Citation analysis for Journal of Financial Markets / Elsevier

Journal of Financial Markets / Elsevier

1.3

Impact Factor

1.48

5-Years IF

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

	IF	AIF	IF5	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	D5Y	C5Y	%SC	CiY	II	AII
1990		0.1			0				0		0		(%)			0.04
1991		0.09			0	1			0		0		(%)			0.04
1992		0.1			0				0		0		(%)			0.04
1993		0.11			0				0		0		(%)			0.05
1994		0.12			0				0		0		(%)			0.05
1995		0.19			0				0		0		(%)			0.07
1996		0.22			0				0		0		(%)			0.09
1997		0.27			0				0		0		(%)			0.09
1998		0.27		13	13	6	0.46	539	0		0		29 (5.4%)	4	0.31	0.1
1999	0.54	0.31	0.54	16	29	15	0.52	372	13	7	13	7	24 (6.5%)	8	0.5	0.13
2000	0.69	0.4	0.69	15	44	33	0.75	524	29	20	29	20	30 (5.7%)	7	0.47	0.15
2001	1	0.4	1.16	15	59	57	0.97	193	31	31	44	51	12 (6.2%)	3	0.2	0.15
2002	1.03	0.42	1.05	19	78	84	1.08	1210	30	31	59	62	52 (4.3%)	7	0.37	0.18
2003	0.71	0.44	1.27	22	100	126	1.26	308	34	24	78	99	33 (10.7%)	7	0.32	0.18
2004	0.85	0.49	1.08	17	117	149	1.27	423	41	35	87	94	24 (5.7%)	19	1.12	0.2
2005	1.15	0.53	1.39	16	133	202	1.52	379	39	45	88	122	22 (5.8%)	7	0.44	0.21
2006	1.21	0.51	1.29	18	151	221	1.46	219	33	40	89	115	18 (8.2%)	4	0.22	0.2
2007	0.79	0.44	1.2	15	166	226	1.36	298	34	27	92	110	16 (5.4%)	7	0.47	0.18
2008	0.88	0.47	1.18	17	183	293	1.6	151	33	29	88	104	12 (7.9%)	2	0.12	0.2
2009	1.13	0.47	1.6	32	215	394	1.83	352	32	36	83	133	22 (6.3%)	14	0.44	0.19
2010	0.82	0.44	1.07	20	235	379	1.61	198	49	40	98	105	12 (6.1%)	11	0.55	0.16
2011	0.98	0.51	1.25	23	258	478	1.85	190	52	51	102	127	12 (6.3%)	7	0.3	0.2
2012	0.86	0.56	1.19	12	270	520	1.93	36	43	37	107	127	4 (11.1%)	3	0.25	0.21
2013	1.11	0.66	1.57	27	297	721	2.43	214	35	39	104	163	13 (6.1%)	25	0.93	0.23
2014	1.28	0.67	1.76	46	343	782	2.28	97	39	50	114	201	8 (8.2%)	11	0.24	0.22
2015	1.3	0.82	1.48	21	364	800	2.2	30	73	95	128	189	(%)	7	0.33	0.27

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CCU:	Cumulative number of citations to papers published until year y
CIF:	Cumulative impact factor
CIT:	Number of citations to papers published in year y
D2Y:	Number of articles published in y-1 plus y-2
C2Y:	Cites in y to articles published in y-1 plus y-2
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series:

#	Year	Title	Cited
1	2002	Illiquidity and stock returns: cross-section and time-series effects. (2002). Amihud, Yakov. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:1:p:31-56. Full description at Econpapers \|\| Download paper	923
2	2000	Market microstructure: A survey. (2000). Madhavan, Ananth. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258. Full description at Econpapers \|\| Download paper	221
3	1999	Order flow composition and trading costs in a dynamic limit order market1. (1999). Foucault, Thierry. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134. Full description at Econpapers \|\| Download paper	169
4	1998	Liquidity and stock returns: An alternative test. (1998). Naik, Narayan Y. ; Datar, Vinay T. ; Radcliffe, Robert. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:203-219. Full description at Econpapers \|\| Download paper	157
5	1998	Optimal control of execution costs. (1998). Lo, Andrew ; Bertsimas, Dimitris . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:1:p:1-50. Full description at Econpapers \|\| Download paper	136
6	2004	Market liquidity as a sentiment indicator. (2004). Stein, Jeremy ; Baker, Malcolm. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:3:p:271-299. Full description at Econpapers \|\| Download paper	120
7	2004	Order aggressiveness in limit order book markets. (2004). Ranaldo, Angelo. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74. Full description at Econpapers \|\| Download paper	111
8	2002	Price discovery and common factor models. (2002). Baillie, Richard ; Booth, Geoffrey G. ; Tse, Yiuman ; Zabotina, Tatyana . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:309-321. Full description at Econpapers \|\| Download paper	104
9	2013	Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; Wang, Jiang . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:1:p:1-32. Full description at Econpapers \|\| Download paper	96
10	2000	Inferring investor behavior: Evidence from TORQ data. (2000). Lee, Charles ; Radhakrishna, Balkrishna. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:2:p:83-111. Full description at Econpapers \|\| Download paper	88
11	2003	Issues in assessing trade execution costs. (2003). Bessembinder, Hendrik. In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:3:p:233-257. Full description at Econpapers \|\| Download paper	79
12	1998	Aggressiveness and survival of overconfident traders. (1998). Benos, Alexandros V.. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:353-383. Full description at Econpapers \|\| Download paper	77
13	2005	Market microstructure: A survey of microfoundations, empirical results, and policy implications. (2005). Biais, Bruno ; Spatt, Chester ; Glosten, Larry . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:2:p:217-264. Full description at Econpapers \|\| Download paper	73
14	2005	Should securities markets be transparent?. (2005). Porter, David ; Madhavan, Ananth ; Weaver, Daniel . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:265-287. Full description at Econpapers \|\| Download paper	67
15	2002	Security price adjustment across exchanges: an investigation of common factor components for Dow stocks. (2002). McInish, Thomas ; deB. Harris, Frederick H., ; Wood, Robert A.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:277-308. Full description at Econpapers \|\| Download paper	64
16	2000	On the occurrence and consequences of inaccurate trade classification. (2000). Odders-White, Elizabeth R.. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:259-286. Full description at Econpapers \|\| Download paper	63
17	2002	Some desiderata for the measurement of price discovery across markets. (2002). Lehmann, Bruce N.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:259-276. Full description at Econpapers \|\| Download paper	60
18	2007	Measuring the resiliency of an electronic limit order book. (2007). Large, Jeremy. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25. Full description at Econpapers \|\| Download paper	59
19	1998	Financial analysts and information-based trade. (1998). Easley, David ; Paperman, Joseph ; O'Hara, Maureen . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:175-201. Full description at Econpapers \|\| Download paper	58
20	2001	On the survival of overconfident traders in a competitive securities market. (2001). Luo, Guo Ying ; Hirshleifer, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:4:y:2001:i:1:p:73-84. Full description at Econpapers \|\| Download paper	55
21	2005	International momentum strategies: a stochastic dominance approach. (2005). Wong, Wing-Keung ; Lean, Hooi Hooi ; Fong, Wai Mun . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:1:p:89-109. Full description at Econpapers \|\| Download paper	54
22	2007	Ownership level, ownership concentration and liquidity. (2007). Rubin, Amir . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:3:p:219-248. Full description at Econpapers \|\| Download paper	50
23	2004	Impacts of trades in an error-correction model of quote prices. (2004). Patton, Andrew ; Engle, Robert. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:1-25. Full description at Econpapers \|\| Download paper	48
24	2010	The information content of option-implied volatility for credit default swap valuation. (2010). Cao, Charles ; Zhong, Zhaodong ; Yu, Fan . In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:3:p:321-343. Full description at Econpapers \|\| Download paper	48
25	2013	High frequency trading and the new market makers. (2013). Menkveld, Albert J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740. Full description at Econpapers \|\| Download paper	45
26	2003	Quote setting and price formation in an order driven market. (2003). Tiwari, Ashish ; Schwartz, Robert ; Handa, Puneet. In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:4:p:461-489. Full description at Econpapers \|\| Download paper	43
27	2005	Duration, volume and volatility impact of trades. (2005). Manganelli, Simone. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:377-399. Full description at Econpapers \|\| Download paper	43
28	2002	Measures of contributions to price discovery: a comparison. (2002). de Jong, Frank. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:323-327. Full description at Econpapers \|\| Download paper	42
29	2009	Technology and liquidity provision: The blurring of traditional definitions. (2009). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172. Full description at Econpapers \|\| Download paper	41
30	2006	Value of analyst recommendations: International evidence. (2006). Kim, Woojin ; Jegadeesh, Narasimhan . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:3:p:274-309. Full description at Econpapers \|\| Download paper	40
31	1999	Intra-day market activity. (1999). Le Fol, Gaelle ; Jasiak, Joann ; gourieroux, christian. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:3:p:193-226. Full description at Econpapers \|\| Download paper	40
32	2011	Automation, speed, and stock market quality: The NYSEs Hybrid. (2011). Moulton, Pamela C. ; Hendershott, Terrence . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:4:p:568-604. Full description at Econpapers \|\| Download paper	39
33	1999	Market depth and order size1. (1999). Kempf, Alexander ; Korn, Olaf . In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:1:p:29-48. Full description at Econpapers \|\| Download paper	38
34	2013	Low-latency trading. (2013). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:646-679. Full description at Econpapers \|\| Download paper	38
35	1999	The organization of financial exchange markets: Theory and evidence. (1999). Pirrong, Craig . In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:4:p:329-357. Full description at Econpapers \|\| Download paper	37
36	2007	Commonality in the time-variation of stock-stock and stock-bond return comovements. (2007). Connolly, Robert ; Stivers, Chris ; Sun, Licheng . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:2:p:192-218. Full description at Econpapers \|\| Download paper	36
37	1998	Strategic trading, asymmetric information and heterogeneous prior beliefs. (1998). Wang, Albert F.. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:321-352. Full description at Econpapers \|\| Download paper	35
38	2009	Systematic noise. (2009). zhu, ning ; Barber, Brad ; Odean, Terrance . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:547-569. Full description at Econpapers \|\| Download paper	35
39	2005	Liquidity commonality and return co-movement. (2005). Domowitz, Ian ; Hansch, Oliver ; Wang, Xiaoxin . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:351-376. Full description at Econpapers \|\| Download paper	35
40	2000	Stock returns and trading at the close. (2000). Madhavan, Ananth ; Cushing, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:1:p:45-67. Full description at Econpapers \|\| Download paper	33
41	1998	Long-lived information and intraday patterns. (1998). Back, Kerry ; Pedersen, Hal. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:385-402. Full description at Econpapers \|\| Download paper	33
42	2002	Stalking the efficient price in market microstructure specifications: an overview. (2002). Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:329-339. Full description at Econpapers \|\| Download paper	32
43	2004	The manipulation of closing prices. (2004). Suominen, Matti ; Hillion, Pierre . In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:4:p:351-375. Full description at Econpapers \|\| Download paper	32
44	2002	East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis. (2002). Roll, Richard ; Chakrabarti, Rajesh . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:1:p:1-30. Full description at Econpapers \|\| Download paper	32
45	2007	The informativeness of domestic and foreign investors stock trades: Evidence from the perfectly segmented Chinese market. (2007). Menkveld, Albert ; Chan, Kalok ; Yang, Zhishu . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:4:p:391-415. Full description at Econpapers \|\| Download paper	32
46	2006	Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market. (2006). Skjeltorp, Johannes ; NÃÂ¦s, Randi ; Naes, Randi . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:4:p:408-432. Full description at Econpapers \|\| Download paper	31
47	2000	The capital asset pricing model and the liquidity effect: A theoretical approach. (2000). Gottesman, Aron A. ; Jacoby, Gady ; Fowler, David J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:1:p:69-81. Full description at Econpapers \|\| Download paper	31
48	1999	The alpha factor asset pricing model: A parable. (1999). Simin, Timothy ; Sarkissian, Sergei ; Ferson, Wayne E.. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:1:p:49-68. Full description at Econpapers \|\| Download paper	30
49	2005	Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders. (2005). Chakravarty, Sugato ; Anand, Amber ; Martell, Terrence. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:288-308. Full description at Econpapers \|\| Download paper	30
50	2006	On the importance of timing specifications in market microstructure research. (2006). Wang, Jianxin ; Henker, Thomas . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:2:p:162-179. Full description at Econpapers \|\| Download paper	30

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2002	Illiquidity and stock returns: cross-section and time-series effects. (2002). Amihud, Yakov. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:1:p:31-56. Full description at Econpapers \|\| Download paper	406
2	2013	Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; Wang, Jiang . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:1:p:1-32. Full description at Econpapers \|\| Download paper	57
3	1998	Optimal control of execution costs. (1998). Lo, Andrew ; Bertsimas, Dimitris . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:1:p:1-50. Full description at Econpapers \|\| Download paper	56
4	2004	Market liquidity as a sentiment indicator. (2004). Stein, Jeremy ; Baker, Malcolm. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:3:p:271-299. Full description at Econpapers \|\| Download paper	52
5	2013	High frequency trading and the new market makers. (2013). Menkveld, Albert J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740. Full description at Econpapers \|\| Download paper	40
6	1998	Liquidity and stock returns: An alternative test. (1998). Naik, Narayan Y. ; Datar, Vinay T. ; Radcliffe, Robert. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:203-219. Full description at Econpapers \|\| Download paper	40
7	2000	Market microstructure: A survey. (2000). Madhavan, Ananth. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258. Full description at Econpapers \|\| Download paper	37
8	2002	Price discovery and common factor models. (2002). Baillie, Richard ; Booth, Geoffrey G. ; Tse, Yiuman ; Zabotina, Tatyana . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:309-321. Full description at Econpapers \|\| Download paper	37
9	2013	Low-latency trading. (2013). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:646-679. Full description at Econpapers \|\| Download paper	33
10	2011	Automation, speed, and stock market quality: The NYSEs Hybrid. (2011). Moulton, Pamela C. ; Hendershott, Terrence . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:4:p:568-604. Full description at Econpapers \|\| Download paper	32
11	2010	The information content of option-implied volatility for credit default swap valuation. (2010). Cao, Charles ; Zhong, Zhaodong ; Yu, Fan . In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:3:p:321-343. Full description at Econpapers \|\| Download paper	29
12	1999	Order flow composition and trading costs in a dynamic limit order market1. (1999). Foucault, Thierry. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134. Full description at Econpapers \|\| Download paper	28
13	2006	Value of analyst recommendations: International evidence. (2006). Kim, Woojin ; Jegadeesh, Narasimhan . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:3:p:274-309. Full description at Econpapers \|\| Download paper	25
14	2003	Issues in assessing trade execution costs. (2003). Bessembinder, Hendrik. In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:3:p:233-257. Full description at Econpapers \|\| Download paper	25
15	2000	Inferring investor behavior: Evidence from TORQ data. (2000). Lee, Charles ; Radhakrishna, Balkrishna. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:2:p:83-111. Full description at Econpapers \|\| Download paper	23
16	2007	Ownership level, ownership concentration and liquidity. (2007). Rubin, Amir . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:3:p:219-248. Full description at Econpapers \|\| Download paper	22
17	2007	Measuring the resiliency of an electronic limit order book. (2007). Large, Jeremy. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25. Full description at Econpapers \|\| Download paper	22
18	2005	Market microstructure: A survey of microfoundations, empirical results, and policy implications. (2005). Biais, Bruno ; Spatt, Chester ; Glosten, Larry . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:2:p:217-264. Full description at Econpapers \|\| Download paper	21
19	2002	Security price adjustment across exchanges: an investigation of common factor components for Dow stocks. (2002). McInish, Thomas ; deB. Harris, Frederick H., ; Wood, Robert A.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:277-308. Full description at Econpapers \|\| Download paper	21
20	2004	Order aggressiveness in limit order book markets. (2004). Ranaldo, Angelo. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74. Full description at Econpapers \|\| Download paper	21
21	2005	Liquidity commonality and return co-movement. (2005). Domowitz, Ian ; Hansch, Oliver ; Wang, Xiaoxin . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:351-376. Full description at Econpapers \|\| Download paper	20
22	2009	Systematic noise. (2009). zhu, ning ; Barber, Brad ; Odean, Terrance . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:547-569. Full description at Econpapers \|\| Download paper	20
23	2002	Some desiderata for the measurement of price discovery across markets. (2002). Lehmann, Bruce N.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:259-276. Full description at Econpapers \|\| Download paper	19
24	2010	A structural analysis of price discovery measures. (2010). Yan, Bingcheng ; Zivot, Eric . In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:1:p:1-19. Full description at Econpapers \|\| Download paper	17
25	2013	Very fast money: High-frequency trading on the NASDAQ. (2013). Carrion, Allen . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:680-711. Full description at Econpapers \|\| Download paper	17
26	2005	International momentum strategies: a stochastic dominance approach. (2005). Wong, Wing-Keung ; Lean, Hooi Hooi ; Fong, Wai Mun . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:1:p:89-109. Full description at Econpapers \|\| Download paper	17
27	2005	Should securities markets be transparent?. (2005). Porter, David ; Madhavan, Ananth ; Weaver, Daniel . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:265-287. Full description at Econpapers \|\| Download paper	17
28	2006	Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market. (2006). Skjeltorp, Johannes ; NÃÂ¦s, Randi ; Naes, Randi . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:4:p:408-432. Full description at Econpapers \|\| Download paper	16
29	2009	Technology and liquidity provision: The blurring of traditional definitions. (2009). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172. Full description at Econpapers \|\| Download paper	16
30	2000	On the occurrence and consequences of inaccurate trade classification. (2000). Odders-White, Elizabeth R.. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:259-286. Full description at Econpapers \|\| Download paper	16
31	2007	Commonality in the time-variation of stock-stock and stock-bond return comovements. (2007). Connolly, Robert ; Stivers, Chris ; Sun, Licheng . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:2:p:192-218. Full description at Econpapers \|\| Download paper	15
32	2002	Stalking the efficient price in market microstructure specifications: an overview. (2002). Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:329-339. Full description at Econpapers \|\| Download paper	14
33	2005	Duration, volume and volatility impact of trades. (2005). Manganelli, Simone. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:377-399. Full description at Econpapers \|\| Download paper	14
34	2004	The manipulation of closing prices. (2004). Suominen, Matti ; Hillion, Pierre . In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:4:p:351-375. Full description at Econpapers \|\| Download paper	14
35	2002	East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis. (2002). Roll, Richard ; Chakrabarti, Rajesh . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:1:p:1-30. Full description at Econpapers \|\| Download paper	13
36	2002	Measures of contributions to price discovery: a comparison. (2002). de Jong, Frank. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:323-327. Full description at Econpapers \|\| Download paper	13
37	1998	Financial analysts and information-based trade. (1998). Easley, David ; Paperman, Joseph ; O'Hara, Maureen . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:175-201. Full description at Econpapers \|\| Download paper	13
38	2009	New low-frequency spread measures. (2009). Holden, Craig W.. In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:778-813. Full description at Econpapers \|\| Download paper	12
39	2009	Do individual investors learn from their trading experience?. (2009). zhu, ning ; Peng, Liang ; Nicolosi, Gina . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:317-336. Full description at Econpapers \|\| Download paper	12
40	2011	Carry trades, momentum trading and the forward premium anomaly. (2011). Chang, Sanders ; Baillie, Richard T.. In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:3:p:441-464. Full description at Econpapers \|\| Download paper	12
41	2009	Liquidity and capital structure. (2009). Lipson, Marc L. ; Mortal, Sandra . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:611-644. Full description at Econpapers \|\| Download paper	12
42	2001	On the survival of overconfident traders in a competitive securities market. (2001). Luo, Guo Ying ; Hirshleifer, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:4:y:2001:i:1:p:73-84. Full description at Econpapers \|\| Download paper	12
43	2003	Evaluation of the biases in execution cost estimation using trade and quote data. (2003). Sirri, Erik ; Peterson, Mark . In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:3:p:259-280. Full description at Econpapers \|\| Download paper	11
44	2001	A new historical database for the NYSE 1815 to 1925: Performance and predictability. (2001). Peng, Liang ; Goetzmann, William ; Ibbotson, Roger G.. In: Journal of Financial Markets. RePEc:eee:finmar:v:4:y:2001:i:1:p:1-32. Full description at Econpapers \|\| Download paper	11
45	2006	On the importance of timing specifications in market microstructure research. (2006). Wang, Jianxin ; Henker, Thomas . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:2:p:162-179. Full description at Econpapers \|\| Download paper	11
46	2007	Estimating the probability of informed trading--does trade misclassification matter?. (2007). Theissen, Erik ; Grammig, Joachim ; Boehmer, Ekkehart. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:1:p:26-47. Full description at Econpapers \|\| Download paper	11
47	1998	Adverse selection and bid-ask spreads: Evidence from closed-end funds. (1998). Neal, Robert ; Wheatley, Simon M.. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:1:p:121-149. Full description at Econpapers \|\| Download paper	11
48	2014	VPIN and the flash crash. (2014). Andersen, Torben ; Bondarenko, Oleg . In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:1-46. Full description at Econpapers \|\| Download paper	10
49	2010	How asymmetric is U.S. stock market volatility?. (2010). Guan, Wei ; Ederington, Louis H.. In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:2:p:225-248. Full description at Econpapers \|\| Download paper	10
50	2005	Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders. (2005). Chakravarty, Sugato ; Anand, Amber ; Martell, Terrence. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:288-308. Full description at Econpapers \|\| Download paper	9

Citing documents used to compute impact factor 95:

Year	Title
2015	Expected returns and idiosyncratic risk: Industry-level evidence from Russia. (2015). . In: BOFIT Discussion Papers. RePEc:bof:bofitp:urn:nbn:fi:bof-201511231444. Full description at Econpapers \|\| Download paper
2015	Expected returns and idiosyncratic risk: Industry-level evidence from Russia. (2015). . In: BOFIT Discussion Papers. RePEc:hhs:bofitp:2015_030. Full description at Econpapers \|\| Download paper
2015	Expected returns and idiosyncratic risk: Industry-level evidence from Russia. (2015). Kinnunen, Jyri. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2015_030. Full description at Econpapers \|\| Download paper
2015	Trading price jump clusters in foreign exchange markets. (2015). Urga, Giovanni ; Novotn, Jan ; Petrov, Dmitri . In: Journal of Financial Markets. RePEc:eee:finmar:v:24:y:2015:i:c:p:66-92. Full description at Econpapers \|\| Download paper
2015	The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements. (2015). Yao, Wenying. In: Working Papers. RePEc:tas:wpaper:22662. Full description at Econpapers \|\| Download paper
2015	The Effect of Macro News on Volatility and Jumps. (2015). . In: Annals of Economics and Finance. RePEc:cuf:journl:y:2015:v:16:i:2:vortelinos. Full description at Econpapers \|\| Download paper
2015	The International Transmission of Risk: Causal Relations Among Developed and Emerging Countriesâ Term Premia. (2015). Moreno GutiÃÂÃÂ©rrez, JosÃÂ© ; Moreno GutiÃÂ©rrez, JosÃ© ; Melo, Luis ; Gomez-Gonzalez, Jose ; Espinosa Torres, Juan ; Moreno Gutiérrez, José ; Espinosa-Torres, Juan Andres ; Moreno-Gutierrez, Jose Fernando . In: Borradores de Economia. RePEc:bdr:borrec:869. Full description at Econpapers \|\| Download paper
2015	The International Transmission of Risk: Causal Relations Among Developed and Emerging Countriesâ Term Premia. (2015). Moreno GutiÃÂÃÂ©rrez, JosÃÂ© ; Moreno GutiÃÂ©rrez, JosÃ© ; Melo, Luis ; Gomez-Gonzalez, Jose ; Espinosa Torres, Juan ; Moreno Gutiérrez, José ; Espinosa-Torres, Juan Andres ; Moreno-Gutierrez, Jose Fernando . In: BORRADORES DE ECONOMIA. RePEc:col:000094:012609. Full description at Econpapers \|\| Download paper
2015	Equity volatility as a determinant of future term-structure volatility. (2015). Bansal, Naresh ; Stivers, Chris ; Connolly, Robert A. In: Journal of Financial Markets. RePEc:eee:finmar:v:25:y:2015:i:c:p:33-51. Full description at Econpapers \|\| Download paper
2015	Stock return synchronicity and the market response to analyst recommendation revisions. (2015). Hao, Wei ; Devos, Erik ; Wongchoti, Udomsak ; Prevost, Andrew K. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:58:y:2015:i:c:p:376-389. Full description at Econpapers \|\| Download paper
2015	Commonality in Liquidity: What does the order book say?. (2015). Åensoy, Ahmet. In: Working Paper. RePEc:bor:wpaper:1523. Full description at Econpapers \|\| Download paper
2015	Does individual-stock skewness/coskewness reflect portfolio risk?. (2015). Kim, Thomas . In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:167-174. Full description at Econpapers \|\| Download paper
2015	The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension. (2015). Camilleri, Silvio. In: MPRA Paper. RePEc:pra:mprapa:63240. Full description at Econpapers \|\| Download paper
2015	Technology upgrades in emerging equity markets: Effects on liquidity and trading activity. (2015). YÄ±lmaz, Mustafa ; Erdem, Orhan ; ArÄ±k, Evren ; Eraslan, Veysel ; Yilmaz, Mustafa Kemal . In: Finance Research Letters. RePEc:eee:finlet:v:14:y:2015:i:c:p:87-92. Full description at Econpapers \|\| Download paper
2015	High-Frequency Trading and Market Performance. (2015). Baldauf, Markus ; Mollner, Joshua . In: Discussion Papers. RePEc:sip:dpaper:15-017. Full description at Econpapers \|\| Download paper
2015	Options market makers×³ hedging and informed trading: Theory and evidence. (2015). Mello, Antonio S. ; Huh, Sahn-Wook ; Lin, Hao . In: Journal of Financial Markets. RePEc:eee:finmar:v:23:y:2015:i:c:p:26-58. Full description at Econpapers \|\| Download paper
2015	Speculators, Prices and Market Volatility. (2015). Harris, Jeffrey ; Brunetti, Celso ; Buyuksahin, Bahattin . In: Staff Working Papers. RePEc:bca:bocawp:15-42. Full description at Econpapers \|\| Download paper
2015	Investor heterogeneity and commonality in stock return and liquidity. (2015). Pan, Deng ; Zhang, Bohui ; Wu, Fei ; Shi, Jing . In: Economic Systems. RePEc:eee:ecosys:v:39:y:2015:i:3:p:458-473. Full description at Econpapers \|\| Download paper
2015	Sentiment approach to underestimation and overestimation pricing model. (2015). Yang, Chunpeng ; Zhou, Liyun . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:280-288. Full description at Econpapers \|\| Download paper
2015	Investor trading behavior, investor sentiment and asset prices. (2015). Yang, Chunpeng ; Zhou, Liyun . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:34:y:2015:i:c:p:42-62. Full description at Econpapers \|\| Download paper
2015	Are retail traders compensated for providing liquidity?. (2015). Sraer, David ; Barrot, Jean-Noel ; Kaniel, Ron . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10820. Full description at Econpapers \|\| Download paper
2015	Fragmentation and stability of markets. (2015). Schenk-HoppÃÂ©, Klaus ; Lensberg, Terje ; Ladley, Daniel ; Schenk-Hoppe, Klaus Reiner ; Palczewski, Jan . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:119:y:2015:i:c:p:466-481. Full description at Econpapers \|\| Download paper
2015	Adverse selection and the presence of informed trading. (2015). Chang, Sanders ; Wang, Albert F. In: Journal of Empirical Finance. RePEc:eee:empfin:v:33:y:2015:i:c:p:19-33. Full description at Econpapers \|\| Download paper
2015	Trading costs on the Stock Exchange of Thailand. (2015). Jenwittayaroje, Nattawut ; Yang, Yung Chiang ; Ding, David K ; Charoenwong, Charlie . In: International Review of Financial Analysis. RePEc:eee:finana:v:41:y:2015:i:c:p:31-40. Full description at Econpapers \|\| Download paper
2015	Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm. (2015). Chakrabarty, Bidisha ; Shkilko, Andriy ; Pascual, Roberto . In: Journal of Financial Markets. RePEc:eee:finmar:v:25:y:2015:i:c:p:52-79. Full description at Econpapers \|\| Download paper
2015	A Price Crash Alerting Strategy for Agent-based Artificial Financial Markets. (2015). Stan, Alexandru . In: MIC 2015: Managing Sustainable Growth; Proceedings of the Joint International Conference, PortoroÅ¾, Slovenia, 28â30 May 2015. RePEc:mgt:micp15:99-116. Full description at Econpapers \|\| Download paper
2015	Foreign exchange market intervention and price discovery. (2015). Chen, Yu-Lun . In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:38:y:2015:i:c:p:214-227. Full description at Econpapers \|\| Download paper
2015	Trading rules, competition for order flow and market fragmentation. (2015). masulis, ronald ; Kwan, Amy ; McInish, Thomas H.. In: Journal of Financial Economics. RePEc:eee:jfinec:v:115:y:2015:i:2:p:330-348. Full description at Econpapers \|\| Download paper
2015	Dark Trading at the Midpoint: Pricing Rules, Order Flow, and High Frequency Liquidity Provision. (2015). Robert P. Bartlett, III, ; McCrary, Justin . In: NBER Working Papers. RePEc:nbr:nberwo:21286. Full description at Econpapers \|\| Download paper
2015	Dark trading and price discovery. (2015). Putnins, Talis ; Comerton-Forde, Carole . In: Journal of Financial Economics. RePEc:eee:jfinec:v:118:y:2015:i:1:p:70-92. Full description at Econpapers \|\| Download paper
2015	Spillover effects between lit and dark stock markets: Evidence from a panel of London Stock Exchange transactions. (2015). Voliotis, Dimitrios ; Apergis, Nicholas. In: International Review of Financial Analysis. RePEc:eee:finana:v:41:y:2015:i:c:p:101-106. Full description at Econpapers \|\| Download paper
2015	Shades of Darkness: A Pecking Order of Trading Venues. (2015). Zhu, Haoxiang ; Menkveld, Albert ; Yueshen, Bart . In: 2015 Meeting Papers. RePEc:red:sed015:1164. Full description at Econpapers \|\| Download paper
2015	Liquidity and resolution of uncertainty in the European carbon futures market. (2015). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis Angelos . In: International Review of Financial Analysis. RePEc:eee:finana:v:37:y:2015:i:c:p:89-102. Full description at Econpapers \|\| Download paper
2015	Speculative and hedging activities in the European carbon market. (2015). Lucia, Julio J. ; Pardo, Angel ; Mansanet-Bataller, Maria . In: Energy Policy. RePEc:eee:enepol:v:82:y:2015:i:c:p:342-351. Full description at Econpapers \|\| Download paper
2015	Liquidity and resolution of uncertainty in the European carbon futures market. (2015). Kalaitzoglou, Iordanis Angelos ; Ibrahim, Boulis Maher . In: Post-Print. RePEc:hal:journl:hal-01107956. Full description at Econpapers \|\| Download paper
2015	A hot-potato game under transient price impact. (2015). Schied, Alexander ; Zhang, Tao . In: Papers. RePEc:arx:papers:1305.4013. Full description at Econpapers \|\| Download paper
2015	Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf360. Full description at Econpapers \|\| Download paper
2015	Multivariate transient price impact and matrix-valued positive definite functions. (2015). Schied, Alexander ; Klock, Florian ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:1310.4471. Full description at Econpapers \|\| Download paper
2015	Trading with Small Price Impact. (2015). Muhle-Karbe, Johannes ; Soner, Mete H. ; Moreau, Ludovic . In: Papers. RePEc:arx:papers:1402.5304. Full description at Econpapers \|\| Download paper
2015	Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1404.0648. Full description at Econpapers \|\| Download paper
2015	Do Shareholder Coalitions Modify Dominant Owners Control? The Impact On Dividend Policy. (2015). LÃÂ³pez-Iturriaga, FÃÂ©lix ; Santana-Martin, Domingo Javier ; Lopez-Iturriaga, Felix J.. In: HSE Working papers. RePEc:hig:wpaper:41/fe/2015. Full description at Econpapers \|\| Download paper
2015	A dynamic optimal execution strategy under stochastic price recovery. (2015). Ieda, Masashi . In: Papers. RePEc:arx:papers:1502.04521. Full description at Econpapers \|\| Download paper
2015	Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki . In: CIRJE F-Series. RePEc:tky:fseres:2015cf963. Full description at Econpapers \|\| Download paper
2015	An explicit solution for optimal investment in Heston model. (2015). Muravey, Dmitry ; Boguslavskaya, Elena. In: Papers. RePEc:arx:papers:1505.02431. Full description at Econpapers \|\| Download paper
2015	Trading price jump clusters in foreign exchange markets. (2015). Urga, Giovanni ; Novotn, Jan ; Petrov, Dmitri . In: Journal of Financial Markets. RePEc:eee:finmar:v:24:y:2015:i:c:p:66-92. Full description at Econpapers \|\| Download paper
2015	Extension and calibration of a Hawkes-based optimal execution model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1506.08740. Full description at Econpapers \|\| Download paper
2015	Financial Transaction Tax: Policy Analytics Based on Optimal Trading. (2015). Yu, Min-Teh ; Sun, Edward ; Kruse, Timm . In: Computational Economics. RePEc:kap:compec:v:46:y:2015:i:1:p:103-141. Full description at Econpapers \|\| Download paper
2015	The Impact of Large Orders in Electronic Markets. (2015). Pinna, Andrea ; Murgia, Maurizio ; Gottardo, P ; Bosetti, L. In: Working Paper CRENoS. RePEc:cns:cnscwp:201510. Full description at Econpapers \|\| Download paper
2015	High-frequency limit of Nash equilibria in a market impact game with transient price impact. (2015). Schied, Alexander ; Zhang, Tao ; Strehle, Elias . In: Papers. RePEc:arx:papers:1509.08281. Full description at Econpapers \|\| Download paper
2015	Optimal order display in limit order markets with liquidity competition. (2015). Horst, Ulrich ; Cebirolu, Gokhan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:58:y:2015:i:c:p:81-100. Full description at Econpapers \|\| Download paper
2015	Optimal Liquidity Provision. (2015). Kuhn, Christoph ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1309.5235. Full description at Econpapers \|\| Download paper
2015	Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context. (2015). Li, Qinghua . In: Papers. RePEc:arx:papers:1404.7320. Full description at Econpapers \|\| Download paper
2015	Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki . In: Papers. RePEc:arx:papers:1503.07007. Full description at Econpapers \|\| Download paper
2015	Optimal liquidity provision. (2015). Kuhn, Christoph ; Muhle-Karbe, Johannes . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:7:p:2493-2515. Full description at Econpapers \|\| Download paper
2015	Worst-Case Approach To Strategic Optimal Portfolio Selection Under Transaction Costs And Trading Limits. (2015). Andreev, Nikolay. In: HSE Working papers. RePEc:hig:wpaper:45/fe/2015. Full description at Econpapers \|\| Download paper
2015	Designating market maker behaviour in Limit Order Book markets. (2015). Danielsson, Jon ; Peters, Gareth W ; Panayi, Efstathios . In: Papers. RePEc:arx:papers:1508.04348. Full description at Econpapers \|\| Download paper
2015	Trading Fees and Slow-Moving Capital. (2015). Buss, Adrian ; Dumas, Bernard . In: NBER Working Papers. RePEc:nbr:nberwo:21421. Full description at Econpapers \|\| Download paper
2015	Volume Weighted Average Price Optimal Execution. (2015). Busseti, Enzo ; Boyd, Stephen . In: Papers. RePEc:arx:papers:1509.08503. Full description at Econpapers \|\| Download paper
2015	Essays in Market Microstructure and Investor Trading. (2015). Lo, Danny . In: PhD Thesis. RePEc:uts:finphd:22. Full description at Econpapers \|\| Download paper
2015	Resiliency of the limit order book. (2015). Hall, Anthony ; Lo, Danny K. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:61:y:2015:i:c:p:222-244. Full description at Econpapers \|\| Download paper
2015	Modelling optimal execution strategies for Algorithmic trading. (2015). Damian, Virgil . In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(605):y:2015:i:4(605):p:99-104. Full description at Econpapers \|\| Download paper
2015	Modelling optimal execution strategies for Algorithmic trading. (2015). Damian, Virgil . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxii:y:2015:i:4(605):p:99-104. Full description at Econpapers \|\| Download paper
2015	Interactions among high-frequency traders. (2015). Benos, Evangelos ; Hjalmarsson, Erik ; Brugler, James . In: Bank of England working papers. RePEc:boe:boeewp:0523. Full description at Econpapers \|\| Download paper
2015	Transitions in the Stock Markets of the US, UK, and Germany. (2015). Raddant, Matthias ; Wagner, Friedrich . In: Papers. RePEc:arx:papers:1504.06113. Full description at Econpapers \|\| Download paper
2015	High-Frequency Trading and Market Performance. (2015). Baldauf, Markus ; Mollner, Joshua . In: Discussion Papers. RePEc:sip:dpaper:15-017. Full description at Econpapers \|\| Download paper
2015	Risk, illiquidity or marketability: What matters for the discounts on private equity placements?. (2015). Chen, Linda H. ; Juneja, Januj A. ; Jiang, George J. ; Dyl, Edward A.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:57:y:2015:i:c:p:41-50. Full description at Econpapers \|\| Download paper
2015	High frequency market microstructure. (2015). OHara, Maureen . In: Journal of Financial Economics. RePEc:eee:jfinec:v:116:y:2015:i:2:p:257-270. Full description at Econpapers \|\| Download paper
2015	High-frequency quoting, trading, and the efficiency of prices. (2015). Conrad, Jennifer ; Xiang, Jin ; Wahal, Sunil . In: Journal of Financial Economics. RePEc:eee:jfinec:v:116:y:2015:i:2:p:271-291. Full description at Econpapers \|\| Download paper
2015	High frequency trading and end-of-day price dislocation. (2015). Cumming, Douglas ; Aitken, Michael ; Zhan, Feng . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:330-349. Full description at Econpapers \|\| Download paper
2015	Financial Stability Paper 34: The resilience of financial market liquidity. (2015). Webber, Lewis ; Anderson, Nicola ; Crowley-Reidy, Liam ; Beale, Daniel ; Noss, Joseph . In: Bank of England Financial Stability Papers. RePEc:boe:finsta:0034. Full description at Econpapers \|\| Download paper
2015	On the efficiency of intra-industry information transfers: The dilution of the overreaction anomaly. (2015). Trottier, Kim ; Chung, Dennis Y ; Hrazdil, Karel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:60:y:2015:i:c:p:153-167. Full description at Econpapers \|\| Download paper
2015	Liquidity provision and informed trading by individual investors. (2015). Do, Binh ; Kalev, Petko S ; Tian, Xiao . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:35:y:2015:i:pa:p:143-162. Full description at Econpapers \|\| Download paper
2015	First to âReadâ the News: News Analytics and Institutional Trading. (2015). von Beschwitz, Bastian ; Massa, Massimo ; Keim, Donald B. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10534. Full description at Econpapers \|\| Download paper
2015	Technology upgrades in emerging equity markets: Effects on liquidity and trading activity. (2015). YÄ±lmaz, Mustafa ; Erdem, Orhan ; ArÄ±k, Evren ; Eraslan, Veysel ; Yilmaz, Mustafa Kemal . In: Finance Research Letters. RePEc:eee:finlet:v:14:y:2015:i:c:p:87-92. Full description at Econpapers \|\| Download paper
2015	Stochastic simulation framework for the Limit Order Book using liquidity motivated agents. (2015). Panayi, Efstathios ; Peters, Gareth . In: Papers. RePEc:arx:papers:1501.02447. Full description at Econpapers \|\| Download paper
2015	Herding dynamics in exchange groups: Evidence from Euronext. (2015). Goyal, Abhinav ; Economou, Fotini ; Kallinterakis, Vasileios ; Gavriilidis, Konstantinos . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:34:y:2015:i:c:p:228-244. Full description at Econpapers \|\| Download paper
2015	Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm. (2015). Chakrabarty, Bidisha ; Shkilko, Andriy ; Pascual, Roberto . In: Journal of Financial Markets. RePEc:eee:finmar:v:25:y:2015:i:c:p:52-79. Full description at Econpapers \|\| Download paper
2015	Dark trading and price discovery. (2015). Putnins, Talis ; Comerton-Forde, Carole . In: Journal of Financial Economics. RePEc:eee:jfinec:v:118:y:2015:i:1:p:70-92. Full description at Econpapers \|\| Download paper
2015	Does individual investor trading impact firm valuation?. (2015). Wang, Qin ; Zhang, Jun . In: Journal of Corporate Finance. RePEc:eee:corfin:v:35:y:2015:i:c:p:120-135. Full description at Econpapers \|\| Download paper
2015	Fragilities in the U.S. Treasury Market; Lessons from the Ã¢â¬ÅFlash RallyÃ¢â¬ of October 15, 2014. (2015). Bouveret, Antoine ; Sasaki, Tsuyoshi ; Chen, Yingyuan ; Breuer, Peter ; Jones, David . In: IMF Working Papers. RePEc:imf:imfwpa:15/222. Full description at Econpapers \|\| Download paper
2015	Measuring private information in a specialist market. (2015). Lamoureux, Christopher G. ; Wang, Qin . In: Journal of Empirical Finance. RePEc:eee:empfin:v:30:y:2015:i:c:p:92-119. Full description at Econpapers \|\| Download paper
2015	Information revelation in the Greek exchange opening call: Daily and intraday evidence. (2015). Kanas, Angelos ; Papachristou, George ; Anagnostidis, Panagiotis . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:38:y:2015:i:c:p:167-184. Full description at Econpapers \|\| Download paper
2015	The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension. (2015). Camilleri, Silvio. In: MPRA Paper. RePEc:pra:mprapa:63240. Full description at Econpapers \|\| Download paper
2015	Liquidity and stock returns: Evidence from international markets. (2015). Chiang, Thomas C ; Zheng, Dazhi . In: Global Finance Journal. RePEc:eee:glofin:v:27:y:2015:i:c:p:73-97. Full description at Econpapers \|\| Download paper
2015	Stock price synchronicity and tails of return distribution. (2015). Douch, Mohamed ; Bouaddi, Mohammed ; Farooq, Omar . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:37:y:2015:i:c:p:1-11. Full description at Econpapers \|\| Download paper
2015	Bond and stock market response to unexpected dividend changes. (2015). Wu, Yangru ; Tsai, Hui-Ju. In: Journal of Empirical Finance. RePEc:eee:empfin:v:30:y:2015:i:c:p:1-15. Full description at Econpapers \|\| Download paper
2015	On the Information Flow from Credit Derivatives to the Macroeconomy. (2015). Mizen, Paul ; Veleanu, Veronica . In: Discussion Papers. RePEc:not:notcfc:15/21. Full description at Econpapers \|\| Download paper
2015	Innovations in financial IS and technology ecosystems: High-frequency trading in the equity market. (2015). Kauffman, Robert J ; Liu, Jun . In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:99:y:2015:i:c:p:339-354. Full description at Econpapers \|\| Download paper
2015	Signal or noise? Uncertainty and learning about whether other traders are informed. (2015). Banerjee, Snehal ; Green, Brett . In: Journal of Financial Economics. RePEc:eee:jfinec:v:117:y:2015:i:2:p:398-423. Full description at Econpapers \|\| Download paper
2015	Learning Unfair Trading: a Market Manipulation Analysis From the Reinforcement Learning Perspective. (2015). Mart, Enrique ; Howard, Matthew J ; McBurney, Peter . In: Papers. RePEc:arx:papers:1511.00740. Full description at Econpapers \|\| Download paper
2015	An Analysis of the Covered Warrants listed on the Athens Exchange. (2015). SIRIOPOULOS, COSTAS. In: MPRA Paper. RePEc:pra:mprapa:64636. Full description at Econpapers \|\| Download paper
2015	Politically Motivated Taxes in Financial Markets: The Case of the French Financial Transaction Tax. (2015). Weinhardt, Christof ; Meyer, Stephan ; Wagener, Martin . In: Journal of Financial Services Research. RePEc:kap:jfsres:v:47:y:2015:i:2:p:177-202. Full description at Econpapers \|\| Download paper
2015	Measuring the liquidity part of volume. (2015). darolles, serge ; le Fol, Gaelle ; Mero, Gulten . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:50:y:2015:i:c:p:92-105. Full description at Econpapers \|\| Download paper
2015	Financial Market Liquidity: Who Is Acting Strategically?. (2015). Le Fol, Gaelle ; darolles, serge ; Mero, Gulten . In: THEMA Working Papers. RePEc:ema:worpap:2015-14. Full description at Econpapers \|\| Download paper
2015	Price Discovery in US and Australian Stock and Options Markets. (2015). . In: PhD Thesis. RePEc:uts:finphd:27. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2015

Year	Citing document
2015	What do stock markets tell us about exchange rates?. (2015). Sarno, Lucio ; Payne, Richard ; Cenedese, Gino ; Valente, Giorgio . In: Bank of England working papers. RePEc:boe:boeewp:0537. Full description at Econpapers \|\| Download paper
2015	Commonality in Liquidity: What does the order book say?. (2015). Åensoy, Ahmet. In: Working Paper. RePEc:bor:wpaper:1523. Full description at Econpapers \|\| Download paper
2015	What Do Stock Markets Tell Us About Exchange Rates?. (2015). Sarno, Lucio ; Payne, Richard ; Cenedese, Gino ; Valente, Giorgio . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10685. Full description at Econpapers \|\| Download paper
2015	What explains the dynamics of 100 anomalies?. (2015). Jacobs, Heiko . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:57:y:2015:i:c:p:65-85. Full description at Econpapers \|\| Download paper
2015	Was the Forex Fixing Fixed?. (2015). Ito, Takatoshi ; Yamada, Masahiro . In: NBER Working Papers. RePEc:nbr:nberwo:21518. Full description at Econpapers \|\| Download paper
2015	Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns. (2015). Jung, Kuk Mo ; Mo, Kuk . In: MPRA Paper. RePEc:pra:mprapa:67416. Full description at Econpapers \|\| Download paper
2015	Statistical arbitrage pairs trading strategies: Review and outlook. (2015). Krauss, Christopher . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:092015. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	Optimal Execution with Dynamic Order Flow Imbalance. (2014). Bechler, Kyle ; Ludkovski, Mike . In: Papers. RePEc:arx:papers:1409.2618. Full description at Econpapers \|\| Download paper
2014	EstimaciÃ³n de la prima por vencimiento de los TES en pesos del gobierno colombiano. (2014). Moreno GutiÃÂÃÂ©rrez, JosÃÂ© ; Moreno GutiÃÂ©rrez, JosÃ© ; Melo, Luis ; Espinosa Torres, Juan ; Jose Fernando Moreno Gutierrez, ; Moreno Gutiérrez, José ; Luis Fernando Melo Velandia, ; Juan Andres Espinosa Torres, . In: Borradores de Economia. RePEc:bdr:borrec:854. Full description at Econpapers \|\| Download paper
2014	EstimaciÃ³n de la prima por vencimiento de los TES en pesos del gobierno colombiano. (2014). Moreno GutiÃÂÃÂ©rrez, JosÃÂ© ; Moreno GutiÃÂ©rrez, JosÃ© ; Melo, Luis ; Espinosa Torres, Juan ; Jose Fernando Moreno Gutierrez, ; Moreno Gutiérrez, José ; Luis Fernando Melo Velandia, ; Juan Andres Espinosa Torres, . In: BORRADORES DE ECONOMIA. RePEc:col:000094:012333. Full description at Econpapers \|\| Download paper
2014	Reflecting on the VPIN dispute. (2014). Andersen, Torben ; Bondarenko, Oleg . In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:53-64. Full description at Econpapers \|\| Download paper
2014	The information content of option ratios. (2014). Blau, Benjamin ; Whitby, Ryan J. ; Nguyen, Nga . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:43:y:2014:i:c:p:179-187. Full description at Econpapers \|\| Download paper
2014	The Empirical Analysis of Liquidity. (2014). Subrahmanyam, Avanidhar ; Jacobsen, Stacey ; Holden, Craig W.. In: Foundations and Trends(R) in Finance. RePEc:now:fntfin:0500000044. Full description at Econpapers \|\| Download paper
2014	Effects of Limit Order Book Information Level on Market Stability Metrics. (2014). Paddrik, Mark ; Beling, Peter ; Scherer, William ; Hayes, Roy . In: Working Papers. RePEc:ofr:wpaper:14-09. Full description at Econpapers \|\| Download paper
2014	Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market. (2014). Skiadopoulos, George ; Kapetanios, George ; Neumann, Michael . In: Working Papers. RePEc:qmw:qmwecw:wp730. Full description at Econpapers \|\| Download paper
2014	The Role of Speculative Trade in Market Efficiency: Evidence from a Betting Exchange. (2014). Yang, Fuyu ; Brown, Alasdair . In: University of East Anglia Applied and Financial Economics Working Paper Series. RePEc:uea:aepppr:2012_68. Full description at Econpapers \|\| Download paper
2014	Mandatory portfolio disclosure, stock liquidity, and mutual fund performance. (2014). Tang, Yuehua ; Yang, Baozhong ; Agarwal, Vikas ; Mullally, Kevin Andrew . In: CFR Working Papers. RePEc:zbw:cfrwps:1304r. Full description at Econpapers \|\| Download paper
2014	Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures. (2014). Herrmann, Klaus ; Yu, Weijun ; Teis, Stefan . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:152014. Full description at Econpapers \|\| Download paper

Recent citations received in 2013

Year	Citing document
2013	Limit Order Books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Papers. RePEc:arx:papers:1012.0349. Full description at Econpapers \|\| Download paper
2013	Capacitary measures for completely monotone kernels via singular control. (2013). Schied, Alexander ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:1201.2756. Full description at Econpapers \|\| Download paper
2013	Drift dependence of optimal trade execution strategies under transient price impact. (2013). Schied, Alexander ; Lorenz, Christopher . In: Papers. RePEc:arx:papers:1204.2716. Full description at Econpapers \|\| Download paper
2013	A Pre-Trade Algorithmic Trading Model under Given Volume Measures and Generic Price Dynamics (GVM-GPD). (2013). Shen, Jackie. In: Papers. RePEc:arx:papers:1309.5046. Full description at Econpapers \|\| Download paper
2013	Optimal Execution Trajectories. Linear Market Impact with Exponential Decay. (2013). Skachkov, Igor . In: Papers. RePEc:arx:papers:1309.6725. Full description at Econpapers \|\| Download paper
2013	Probabilistic aspects of finance. (2013). Schied, Alexander ; Follmer, Hans . In: Papers. RePEc:arx:papers:1309.7759. Full description at Econpapers \|\| Download paper
2013	Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets. (2013). Gerig, Austin ; Myers, Benjamin . In: Papers. RePEc:arx:papers:1311.4160. Full description at Econpapers \|\| Download paper
2013	The order book as a queueing system: average depth and influence of the size of limit orders. (2013). Toke, Ioane Muni . In: Papers. RePEc:arx:papers:1311.5661. Full description at Econpapers \|\| Download paper
2013	Market Impact Paradoxes. (2013). Skachkov, Igor . In: Papers. RePEc:arx:papers:1312.3349. Full description at Econpapers \|\| Download paper
2013	A Monte Carlo method for optimal portfolio executions. (2013). Nuyens, Dirk ; Achtsis, Nico . In: Papers. RePEc:arx:papers:1312.5919. Full description at Econpapers \|\| Download paper
2013	Financial-market Equilibrium with Friction. (2013). Buss, Adrian ; Dumas, Bernard J. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9524. Full description at Econpapers \|\| Download paper
2013	Economic Modeling for Optimal Trading of Financial Asset in Volatile Market. (2013). Sun, Edward ; Kruse, Timm . In: Economics Bulletin. RePEc:ebl:ecbull:eb-12-00627. Full description at Econpapers \|\| Download paper
2013	A dynamic limit order market with fast and slow traders. (2013). Hoffmann, Peter . In: Working Paper Series. RePEc:ecb:ecbwps:20131526. Full description at Econpapers \|\| Download paper
2013	Sub-Penny and Queue-Jumping. (2013). Rindi, Barbara ; Werner, Ingrid M ; Consonni, Francesco ; Buti, Sabrina . In: Working Paper Series. RePEc:ecl:ohidic:2013-18. Full description at Econpapers \|\| Download paper
2013	The gateway to the profession: Assessing teacher preparation programs based on student achievement. (2013). Goldhaber, Dan ; Liddle, Stephanie ; Theobald, Roddy . In: Economics of Education Review. RePEc:eee:ecoedu:v:34:y:2013:i:c:p:29-44. Full description at Econpapers \|\| Download paper
2013	Low-latency trading. (2013). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:646-679. Full description at Econpapers \|\| Download paper
2013	Very fast money: High-frequency trading on the NASDAQ. (2013). Carrion, Allen . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:680-711. Full description at Econpapers \|\| Download paper
2013	High frequency trading and the new market makers. (2013). Menkveld, Albert J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740. Full description at Econpapers \|\| Download paper
2013	The diversity of high-frequency traders. (2013). Hagstromer, Bjorn ; Norden, Lars . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:741-770. Full description at Econpapers \|\| Download paper
2013	The order book as a queueing system: average depth and influence of the size of limit orders. (2013). Toke, Ioane Muni . In: Working Papers. RePEc:hal:wpaper:hal-01006410. Full description at Econpapers \|\| Download paper
2013	High Frequency Traders: Taking Advantage of Speed. (2013). Ait-Sahalia, Yacine ; Saglam, Mehmet . In: NBER Working Papers. RePEc:nbr:nberwo:19531. Full description at Econpapers \|\| Download paper
2013	Competition between high-frequency traders, and market quality. (2013). Breckenfelder, Johannes. In: MPRA Paper. RePEc:pra:mprapa:66715. Full description at Econpapers \|\| Download paper
2013	Drift dependence of optimal trade execution strategies under transient price impact. (2013). Schied, Alexander ; Lorenz, Christopher . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:4:p:743-770. Full description at Econpapers \|\| Download paper
2013	Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742. Full description at Econpapers \|\| Download paper
2013	Rebuilding the limit order book: sequential Bayesian inference on hidden states. (2013). Christensen, Hugh L. ; Godsill, Simon J. ; Hill, Simon I. ; Turner, Richard E.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1779-1799. Full description at Econpapers \|\| Download paper

Recent citations received in 2012

Year	Citing document
2012	Non-Fundamental Information and Market-Makers Behavior during the NASDAQ Preopening Session. (2012). Lescourret, Laurence. In: ESSEC Working Papers. RePEc:ebg:essewp:dr-12012. Full description at Econpapers \|\| Download paper
2012	IPO characteristics of index firms. (2012). Colak, Gonul . In: Managerial Finance. RePEc:eme:mfipps:v:38:y:2012:i:12:p:1134-1159. Full description at Econpapers \|\| Download paper
2012	Non-fundamental Information and Market-makers Behavior during the NASDAQ Preopening Session. (2012). Lescourret, Laurence. In: Post-Print. RePEc:hal:journl:hal-00772798. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Journal of Banking & Finance / Elsevier	95
2	Journal of Financial Markets / Elsevier	74
3	Journal of Financial Economics / Elsevier	53
4	MPRA Paper / University Library of Munich, Germany	44
5	International Review of Financial Analysis / Elsevier	38
6	Papers / arXiv.org	36
7	Journal of International Financial Markets, Institutions and Money / Elsevier	32
8	Journal of Empirical Finance / Elsevier	30
9	Pacific-Basin Finance Journal / Elsevier	29
10	International Review of Economics & Finance / Elsevier	29
11	NBER Working Papers / National Bureau of Economic Research, Inc	25

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.