Citation analysis for Journal of Financial Markets / Elsevier

Journal of Financial Markets / Elsevier

1.1

Impact Factor

1.45

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		0.1			0	1			0		0		(%)			0.04
1992		0.09			0				0		0		(%)			0.04
1993		0.11			0				0		0		(%)			0.05
1994		0.12			0				0		0		(%)			0.04
1995		0.19			0				0		0		(%)			0.07
1996		0.23			0				0		0		(%)			0.09
1997		0.26			0				0		0		(%)			0.09
1998		0.28		13	13	5	0.38	695	0		0		32 (4.6%)	4	0.31	0.1
1999	0.54	0.32	0.54	16	29	14	0.48	427	13	7	13	7	24 (5.6%)	7	0.44	0.13
2000	0.69	0.39	0.69	15	44	33	0.75	652	29	20	29	20	33 (5.1%)	7	0.47	0.15
2001	1	0.39	1.18	15	59	58	0.98	246	31	31	44	52	15 (6.1%)	3	0.2	0.14
2002	0.93	0.4	0.93	19	78	77	0.99	1846	30	28	59	55	72 (3.9%)	8	0.42	0.17
2003	0.82	0.43	1.32	22	100	130	1.3	370	34	28	78	103	34 (9.2%)	7	0.32	0.18
2004	0.85	0.48	1.1	17	117	155	1.32	562	41	35	87	96	30 (5.3%)	21	1.24	0.19
2005	1.15	0.52	1.42	16	133	208	1.56	503	39	45	88	125	24 (4.8%)	7	0.44	0.2
2006	1.3	0.51	1.34	18	151	232	1.54	291	33	43	89	119	22 (7.6%)	6	0.33	0.2
2007	0.76	0.45	1.27	15	166	247	1.49	407	34	26	92	117	17 (4.2%)	7	0.47	0.18
2008	0.91	0.48	1.3	17	183	334	1.83	195	33	30	88	114	12 (6.2%)	2	0.12	0.2
2009	1.22	0.49	1.73	32	215	424	1.97	542	32	39	83	144	28 (5.2%)	14	0.44	0.19
2010	0.88	0.46	1.22	20	235	441	1.88	300	49	43	98	120	17 (5.7%)	12	0.6	0.17
2011	1.06	0.49	1.29	23	258	498	1.93	280	52	55	102	132	16 (5.7%)	7	0.3	0.19
2012	0.84	0.52	1.24	12	270	538	1.99	67	43	36	107	133	5 (7.5%)	3	0.25	0.19
2013	1.29	0.58	1.72	27	297	782	2.63	395	35	45	104	179	19 (4.8%)	27	1	0.2
2014	1.54	0.6	2.05	46	343	930	2.71	234	39	60	114	234	12 (5.1%)	17	0.37	0.2
2015	1.56	0.61	1.73	21	364	943	2.59	87	73	114	128	221	3 (3.4%)	6	0.29	0.19
2016	1.3	0.68	1.72	29	393	967	2.46	67	67	87	129	222	2 (3%)	7	0.24	0.2
2017	1.1	0.73	1.45	24	417	1012	2.43	27	50	55	135	196	1 (3.7%)	3	0.13	0.22

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	1461
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	283
3	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	209
4	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	207
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	194
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	189
7	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	147
8	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	135
9	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	132
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	110
11	2013	High frequency trading and the new market makers. (2013). Menkveld, Albert. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740. Full description at Econpapers \|\| Download paper	102
12	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	99
13	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	90
14	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	88
15	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	87
16	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	84
17	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	82
18	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	74
19	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	74
20	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	72
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	71
22	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	71
23	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	65
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	64
25	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	64
26	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	62
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	61
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	59
29	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	58
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	55
31	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	51
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	49
33	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	48
34	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	47
35	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	46
36	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	45
37	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	44
38	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	43
39	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	43
40	2009	Systematic noise. (2009). zhu, ning ; Odean, Terrance ; Barber, Brad. In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:547-569. Full description at Econpapers \|\| Download paper	43
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	43
42	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	42
43	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	42
44	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	41
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	41
46	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	40
47	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	40
48	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	39
49	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	39
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	39

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	568
2	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	74
3	2013	High frequency trading and the new market makers. (2013). Menkveld, Albert. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740. Full description at Econpapers \|\| Download paper	68
4	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	64
5	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	56
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	45
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	43
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	42
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	41
10	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	30
11	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	30
12	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	30
13	2014	A simple approximation of intraday spreads using daily data. (2014). Zhang, Hao ; Chung, Kee H.. In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:94-120. Full description at Econpapers \|\| Download paper	28
14	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	26
15	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	25
16	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	25
17	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	24
18	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	24
19	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	21
20	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	21
21	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	21
22	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	21
23	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	19
24	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	18
25	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	18
26	2009	Gone fishin: Seasonality in trading activity and asset prices. (2009). Hong, Harrison ; Yu, Jialin . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:672-702. Full description at Econpapers \|\| Download paper	17
27	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	17
28	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	17
29	2009	Credit ratings and the cross-section of stock returns. (2009). Philipov, Alexander ; Chordia, Tarun ; Jostova, Gergana ; Avramov, Doron. In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:3:p:469-499. Full description at Econpapers \|\| Download paper	14
30	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	14
31	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	13
32	2005	Dispersion of opinion and stock returns. (2005). Goetzmann, William ; Massa, Massimo. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:324-349. Full description at Econpapers \|\| Download paper	13
33	2015	Equity hedging and exchange rates at the London 4p.m. fix. (2015). Melvin, Michael ; Prins, John . In: Journal of Financial Markets. RePEc:eee:finmar:v:22:y:2015:i:c:p:50-72. Full description at Econpapers \|\| Download paper	13
34	2015	On the determinants of pairs trading profitability. (2015). Weber, Martin ; Jacobs, Heiko . In: Journal of Financial Markets. RePEc:eee:finmar:v:23:y:2015:i:c:p:75-97. Full description at Econpapers \|\| Download paper	13
35	2009	Stock exchange merger and liquidity: The case of Euronext. (2009). Nielsson, Ulf. In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:229-267. Full description at Econpapers \|\| Download paper	13
36	2013	Trade and information in the corporate bond market. (2013). Ronen, Tavy ; Zhou, Xing . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:1:p:61-103. Full description at Econpapers \|\| Download paper	13
37	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
38	2009	Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977). (2009). Kumar, Praveen ; Danielsen, Bartley R. ; Sorescu, Sorin M. ; Boehme, Rodney D.. In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:3:p:438-468. Full description at Econpapers \|\| Download paper	12
39	2004	Trading strategies during circuit breakers and extreme market movements. (2004). Goldstein, Michael ; Kavajecz, Kenneth A.. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:3:p:301-333. Full description at Econpapers \|\| Download paper	12
40	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
41	2016	Time series momentum and volatility scaling. (2016). Kim, Abby Y ; Wald, John K ; Tse, Yiuman. In: Journal of Financial Markets. RePEc:eee:finmar:v:30:y:2016:i:c:p:103-124. Full description at Econpapers \|\| Download paper	12
42	2007	The PIN anomaly around M&A announcements. (2007). Declerck, Fany ; de Bodt, Eric ; Aktas, Nihat ; VAN OPPENS, Herve . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:2:p:169-191. Full description at Econpapers \|\| Download paper	12
43	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
44	2010	Institutional ownership stability and the cost of debt. (2010). Mao, Connie X. ; Jia, Jingyi ; Elyasiani, Elyas. In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:4:p:475-500. Full description at Econpapers \|\| Download paper	12
45	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	12
46	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	12
47	2011	Conventional mutual index funds versus exchange-traded funds. (2011). Agapova, Anna . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:2:p:323-343. Full description at Econpapers \|\| Download paper	11
48	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	11
49	2014	Commodity index trading and hedging costs. (2014). Brunetti, Celso ; Reiffen, David . In: Journal of Financial Markets. RePEc:eee:finmar:v:21:y:2014:i:c:p:153-180. Full description at Econpapers \|\| Download paper	11
50	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	11

Citing documents used to compute impact factor 55:

Year	Title
2017	Price clustering in Bitcoin. (2017). Urquhart, Andrew. In: Economics Letters. RePEc:eee:ecolet:v:159:y:2017:i:c:p:145-148. Full description at Econpapers \|\| Download paper
2017	The effects of mergers and acquisitions on the information production of financial markets. (2017). Bade, Marco . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:240-248. Full description at Econpapers \|\| Download paper
2017	Coming early to the party. (2017). Pelizzon, Loriana ; Yuferova, Darya ; Uno, Jun ; Subrahmanyam, Marti ; Bellia, Mario. In: SAFE Working Paper Series. RePEc:zbw:safewp:182. Full description at Econpapers \|\| Download paper
2017	Time series momentum and contrarian effects in the Chinese stock market. (2017). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1702.07374. Full description at Econpapers \|\| Download paper
2017	Can investor sentiment be a momentum time-series predictor? Evidence from China. (2017). Li, Youwei ; Han, Xing . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:212-239. Full description at Econpapers \|\| Download paper
2017	Time series momentum and contrarian effects in the Chinese stock market. (2017). Shi, Huai-Long ; Zhou, Wei-Xing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:483:y:2017:i:c:p:309-318. Full description at Econpapers \|\| Download paper
2017	Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches. (2017). Li, Youwei ; Liu, Jiadong ; Fan, Minyou. In: MPRA Paper. RePEc:pra:mprapa:83510. Full description at Econpapers \|\| Download paper
2017	Pension funds illiquid assets allocation under liquidity and capital constraints. (2017). Broeders, Dirk ; Werker, Bas ; Jansen, Kristy . In: DNB Working Papers. RePEc:dnb:dnbwpp:555. Full description at Econpapers \|\| Download paper
2017	Pre-trade transparency in over-the-counter bond markets. (2017). Chen, Fan ; Zhong, Zhuo . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:14-33. Full description at Econpapers \|\| Download paper
2017	Macroeconomic announcements and price discovery in the foreign exchange market. (2017). Gau, Yin-Feng ; Wu, Zhen-Xing . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:232-254. Full description at Econpapers \|\| Download paper
2017	Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; KoÄenda, EvÅ¾en ; BarunÃÂk, Jozef. In: KIER Working Papers. RePEc:kyo:wpaper:956. Full description at Econpapers \|\| Download paper
2017	Oil shocks and stock markets revisited: Measuring connectedness from a global perspective. (2017). Zhang, Dayong. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:323-333. Full description at Econpapers \|\| Download paper
2017	Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; KoÄenda, EvÅ¾en ; BarunÃÂk, Jozef ; Koenda, Even ; Barunik, Jozef. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:39-56. Full description at Econpapers \|\| Download paper
2017	The q-factors and expected bond returns. (2017). Franke, Benedikt ; Muller, Sonja . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:19-35. Full description at Econpapers \|\| Download paper
2017	Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. (2017). Filis, George ; Antonakakis, Nikolaos ; Chatziantoniou, Ioannis. In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:1-26. Full description at Econpapers \|\| Download paper
2017	Refined Measures of Dynamic Connectedness based on TVP-VAR. (2017). Gabauer, David ; Antonakakis, Nikolaos. In: MPRA Paper. RePEc:pra:mprapa:78282. Full description at Econpapers \|\| Download paper
2017	Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods. (2017). Hkiri, Besma ; Yarovaya, Larisa ; Aloui, Chaker ; Hammoudeh, Shawkat. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:43:y:2017:i:c:p:124-150. Full description at Econpapers \|\| Download paper
2017	Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?. (2017). BarunÃÂk, Jozef ; Apergis, Nicholas ; Keung, Marco Chi. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:108-115. Full description at Econpapers \|\| Download paper
2017	Information 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. Full description at Econpapers \|\| Download paper
2017	Seasonality in government bond returns and factor premia. (2017). Zaremba, Adam ; Schabek, Tomasz . In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:292-302. Full description at Econpapers \|\| Download paper
2017	âSell not only in Mayâ. Seasonal Effects on Stock Markets. (2017). Schabek, Tomasz ; Castro, Henrique. In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:17:y:2017:p:5-18. Full description at Econpapers \|\| Download paper
2017	Equity prices and fundamentals: a DDMâAPT mixed approach. (2017). JAWADI, Fredj ; Prat, Georges. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:3:d:10.1007_s11156-016-0604-y. Full description at Econpapers \|\| Download paper
2017	Are Order Anticipation Strategies Harmful? A Theoretical Approach. (2017). Strehle, Elias . In: Papers. RePEc:arx:papers:1609.00599. Full description at Econpapers \|\| Download paper
2017	Exploring the location and price differentials of cross-listed firms for arbitrage opportunities. (2017). Yang, Ann Shawing ; Uyan, Craig Alan . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:85-91. Full description at Econpapers \|\| Download paper
2017	Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500. (2017). Huck, Nicolas ; Krauss, Christopher ; Do, Xuan Anh . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:689-702. Full description at Econpapers \|\| Download paper
2017	Deep learning with long short-term memory networks for financial market predictions. (2017). Fischer, Thomas ; Krauss, Christopher. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:112017. Full description at Econpapers \|\| Download paper
2017	Optimal pairs trading strategies in a cointegration framework. (2017). Martin, Franck ; Huang, Zhe. In: Working Papers. RePEc:hal:wpaper:halshs-01566803. Full description at Econpapers \|\| Download paper
2017	Optimal pairs trading strategies in a cointegration framework. (2017). Martin, Franck ; Huang, Zhe. In: Economics Working Paper Archive (University of Rennes 1 & University of Caen). RePEc:tut:cremwp:2017-08. Full description at Econpapers \|\| Download paper
2017	Does Foreign Information Predict the Returns of Multinational Firms Worldwide?. (2017). Finke, Christian ; Weigert, Florian. In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:6:p:2199-2248.. Full description at Econpapers \|\| Download paper
2017	Value at risk forecasting for volatility index. (2017). Park, Seul-Ki ; Shin, Dong Wan ; Choi, Ji-Eun. In: Applied Economics Letters. RePEc:taf:apeclt:v:24:y:2017:i:21:p:1613-1620. Full description at Econpapers \|\| Download paper
2017	Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded notes by mutual funds. (2017). Rakowski, David ; Stark, Jeffrey R ; Shirley, Sara E. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:91-107. Full description at Econpapers \|\| Download paper
2017	Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; BarunÃÂk, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489. Full description at Econpapers \|\| Download paper
2017	Equity prices and fundamentals: a DDMâAPT mixed approach. (2017). JAWADI, Fredj ; Prat, Georges. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:3:d:10.1007_s11156-016-0604-y. Full description at Econpapers \|\| Download paper
2017	The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience. (2017). Ahmed, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:61-77. Full description at Econpapers \|\| Download paper
2017	Interest Rate Future Quality Options and Negative Interest Rates. (2017). Herrero, Ricardo Laborda ; de la Corte, Alejandro Balbas . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:24859. Full description at Econpapers \|\| Download paper
2017	Do regional and global uncertainty factors affect differently the conventional bonds and sukuk? New evidence. (2017). Naifar, Nader ; Bahloul, Slah ; Mroua, Mourad . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:41:y:2017:i:c:p:65-74. Full description at Econpapers \|\| Download paper
2017	Do Islamic Bond (Sukuk) Prices Reflect Financial and Policy Uncertainty? A Quantile Regression Approach. (2017). Reboredo, Juan ; Naifar, Nader. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:53:y:2017:i:7:p:1535-1546. Full description at Econpapers \|\| Download paper
2017	Trading Fees and Intermarket Competition. (2017). Panayides, Marios ; Werner, Ingrid M ; Rindi, Barbara. In: Working Papers. RePEc:igi:igierp:595. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Effects of lit and dark market fragmentation on liquidity. (2017). Gresse, Carole. In: Journal of Financial Markets. RePEc:eee:finmar:v:35:y:2017:i:c:p:1-20. Full description at Econpapers \|\| Download paper
2017	Coordination of circuit breakers? Volume migration and volatility spillover in fagmented markets. (2017). Clapham, Benjamin ; Panz, Sven ; Gomber, Peter . In: SAFE Working Paper Series. RePEc:zbw:safewp:196. Full description at Econpapers \|\| Download paper
2017	Trading Fees and Intermarket Competition. (2017). Panayides, Marios ; Werner, Ingrid M ; Rindi, Barbara. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1751. Full description at Econpapers \|\| Download paper
2017	Effects of Lit and Dark Market Fragmentation on Liquidity. (2017). Gresse, Carole. In: Post-Print. RePEc:hal:journl:hal-01631771. Full description at Econpapers \|\| Download paper
2017	FX swaps and forwards: missing global debt?. (2017). McGuire, Patrick ; McCauley, Robert ; BORIO, Claudio. In: BIS Quarterly Review. RePEc:bis:bisqtr:1709e. Full description at Econpapers \|\| Download paper
2017	The forex fixing reform and its impact on cost and risk of forex trading banks. (2017). Yamada, Masahiro ; Ito, Takatoshi. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:157-162. Full description at Econpapers \|\| Download paper
2017	Dealer Trading at the Fix. (2017). Osler, Carol ; Turnbull, Alasdair . In: Working Papers. RePEc:brd:wpaper:101r. Full description at Econpapers \|\| Download paper
2017	Forex Trading and the WMR Fix. (2017). Evans, Martin. In: MPRA Paper. RePEc:pra:mprapa:81583. Full description at Econpapers \|\| Download paper
2017	Puzzles in the Tokyo fixing in the forex market: Order imbalances and Bank pricing. (2017). Ito, Takatoshi ; Yamada, Masahiro . In: Journal of International Economics. RePEc:eee:inecon:v:109:y:2017:i:c:p:214-234. Full description at Econpapers \|\| Download paper
2017	LIQUIDITY RISK AND TIME-VARYING CORRELATION BETWEEN EQUITY AND CURRENCY RETURNS. (2017). Jung, Kuk Mo ; Mo, Kuk . In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:2:p:898-919. Full description at Econpapers \|\| Download paper
2017	Safe-haven currency: An empirical identification. (2017). Lee, Kang-Soek. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:4:p:924-947. Full description at Econpapers \|\| Download paper
2017	Informed 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. Full description at Econpapers \|\| Download paper
2017	Explaining co-movements between equity and CDS bid-ask spreads. (2017). Marra, Miriam . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:3:d:10.1007_s11156-016-0609-6. Full description at Econpapers \|\| Download paper
2017	Herding in frontier markets: Evidence from African stock exchanges. (2017). Guney, Yilmaz ; Komba, Gabriel ; Kallinterakis, Vasileios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:152-175. Full description at Econpapers \|\| Download paper
2017	Psychological price barriers in frontier equities. (2017). Berk, Ales S ; Lucey, Brian M ; Dowling, Michael ; Cummins, Mark. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:49:y:2017:i:c:p:1-14. Full description at Econpapers \|\| Download paper
2017	The financial economics of white precious metals â A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2017

Year	Citing document
2017	An 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. Full description at Econpapers \|\| Download paper
2017	Detection of algorithmic trading. (2017). Bogoev, Dimitar ; Karam, Arze. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:168-181. Full description at Econpapers \|\| Download paper
2017	2017 Financial Stability Report. (2017). . In: Reports. RePEc:ofr:report:17-2. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document
2016	Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; KoÄenda, EvÅ¾en ; BarunÃÂk, Jozef. In: Papers. RePEc:arx:papers:1607.08214. Full description at Econpapers \|\| Download paper
2016	Insider competition under two-dimensional uncertainty and informational asymmetry. (2016). Bade, Marco . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:79-82. Full description at Econpapers \|\| Download paper
2016	Risk and return spillovers among the G10 currencies. (2016). Greenwood-Nimmo, Matthew ; Nguyen, Viet Hoang ; Rafferty, Barry . In: Journal of Financial Markets. RePEc:eee:finmar:v:31:y:2016:i:c:p:43-62. Full description at Econpapers \|\| Download paper
2016	Intraday market making with overnight inventory costs. (2016). Vogt, Erik ; Adrian, Tobias ; Capponi, Agostino ; Zhang, Hongzhong. In: Staff Reports. RePEc:fip:fednsr:799. Full description at Econpapers \|\| Download paper
2016	Interactions among High-Frequency Traders. (2016). Brugler, James ; Hjalmarsson, Erik ; Zikes, Filip ; Benes, Evangelos . In: Working Papers in Economics. RePEc:hhs:gunwpe:0680. Full description at Econpapers \|\| Download paper
2016	Exchange Traded Funds (ETFs). (2016). Ben-David, Itzhak ; Franzoni, Francesco ; Moussawi, Rabih. In: NBER Working Papers. RePEc:nbr:nberwo:22829. Full description at Econpapers \|\| Download paper
2016	Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models. (2016). Fengler, Matthias ; Herwartz, Helmut. In: MPRA Paper. RePEc:pra:mprapa:72197. Full description at Econpapers \|\| Download paper

Recent citations received in 2015

Year	Citing document
2015	What do stock markets tell us about exchange rates?. (2015). Valente, Giorgio ; Sarno, Lucio ; Payne, Richard ; Cenedese, Gino. In: Bank of England working papers. RePEc:boe:boeewp:0537. Full description at Econpapers \|\| Download paper
2015	What Do Stock Markets Tell Us About Exchange Rates?. (2015). Valente, Giorgio ; Sarno, Lucio ; Payne, Richard ; Cenedese, Gino. 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 GutiÃÂ©rrez, JosÃÂ© ; Moreno GutiÃÂÃÂ©rrez, JosÃÂ© ; Melo-Velandia, 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	Short Sales and Option Listing Decisions. (2014). Blau, Benjamin ; Brough, Tyler J.. In: Financial Management. RePEc:bla:finmgt:v:43:y:2014:i:3:p:703-724. Full description at Econpapers \|\| Download paper
2014	EstimaciÃ³n de la prima por vencimiento de los TES en pesos del gobierno colombiano. (2014). Moreno GutiÃÂ©rrez, JosÃÂ© ; Moreno GutiÃÂÃÂ©rrez, JosÃÂ© ; Melo-Velandia, 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	Are Retail Traders Compensated for Providing Liquidity?. (2014). Sraer, David ; Kaniel, Ron ; Barrot, Jean-Noel . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10285. Full description at Econpapers \|\| Download paper
2014	Energy futures prices and commodity index investment: New evidence from firm-level position data. (2014). Irwin, Scott ; Sanders, Dwight R.. In: Energy Economics. RePEc:eee:eneeco:v:46:y:2014:i:s1:p:s57-s68. 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	Impact of short selling activity on market dynamics: Evidence from an emerging market. (2014). Sobaci, Cihat ; Sensoy, Ahmet ; Erturk, Mutahhar ; Åensoy, Ahmet. In: Journal of Financial Stability. RePEc:eee:finsta:v:15:y:2014:i:c:p:53-62. Full description at Econpapers \|\| Download paper
2014	The information content of option ratios. (2014). Whitby, Ryan ; Blau, Benjamin ; 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	Options resilience during extreme volatility: Evidence from the market events of May 2010. (2014). Goswami, Gautam ; Tan, Sinan ; Cakici, Nusret. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:49:y:2014:i:c:p:262-274. 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	Rating-Based Investment Practices and Bond Market Segmentation. (2014). Schuerhoff, Norman ; Chen, Zhihua ; Seppi, Duane J ; Schurhoff, Norman ; Lookman, Aziz A. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:4:y:2014:i:2:p:162-205.. 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 ; Neumann, Michael ; Kapetanios, George. 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

10 most frequent citing series

#	Series	Cites
1	Journal of Banking & Finance / Elsevier	106
2	Journal of Financial Markets / Elsevier	75
3	Journal of Financial Economics / Elsevier	52
4	International Review of Financial Analysis / Elsevier	48
5	MPRA Paper / University Library of Munich, Germany	47
6	Pacific-Basin Finance Journal / Elsevier	44
7	Journal of International Financial Markets, Institutions and Money / Elsevier	36
8	International Review of Economics & Finance / Elsevier	32
9	Journal of Empirical Finance / Elsevier	31
10	Research in International Business and Finance / Elsevier	27
11	NBER Working Papers / National Bureau of Economic Research, Inc	27

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.