Ananth Madhavan : Citation Profile


Are you Ananth Madhavan?

22

H index

24

i10 index

2488

Citations

RESEARCH PRODUCTION:

33

Articles

36

Papers

1

Books

RESEARCH ACTIVITY:

   33 years (1985 - 2018). See details.
   Cites by year: 75
   Journals where Ananth Madhavan has often published
   Relations with other researchers
   Recent citing documents: 213.    Total self citations: 8 (0.32 %)

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   Permalink: http://citec.repec.org/pma618
   Updated: 2019-07-14    RAS profile: 2019-02-04    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Ananth Madhavan.

Is cited by:

Theissen, Erik (38)

Foucault, Thierry (31)

Chakravarty, Sugato (25)

Subrahmanyam, Avanidhar (23)

Menkhoff, Lukas (22)

PASCUAL, ROBERTO (20)

Biais, Bruno (18)

Menkveld, Albert (17)

Bikker, Jacob (16)

van der Sluis, Pieter (16)

Daures Lescourret, Laurence (15)

Cites to:

Stoll, Hans (10)

Shleifer, Andrei (9)

Subrahmanyam, Avanidhar (7)

Easley, David (7)

Amihud, Yakov (6)

Lee, Charles (4)

Christie, William (4)

Viswanathan, S (4)

Waldmann, Robert (4)

Lyons, Richard (4)

Goldstein, Michael (3)

Main data


Where Ananth Madhavan has published?


Journals with more than one article published# docs
Journal of Finance8
Review of Financial Studies6
Journal of Financial Economics4
Journal of Financial Markets3
Journal of Financial Intermediation2
Journal of Financial and Quantitative Analysis2
Journal of Food Distribution Research2

Recent works citing Ananth Madhavan (2018 and 2017)


YearTitle of citing document
2017Surprise and Dispersion: Informational Impact of USDA Announcements. (2017). Frijns, Bart ; Tourani-Rad, Alireza ; Indriawan, Ivan ; Fernandez-Perez, Adrian. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259208.

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2017The Information Content of the Limit Order Book. (2017). Frank, Julieta ; Arzandeh, Mehdi . In: 7th Annual Canadian Agri-Food Policy Conference, January 11-13, 2017, Ottawa, ON. RePEc:ags:cafp17:253251.

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2017Detecting intraday financial market states using temporal clustering. (2017). Hendricks, Dieter ; Wilcox, Diane ; Gebbie, Tim. In: Papers. RePEc:arx:papers:1508.04900.

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2019A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes. (2016). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1602.00839.

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2018Effective risk aversion in thin risk-sharing markets. (2018). Anthropelos, Michail ; Vichos, Georgios ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1707.05096.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502.

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2017Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2018Optimal make-take fees for market making regulation. (2018). el Euch, Omar ; Touzi, Nizar ; Rosenbaum, Mathieu ; Mastrolia, Thibaut. In: Papers. RePEc:arx:papers:1805.02741.

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2019Inventory Management for High-Frequency Trading with Imperfect Competition. (2018). Herrmann, Sebastian ; Yang, Chen ; Shang, Dapeng ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1808.05169.

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2018Supporting Crowd-Powered Science in Economics: FRACTI, a Conceptual Framework for Large-Scale Collaboration and Transparent Investigation in Financial Markets. (2018). Faleiro, Jorge ; Tsang, Edward. In: Papers. RePEc:arx:papers:1808.07959.

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2018Mathematics of Market Microstructure under Asymmetric Information. (2018). Ccetin, Umut . In: Papers. RePEc:arx:papers:1809.03885.

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2019From Glosten-Milgrom to the whole limit order book and applications to financial regulation. (2019). Saliba, Pamela ; Rosenbaum, Mathieu ; Huang, Weibing . In: Papers. RePEc:arx:papers:1902.10743.

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2019Stylized Facts on Price Formation on Corporate Bonds and Best Execution Analysis. (2019). Xu, Renyuan ; Lehalle, Charles-Albert ; Guo, Xin. In: Papers. RePEc:arx:papers:1903.09140.

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2019The impact of proportional transaction costs on systematically generated portfolios. (2019). Xie, Kangjianan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1904.08925.

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2018Banks holdings of and trading in government bonds. (2018). Manna, Michele ; Nobili, Stefano. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1166_18.

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2017Information Aggregation in Dynamic Markets with Adverse Selection. (2017). Fuchs, William ; Green, Brett ; Asriyan, Vladimir. In: Working Papers. RePEc:bge:wpaper:979.

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2017Liquidity risk in markets with trading frictions: What can swing pricing achieve?. (2017). Lewrick, Ulf ; Schanz, Jochen. In: BIS Working Papers. RePEc:bis:biswps:663.

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2019Surprise and dispersion: informational impact of USDA announcements. (2019). Frijns, Bart ; TouraniRad, Alireza ; Indriawan, Ivan ; FernandezPerez, Adrian . In: Agricultural Economics. RePEc:bla:agecon:v:50:y:2019:i:1:p:113-126.

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2018TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET. (2018). Kartsaklas, Aris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:226-250.

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2017Cold Case File? Inventory Risk and Information Sharing during the pre†1997 NASDAQ. (2017). Lescourret, Laurence . In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:4:p:761-806.

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2018The mixed vs the integrated approach to style investing: Much ado about nothing?. (2018). Leippold, Markus ; Rueegg, Roger. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:5:p:829-855.

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2019Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity. (2019). Savva, Christos S ; Lambertides, Neophytos ; Chelleysteeley, Patricia. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:1:p:116-159.

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2017Mutual Fund Liquidity Costs. (2017). Fulkerson, Jon A ; Riley, Timothy B. In: Financial Management. RePEc:bla:finmgt:v:46:y:2017:i:2:p:359-375.

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2017COMPETITION BETWEEN EQUITY MARKETS: A REVIEW OF THE CONSOLIDATION VERSUS FRAGMENTATION DEBATE. (2017). Theissen, Erik ; Westheide, Christian ; Weber, Moritz Christian ; Sagade, Satchit ; Gomber, Peter. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:3:p:792-814.

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2017A Factor Analytical Approach to Price Discovery. (2017). , Joakimwesterlund ; Narayan, Paresh ; Reese, Simon ; Westerlund, Joakim. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:3:p:366-394.

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2017Dealer Trading at the Fix. (2017). Turnbull, Alasdair ; Osler, Carol . In: Working Papers. RePEc:brd:wpaper:101r.

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2017Is Market Fear Persistent? A Long-Memory Analysis. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6534.

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2018The Role of Pre-Opening Mechanisms in Fragmented Markets. (2018). Boussetta, Selma ; Moinas, Sophie ; Lescourret, Laurance. In: EconPol Working Paper. RePEc:ces:econwp:_12.

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2018Market Structure and Transaction Costs of Index CDSs. (2018). Trolle, Anders B ; Junge, Benjamin ; Collin-Dufresne, Pierre. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1840.

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2017Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report. (2017). Crego, Julio A. In: Working Papers. RePEc:cmf:wpaper:wp2017_1714.

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2017Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report. (2017). Crego, Julio A. In: Working Papers. RePEc:cmf:wpaper:wp2018_1714.

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2017Disentangling the relationship between liquidity and returns in Latin America. (2017). Taborda, Rodrigo ; French, Joseph. In: DOCUMENTOS CEDE. RePEc:col:000089:015606.

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2017Measuring the effectiveness of volatility call auctions. (2017). Castro Iragorri, Carlos ; Agudelo, Diego ; Preciado, Sergio. In: DOCUMENTOS DE TRABAJO. RePEc:col:000092:015498.

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2018Measuring the effectiveness of volatility auctions. (2018). Agudelo, Diego A ; Castro, Carlos ; Preciado, Sergio. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016943.

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2017How does information disclosure affect liquidity? Evidence from an Emerging Market. (2017). Agudelo, Diego A ; Arango, Ignacio. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016944.

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2018Measuring the effectiveness of volatility auctions. (2018). Agudelo, Diego ; Preciado, Sergio ; Castro, Carlos. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016988.

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2017How does information disclosure affect liquidity?Evidence from an Emerging Market. (2017). Agudelo, Diego ; Arango, Ignacio. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016990.

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2017Portfolio Liquidity and Diversification: Theory and Evidence. (2017). Pastor, Lubos ; Taylor, Lucian ; Stambaugh, Robert F. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12195.

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2017Trading in style: Retail investors vs. institutions. (2017). Wolff, Christian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12462.

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2017Fund Tradeoffs. (2017). Pistor, Luboi ; Taylor, Lucian ; Stambaugh, Robert F. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12513.

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2017Discriminatory Pricing of Over-The-Counter Derivatives. (2017). Timmer, Yannick ; Langfield, Sam ; Hoffmann, Peter ; Hau, Harald. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12525.

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2018Liquidity, Leverage, and Regulation Ten Years after the Global Financial Crisis. (2018). Adrian, Tobias ; Shin, Hyun Song ; Kiff, John. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13350.

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2019The Sound Of Many Funds Rebalancing. (2019). Fos, Vyacheslav ; Chinco, Alex. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13561.

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2017An Empirical Analysis of Market Segmentation on U.S. Equity Markets. (2017). Hatheway, Frank ; Zheng, Hui ; Kwan, Amy. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:52:y:2017:i:06:p:2399-2427_00.

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2019Pension funds, large capital inflows and stock returns in a thin market. (2019). Serwa, Dobromi ; Bohl, Martin T ; Brzeszczyski, Janusz. In: Journal of Pension Economics and Finance. RePEc:cup:jpenef:v:18:y:2019:i:03:p:347-387_00.

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2017Does it pay to pay performance fees? Empirical evidence from Dutch pension funds. (2017). Broeders, Dirk ; Rijsbergen, David ; van Oord, Arco . In: DNB Working Papers. RePEc:dnb:dnbwpp:561.

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2017The bigger, the better? An investigation of optimal volume of big data. (2017). Koo, Bonyoung ; Kim, Byung Cho ; Ho, Seung. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00552.

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2017Dark pools in European equity markets: emergence, competition and implications. (2017). Wedow, Michael ; Petrescu, Monica. In: Occasional Paper Series. RePEc:ecb:ecbops:2017193.

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2018Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange. (2018). Wang, Jianxin ; Twu, Mia. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:53-62.

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2018Commonality in liquidity: Evidence from India’s National Stock Exchange. (2018). Kumar, Gaurav ; Misra, Arun Kumar . In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:1-15.

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2017Information leakage in family firms: Evidence from short selling around insider sales. (2017). Sun, Hanwen ; Yin, Shuxing. In: Journal of Corporate Finance. RePEc:eee:corfin:v:47:y:2017:i:c:p:72-87.

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2018Institutional trading and Abel Noser data. (2018). Hu, Gang ; Xie, Jing ; Wang, Yi Alex ; Jo, Koren M. In: Journal of Corporate Finance. RePEc:eee:corfin:v:52:y:2018:i:c:p:143-167.

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2017Impact of value-at-risk models on market stability. (2017). Llacay, Barbara ; Peffer, Gilbert. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:223-256.

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2017Taxing financial transactions in fundamentally heterogeneous markets. (2017). Molinari, Massimo ; Gaffeo, Edoardo. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:322-333.

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2017Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis. (2017). Masih, Abul ; Dewandaru, Ginanjar. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:30-40.

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2017Market maker competition and price efficiency: Evidence from China. (2017). Zhang, Wei ; Feng, XU ; Huang, Ke. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:121-131.

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2019Intraday momentum and stock return predictability: Evidence from China. (2019). Zhang, Yaojie ; Zhu, BO ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:319-329.

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2017Trading mechanisms and market quality: Limit-order books versus dealership markets. (2017). Xing, Xiaochuan ; Xue, YI. In: Economics Letters. RePEc:eee:ecolet:v:154:y:2017:i:c:p:35-44.

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2018How investible is Bitcoin? Analyzing the liquidity and transaction costs of Bitcoin markets. (2018). Dyhrberg, Anne H ; Svec, Jiri ; Foley, Sean. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:140-143.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:289-337.

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2017Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. (2017). Nguyen, Duc Khuong ; Berger, Theo ; Hernandez, Jose Arreola. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1121-1131.

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2018Optimal privatization portfolios in the presence of arbitrary risk aversion. (2018). Topaloglou, Nikolas ; Christodoulakis, George ; Mohamed, Abdulkadir. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:3:p:1172-1191.

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2017Sophistication and price impact of foreign investors in the Brazilian stock market. (2017). Gonalves, Walter ; Eid, William . In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:102-139.

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2017Intraday volatility and the implementation of a closing call auction at Borsa Istanbul. (2017). Inci, Can A ; Ozenbas, Deniz . In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:79-89.

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2017Do short sellers exploit industry information?. (2017). Zhang, Weina ; Huszar, Zsuzsa R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:118-139.

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2017The impact of fragmentation, exchange fees and liquidity provision on market quality. (2017). Aitken, Michael ; Foley, Sean ; Chen, Haoming . In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:140-160.

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2017Informed trading in S&P index options? Evidence from the 2008 financial crisis. (2017). French, Joseph ; Chen, Clara Chia-Sheng ; Li, Wei-Xuan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:40-65.

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2019Portfolio concentration and mutual fund performance. (2019). Riley, Timothy B ; Fulkerson, Jon A. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:1-16.

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2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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2017Informed trading and the price impact of block trades: A high frequency trading analysis. (2017). Ibikunle, Gbenga ; Sun, Yuxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:114-129.

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2018The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares. (2018). Frijns, Bart ; Tourani-Rad, Alireza ; Indriawan, Ivan. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:136-152.

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2018Paper profits or real money? Trading costs and stock market anomalies in country ETFs. (2018). Zaremba, Adam ; Andreu, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:181-192.

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2018Do ETFs lead the price moves? Evidence from the major US markets. (2018). Buckle, Mike ; Tong, Chen ; Guo, Qian ; Chen, Jing. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:91-103.

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2018NYSE closure and global equity trading: The case of cross-listed stocks. (2018). Frijns, Bart ; Dodd, Olga. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:138-150.

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2017The impact of Shanghai–Hong Kong Stock Connect policy on A-H share price premium. (2017). Fan, Qingliang (Michael) ; Wang, Ting. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:222-227.

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2018The coherence of liquidity measures. The evidence from the emerging market. (2018). Bdowska-Sojka, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:118-123.

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2018Is market fear persistent? A long-memory analysis. (2018). Plastun, Alex ; Caporale, Guglielmo Maria ; Gil-Alana, Luis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:140-147.

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2017Permanent price impact asymmetry of trades with institutional constraints. (2017). Chiyachantana, Chiraphol ; Sharma, Vivek ; Jiang, Christine ; Jain, Pankaj K. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:1-16.

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2018Bid- and ask-side liquidity in the NYSE limit order book. (2018). Cenesizoglu, Tolga ; Grass, Gunnar . In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:14-38.

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2018Funding constraints and liquidity in two-tiered OTC markets. (2018). Benos, Evangelos ; Ike, Filip. In: Journal of Financial Markets. RePEc:eee:finmar:v:39:y:2018:i:c:p:24-43.

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2018The curious case of changes in trading dynamics: When firms switch from NYSE to NASDAQ. (2018). Dang, Viet Anh ; Pham, Thu Phuong ; Michayluk, David . In: Journal of Financial Markets. RePEc:eee:finmar:v:41:y:2018:i:c:p:17-35.

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2019Short-term trading skill: An analysis of investor heterogeneity and execution quality. (2019). Sotiropoulos, Michael G ; Moallemi, Ciamac C ; Salam, Mehmet. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:1-28.

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2019Fast and slow informed trading. (2019). Rou, Ioanid . In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:1-30.

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2017Time-varying conditional discrete jumps in emerging African equity markets. (2017). Kuttu, Saint. In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:35-54.

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2017Currency volatility and bid-ask spreads of ADRs and local shares. (2017). Figueiredo, Antonio ; Parhizgari, A M. In: Global Finance Journal. RePEc:eee:glofin:v:34:y:2017:i:c:p:54-71.

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2018Disentangling the relationship between liquidity and returns in Latin America. (2018). Taborda, Rodrigo ; French, Joseph. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:23-40.

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2017Corruption’s impact on foreign portfolio investment. (2017). Pagano, Michael S ; Kuvvet, Emre ; Jain, Pankaj K. In: International Business Review. RePEc:eee:iburev:v:26:y:2017:i:1:p:23-35.

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2018Fifty-shades of grey: Competition between dark and lit pools in stock exchanges. (2018). Oriol, Nathalie ; Torre, Dominique ; Rufini, Alexandra. In: Information Economics and Policy. RePEc:eee:iepoli:v:45:y:2018:i:c:p:68-85.

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2018Multi-market trading and liquidity: Evidence from cross-listed companies. (2018). Atanasova, Christina ; Li, Mingxin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:117-138.

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2018Does feedback trading drive returns of cross-listed shares?. (2018). Chen, Jing ; McMillan, David G ; Hou, Wenxuan ; Dong, Yizhe. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:179-199.

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2018Something in the air: Information density, news surprises, and price jumps. (2018). Füss, Roland ; Stein, Michael ; Mager, Ferdinand ; Grabellus, Markus ; Fuss, Roland ; ROLAND FSS, . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:50-75.

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2019Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data. (2019). Stenfors, Alexis ; Susai, Masayuki. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:59:y:2019:i:c:p:36-57.

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2019Classification of intraday S&P500 returns with a Random Forest. (2019). Lohrmann, Christoph ; Luukka, Pasi. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:390-407.

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2018Are the stock markets “rigged”? An empirical analysis of regulatory change. (2018). Diamond, Stephen F ; Kuan, Jennifer W. In: International Review of Law and Economics. RePEc:eee:irlaec:v:55:y:2018:i:c:p:33-40.

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2017Simple measures of market efficiency: A study in foreign exchange markets. (2017). Kitamura, Yoshihiro. In: Japan and the World Economy. RePEc:eee:japwor:v:41:y:2017:i:c:p:1-16.

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2018Evaluating VPIN as a trigger for single-stock circuit breakers. (2018). Abad, David ; Pascual, Roberto ; Massot, Magdalena. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:21-36.

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2018Forex trading and the WMR Fix. (2018). Martin, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:233-247.

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2018Trading efficiency of fund families: Impact on fund performance and investment behavior. (2018). Cici, Gjergji ; Kempf, Alexander ; Dahm, Laura K. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:1-14.

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2019Ultra-fast activity and intraday market quality. (2019). Tapia, Mikel ; Penalva, Jose ; Payne, Richard ; Cartea, Alvaro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:157-181.

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More than 100 citations found, this list is not complete...

Works by Ananth Madhavan:


YearTitleTypeCited
2018Exchange-Traded Funds 101 for Economists In: Journal of Economic Perspectives.
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article0
2018Exchange Traded Funds 101 For Economists.(2018) In: CEPR Discussion Papers.
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2018Exchange Traded Funds 101 For Economists.(2018) In: NBER Working Papers.
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1986ASSESSING THE COSTS OF MANDATORY BEVERAGE CONTAINER DEPOSIT LEGISLATION In: Journal of Food Distribution Research.
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article0
1985COMPETITION IN BEVERAGE DISTRIBUTION: THE ROLE OF STATE REGULATION In: Journal of Food Distribution Research.
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article0
2014Exchange-Traded Funds: An Overview of Institutions, Trading, and Impacts In: Annual Review of Financial Economics.
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article0
1994Price Continuity Rules and Insider Trading. In: Working papers.
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paper7
1995Price Continuity Rules and Insider Trading.(1995) In: Journal of Financial and Quantitative Analysis.
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article
1992Price Continuity Rules and Insider Trading..(1992) In: RCER Working Papers.
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paper
2001Liquidity, Volatility and Equity Trading Costs across Countries and over Time. In: International Finance.
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article99
2000Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time.(2000) In: William Davidson Institute Working Papers Series.
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paper
1992 Trading Mechanisms in Securities Markets. In: Journal of Finance.
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article183
1990Trading Mechanisms in Securities Markets.(1990) In: Rodney L. White Center for Financial Research Working Papers.
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paper
1993 An Analysis of Changes in Specialist Inventories and Quotations. In: Journal of Finance.
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article109
1997 Competition and Collusion in Dealer Markets. In: Journal of Finance.
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article63
1997 Market Segmentation and Stock Prices: Evidence from an Emerging Market. In: Journal of Finance.
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article91
1998International Cross-Listing and Order Flow Migration: Evidence from an Emerging Market In: Journal of Finance.
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article104
2000The Relation between Stock Market Movements and NYSE Seat Prices In: Journal of Finance.
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article8
2001Discussion In: Journal of Finance.
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article0
2015Click or Call? Auction versus Search in the Over-the-Counter Market In: Journal of Finance.
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article18
1991Insider Trading and the Value of the Firm. In: Journal of Industrial Economics.
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article2
1988INSIDER TRADING AND THE VALUE OF THE FIRM.(1988) In: Cornell - Department of Economics.
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paper
2001Pre-Trade Transparency In: Istanbul Stock Exchange Review.
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article1
1998Country and Currency Risk Premia in an Emerging Market In: Journal of Financial and Quantitative Analysis.
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article28
1997Country and Currency Risk Premia in an Emerging Market.(1997) In: IPR working papers.
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This paper has another version. Agregated cites: 28
paper
2000Stock returns and trading at the close In: Journal of Financial Markets.
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article45
2000Market microstructure: A survey In: Journal of Financial Markets.
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article292
2005Should securities markets be transparent? In: Journal of Financial Markets.
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article77
1991A Bayesian model of intraday specialist pricing In: Journal of Financial Economics.
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article143
2002A Bayesian Model of Intraday Specialist Pricing.(2002) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 143
paper
1991A Baysian Model of Intraday Specialist Pricing..(1991) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 143
paper
1991A Baysian Model of Intraday Specialist Pricing..(1991) In: Weiss Center Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 143
paper
1995Anatomy of the trading process Empirical evidence on the behavior of institutional traders In: Journal of Financial Economics.
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article126
1997Transactions costs and investment style: an inter-exchange analysis of institutional equity trades In: Journal of Financial Economics.
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article149
1998An empirical analysis of NYSE specialist trading In: Journal of Financial Economics.
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article78
1992Intertemporal price discovery by market makers: Active versus passive learning In: Journal of Financial Intermediation.
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article15
1990INTERTEMPORAL PRICE DISCOVERY BY MARKET MAKERS: ACTIVE VERSUS PASSIVE LEARNING..(1990) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 15
paper
1990INTERTEMPORAL PRICE DISCOVERY BY MARKET MAKERS: ACTIVE VERSUS PASSIVE LEARNING..(1990) In: Weiss Center Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 15
paper
1996Security Prices and Market Transparency In: Journal of Financial Intermediation.
[Full Text][Citation analysis]
article47
1991Security Prices and Market Transparency..(1991) In: Weiss Center Working Papers.
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This paper has another version. Agregated cites: 47
paper
1988COOPERATION OR RETALIATION: AN EMPIRICAL ANALYSIS OF CARTELIZATION In: Cornell - Department of Economics.
[Citation analysis]
paper0
1996Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
paper292
1994Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks.(1994) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 292
paper
1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks..(1997) In: Review of Financial Studies.
[Citation analysis]
This paper has another version. Agregated cites: 292
article
2001Security Prices and Market Transparency (Revision of 12-90) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1992Security Prices and Market Transparency (Revision of 12-90).(1992) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1998The Information Contained in Stock Exchange Seat Prices In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper1
1998The Information Contained in Stock Exchange Seat Prices.(1998) In: Rodney L. White Center for Financial Research Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1998The Cost of Institutional Equity Trades: An Overview In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper62
1998The Cost of Institutional Equity Trades.(1998) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 62
paper
1995Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revision of 26-94) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper7
1995Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revision of 26-94).(1995) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 7
paper
1994The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (Revision of 21-92) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper1
1990Security Prices and Market Transparency (Revised: 1-92) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1994Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (Revision of 18-93) (Reprint 045) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1993Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (Revised: 12-94) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1992Price Experimentation and Security Market Structure In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper39
1993Price Experimentation and Security Market Structure..(1993) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
article
1992The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects. In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1992An Analysis of Daily Changes in Specialist Inventories and Quotations. In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper6
1994Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades. In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper1
1988Risky Business: The Clearance and Settlement of Financial Transactions In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper1
1997In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets. In: Review of Financial Studies.
[Citation analysis]
article82
2000Price Discovery in Auction Markets: A Look Inside the Black Box. In: Review of Financial Studies.
[Citation analysis]
article69
1995Consolidation, Fragmentation, and the Disclosure of Trading Information. In: Review of Financial Studies.
[Full Text][Citation analysis]
article100
1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects. In: Review of Financial Studies.
[Full Text][Citation analysis]
article132
2016Exchange-Traded Funds and the New Dynamics of Investing In: OUP Catalogue.
[Citation analysis]
book6
1991Dynamic Insider Trading. In: RCER Working Papers.
[Citation analysis]
paper0
1992Information Aggregation and Strategic Trading in Speculative Markets. In: RCER Working Papers.
[Citation analysis]
paper0
1994Cooperation for Monopolization? An Empirical Analysis of Cartelization. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
article4

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