MEASURING THE INFORMATION-CONTENT OF STOCK TRADES

[1] A Theory of Intraday Patterns: Volume and Price Variability [J]. REVIEW OF FINANCIAL STUDIES, 1988, 1 (01) : 3 - 40

[2] DEALERSHIP MARKET - MARKET-MAKING WITH INVENTORY [J]. JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (01) : 31 - 53

[3] Bagehot W, 1971, FINANCIAL ANAL J, V8, P31

[4] ON THE DYNAMIC BEHAVIOR OF PRICES IN DISEQUILIBRIUM [J]. JOURNAL OF FINANCE, 1980, 35 (02) : 235 - 248

[5] INSIDER HOLDINGS AND PERCEPTIONS OF INFORMATION ASYMMETRY - A NOTE [J]. JOURNAL OF FINANCE, 1988, 43 (04) : 1041 - 1048

[6] INFORMATION EFFECTS ON THE BID-ASK SPREAD [J]. JOURNAL OF FINANCE, 1983, 38 (05) : 1457 - 1469

[7] PRICE, TRADE SIZE, AND INFORMATION IN SECURITIES MARKETS [J]. JOURNAL OF FINANCIAL ECONOMICS, 1987, 19 (01) : 69 - 90

[8] FOSTER DF, 1988, VARIATIONS VOLUMES S

[9] FOSTER DF, 1987, INTRADAY VARIATIONS, V1

[10] MARKET MICROSTRUCTURE [J]. JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (03) : 257 - 275

[1] A Theory of Intraday Patterns: Volume and Price Variability [J]. REVIEW OF FINANCIAL STUDIES, 1988, 1 (01) : 3 - 40

[2] DEALERSHIP MARKET - MARKET-MAKING WITH INVENTORY [J]. JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (01) : 31 - 53

[3] Bagehot W, 1971, FINANCIAL ANAL J, V8, P31

[4] ON THE DYNAMIC BEHAVIOR OF PRICES IN DISEQUILIBRIUM [J]. JOURNAL OF FINANCE, 1980, 35 (02) : 235 - 248

[5] INSIDER HOLDINGS AND PERCEPTIONS OF INFORMATION ASYMMETRY - A NOTE [J]. JOURNAL OF FINANCE, 1988, 43 (04) : 1041 - 1048

[6] INFORMATION EFFECTS ON THE BID-ASK SPREAD [J]. JOURNAL OF FINANCE, 1983, 38 (05) : 1457 - 1469

[7] PRICE, TRADE SIZE, AND INFORMATION IN SECURITIES MARKETS [J]. JOURNAL OF FINANCIAL ECONOMICS, 1987, 19 (01) : 69 - 90

[8] FOSTER DF, 1988, VARIATIONS VOLUMES S

[9] FOSTER DF, 1987, INTRADAY VARIATIONS, V1

[10] MARKET MICROSTRUCTURE [J]. JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (03) : 257 - 275