, and information in securities markets
Journal of Financial Economics · 1987 · Vol. 19(1) · pp. 69–90
David Easley✉(Cornell University)Maureen O’Hara(Cornell University)
Financial Markets and Investment StrategiesCorporate Finance and GovernanceComplex Systems and Time Series AnalysisEconomicsMarket sizeAdverse selectionBlock (permutation group theory)Monetary economicsFinancial economicsInternational economicsMicroeconomics
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References
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
Journal of Financial Economics · 1985 · 6,279 citations
Continuous Auctions and Insider Trading
Econometrica · 1985 · 9,862 citations
Using daily stock returns
Journal of Financial Economics · 1985 · 6,526 citations
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