Lawrence R Glosten : Citation Profile

9

H index

9

i10 index

8280

Citations

RESEARCH PRODUCTION:

11

Articles

2

Papers

RESEARCH ACTIVITY:

   39 years (1985 - 2024). See details.
   Cites by year: 212
   Journals where Lawrence R Glosten has often published
   Relations with other researchers
   Recent citing documents: 838.    Total self citations: 2 (0.02 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgl107
   Updated: 2026-10-17    RAS profile: 2026-10-06    
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Relations with other researchers

Works with:

Walther, Thomas (3)

Huang, Wenqian (3)

Zhang, S. Sarah (3)

Wilhelmsson, Anders (3)

Davies, Ryan (3)

Degryse, Hans (3)

Gehrig, Thomas (3)

Horenstein, Alex (3)

Tonks, Ian (3)

Prokopczuk, Marcel (3)

Verousis, Thanos (3)

Eugster, Nicolas (3)

Taylor, Nick (3)

Dumitrescu, Ariadna (3)

Jalkh, Naji (3)

Liew, Chee (3)

Schuerhoff, Norman (3)

Nielsson, Ulf (3)

Schwarz, Marco (3)

Korajczyk, Robert (3)

Patton, Andrew (3)

Jurkatis, Simon (3)

Frijns, Bart (3)

Sarno, Lucio (3)

Roesch, Dominik (3)

Aloosh, Arash (3)

Gerritsen, Dirk (3)

Kazak, Ekaterina (3)

Johannesson, Magnus (3)

Söderlind, Paul (3)

Huber, Juergen (3)

Renault, Thomas (3)

Menkveld, Albert (3)

Palan, Stefan (3)

Scaillet, Olivier (3)

Talavera, Oleksandr (3)

Deku, Solomon (3)

Alexeev, Vitali (3)

Foucault, Thierry (3)

Füllbrunn, Sascha (3)

Stefanova, Denitsa (3)

Xiu, Dacheng (3)

Park, Andreas (3)

Dreber, Anna (3)

Pelizzon, Loriana (3)

Deev, Oleg (3)

Dimpfl, Thomas (3)

Koetter, Michael (3)

Harris, Jeffrey (3)

Bos, Charles (3)

FERROUHI, EL MEHDI (3)

Chernov, Mikhail (3)

Hurlin, Christophe (3)

Rinne, Kalle (3)

Shachar, Or (3)

Wolff, Christian (3)

Ferrara, Gerardo (3)

Vilkov, Grigory (3)

Caporin, Massimiliano (3)

Shui, Jessica (3)

Xia, Shuo (3)

LINTON, OLIVER (3)

Brownlees, Christian (3)

Moinas, Sophie (3)

Sojli, Elvira (3)

Güçbilmez, Ufuk (3)

Pastor, Lubos (3)

Tang, Yuehua (3)

Ødegaard, Bernt (3)

Ranaldo, Angelo (3)

Hambuckers, Julien (3)

Holzmeister, Felix (3)

Roy, Saurabh (3)

Neszveda, Gabor (3)

Frömmel, Michael (3)

Lof, Matthijs (3)

Reitz, Stefan (3)

Smales, Lee (3)

Hautsch, Nikolaus (3)

Pasquariello, Paolo (3)

Ait-Sahalia, Yacine (2)

Chow, Nikolai Sheung-Chi (2)

Wong, Wing-Keung (2)

Capera Romero, Laura (2)

Gil-Bazo, Javier (2)

Colliard, Jean-Edouard (2)

Schenk-Hoppé, Klaus (2)

Bohorquez Correa, Santiago (2)

CAPELLE-BLANCARD, Gunther (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Lawrence R Glosten.

Is cited by:

Salanié, François (43)

attar, andrea (37)

GUPTA, RANGAN (35)

Chang, Chia-Lin (33)

Subrahmanyam, Avanidhar (32)

Biais, Bruno (31)

PASCUAL, ROBERTO (27)

Teräsvirta, Timo (27)

Degiannakis, Stavros (27)

Engle, Robert (27)

Hautsch, Nikolaus (25)

Cites to:

Shleifer, Andrei (5)

Ben-David, Itzhak (5)

Foucault, Thierry (5)

Lettau, Martin (3)

attar, andrea (3)

Vishny, Robert (3)

Kandel, Eugene (3)

Milgrom, Paul (3)

Harvey, Campbell (3)

Madhavan, Ananth (3)

Salanié, François (3)

Main data

Where Lawrence R Glosten has published?

Journals with more than one article published# docs
Journal of Finance4
Journal of Financial Economics2

Recent works citing Lawrence R Glosten (2025 and 2024)

YearTitle of citing document
2026The Impact of Firm-Specific Characteristics on the Readability of Bank Annual Reports: Evidence from MENA Countries. (2026). Mahboub, Rasha Mohamad. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:30:y:2026:i:2:p:157-196.

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2026The One-Period Gaussian Kyle Model Has Exactly One Equilibrium. (2026). Tourky, Rabee ; Monteiro, Paulo K. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2026-708.

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2026Fast but noisy: Why options react first in agricultural derivatives markets. (2026). Serra, Teresa ; Ma, Richie. In: 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri. RePEc:ags:aaea26:404352.

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2024Modeling Asymmetric Effects of Exchange Rate Fluctuations on Agricultural Trade Balance: Evidence from Iran and Iraq. (2024). Falsafian, Azadeh ; Hamad, Mudhafar Ahmed. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:348977.

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2026How Much Is the Smirk Worth? Downside Risk Pricing in Cattle Options. (2026). McKenzie, Andrew ; Serra, Teresa ; Vizcarrondo, Esteban. In: 3rd ASEAN University Symposium for Sustainable Food Systems, Faculty of Agriculture, Chiang Mai University, Thailand, May 21-22, 2026. RePEc:ags:asea26:404809.

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2026One contract, two deals: Electronic trading design of exchange-traded calendar spreads. (2026). Irwin, Scott H ; Peterson, Brian G ; Serra, Teresa ; Ma, Richie R. In: 3rd ASEAN University Symposium for Sustainable Food Systems, Faculty of Agriculture, Chiang Mai University, Thailand, May 21-22, 2026. RePEc:ags:asea26:404829.

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2024Dynamic Connectedness between Crypto and Conventional Financial Assets: Novel Findings from Russian Financial Market. (2024). Ullah, Mirzat. In: Journal of Applied Economic Research. RePEc:aiy:jnjaer:v:23:y:2024:i:1:p:110-135.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2025From Glosten-Milgrom to the whole limit order book and applications to financial regulation. (2025). Huang, Weibing ; Saliba, Pamela ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1902.10743.

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2025Quantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic Checks of Time Series With Nonlinear Dynamics. (2019). Li, Ta-Hsin. In: Papers. RePEc:arx:papers:1908.02545.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2026Arrow-Debreu Meets Kyle: Price Discovery Across Derivatives. (2025). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426.

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2024A Bayesian theory of market impact. (2024). Marsili, Matteo ; Saddier, Louis. In: Papers. RePEc:arx:papers:2303.08867.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2025The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Papageorgiou, Ioannis ; Kontoyiannis, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2025Global Neural Networks and The Data Scaling Effect in Financial Time Series Forecasting. (2025). Kohn, Robert ; Gerlach, Richard ; Tran, Minh-Ngoc ; Liu, Chen ; Wang, Chao. In: Papers. RePEc:arx:papers:2309.02072.

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2024Liquidity Dynamics in RFQ Markets and Impact on Pricing. (2024). Bergault, Philippe ; Gu, Olivier. In: Papers. RePEc:arx:papers:2309.04216.

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2026Detecting Toxic Flow. (2023). , Leandro ; Duran-Martin, Gerardo ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2312.05827.

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2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2024Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models. (2024). Younas, Zahid I ; Jeleskovic, Vahidin ; Koch, Dennis. In: Papers. RePEc:arx:papers:2401.03393.

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2024From GARCH to Neural Network for Volatility Forecast. (2024). Hung, Wilfred Siu ; Zhao, Pengfei ; Zhu, Haoren ; Lee, Dik Lun. In: Papers. RePEc:arx:papers:2402.06642.

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2024Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs. (2024). Tondapu, Narayan. In: Papers. RePEc:arx:papers:2402.07435.

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2024Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985.

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2024The impact of Facebook-Cambridge Analytica data scandal on the USA tech stock market: An event study based on clustering method. (2024). Wan, Yinan ; Jeleskovic, Vahidin. In: Papers. RePEc:arx:papers:2402.14206.

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2024Deep Limit Order Book Forecasting. (2024). Bartolucci, Silvia ; Aste, Tomaso ; Briola, Antonio. In: Papers. RePEc:arx:papers:2403.09267.

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2024Reinforcement Learning in Agent-Based Market Simulation: Unveiling Realistic Stylized Facts and Behavior. (2024). Yao, Zhiyuan ; Li, Zheng ; Thomas, Matthew ; Florescu, Ionut. In: Papers. RePEc:arx:papers:2403.19781.

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2024The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Yun-Shi. In: Papers. RePEc:arx:papers:2404.01641.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2025A Theory of Investors Disclosure. (2025). Gao, Pingyang ; Lu, Jinzhi. In: Papers. RePEc:arx:papers:2404.07630.

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2024Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity. (2024). Bergault, Philippe ; Gu, Olivier ; Bertucci, Louis ; Guilbert, Julien ; Bouba, David. In: Papers. RePEc:arx:papers:2405.03496.

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2024Ponzi Funds. (2024). van der Beck, Philippe ; Bouchaud, Jean-Philippe ; Villamaina, Dario. In: Papers. RePEc:arx:papers:2405.12768.

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2024Modelling and Forecasting Energy Market Volatility Using GARCH and Machine Learning Approach. (2024). Chung, Seulki. In: Papers. RePEc:arx:papers:2405.19849.

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2024The test of investors behavioral bias through the price discovery process in cryptoasset exchange Transactional-level evidence from Thailand. (2024). Nakavachara, Voraprapa ; Amonthumniyom, Thitiphong ; Ratanabanchuen, Roongkiat ; Parinyavuttichai, Pongsathon ; Vinaibodee, Polpatt ; Saengchote, Kanis. In: Papers. RePEc:arx:papers:2406.02878.

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2026Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2025Adaptive Curves for Optimally Efficient Market Making. (2025). Nadkarni, Viraj ; Kulkarni, Sanjeev ; Viswanath, Pramod. In: Papers. RePEc:arx:papers:2406.13794.

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2026Unwinding Toxic Flow with Partial Information. (2024). Boyce, Robert ; Neuman, Eyal ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2407.04510.

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2024The Self-Organized Criticality Paradigm in Economics & Finance. (2024). Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:2407.10284.

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2024Is the difference between deep hedging and delta hedging a statistical arbitrage?. (2024). Franccois, Pascal ; Gauthier, Genevieve ; Fr'ed'eric Godin, ; Octavio, Carlos. In: Papers. RePEc:arx:papers:2407.14736.

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2024The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models. (2024). Ślepaczuk, Robert ; Roszyk, Natalia. In: Papers. RePEc:arx:papers:2407.16780.

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2024Automated Market Making and Decentralized Finance. (2024). Monga, Marcello. In: Papers. RePEc:arx:papers:2407.16885.

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2026An unbounded intensity model for point processes. (2024). Christensen, Kim ; Kolokolov, Alexei. In: Papers. RePEc:arx:papers:2408.06519.

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2024Bellwether Trades: Characteristics of Trades influential in Predicting Future Price Movements in Markets. (2024). Ramdas, Tejas ; Wells, Martin T. In: Papers. RePEc:arx:papers:2409.05192.

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2025The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

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2026How Wash Traders Exploit Market Conditions in Cryptocurrency Markets. (2024). Ng, Hunter. In: Papers. RePEc:arx:papers:2411.08720.

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2025Market Making without Regret. (2024). Pathak, Vinayak ; Foscari, Luigi ; Colomboni, Roberto ; Cesari, Tommaso ; Cesa-Bianchi, Nicolo. In: Papers. RePEc:arx:papers:2411.13993.

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2026Market Making with Fads, Informed, and Uninformed Traders. (2025). , Leandro ; Mathieu, Adrien ; Barucci, Emilio. In: Papers. RePEc:arx:papers:2501.03658.

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2025Automated Market Makers: Toward More Profitable Liquidity Provisioning Strategies. (2025). Sunyaev, Ali ; Kannengiesser, Niclas ; Kirste, Daniel ; Drossos, Thanos. In: Papers. RePEc:arx:papers:2501.07828.

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2025Improving volatility forecasts of the Nikkei 225 stock index using a realized EGARCH model with realized and realized range-based volatilities. (2025). Chang, Yaming. In: Papers. RePEc:arx:papers:2502.02695.

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2025The double square-root law: Evidence for the mechanical origin of market impact using Tokyo Stock Exchange data. (2025). Bouchaud, Jean-Philippe ; Kanazawa, Kiyoshi ; Loeper, Gr'Egoire ; Maitrier, Guillaume. In: Papers. RePEc:arx:papers:2502.16246.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

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2025Liquidity Competition Between Brokers and an Informed Trader. (2025). Li, ZI ; Donnelly, Ryan. In: Papers. RePEc:arx:papers:2503.08287.

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2025Assessing Consistency and Reproducibility in the Outputs of Large Language Models: Evidence Across Diverse Finance and Accounting Tasks. (2025). Wang, Victor Xiaoqi. In: Papers. RePEc:arx:papers:2503.16974.

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2025Asymmetry in Distributions of Accumulated Gains and Losses in Stock Returns. (2025). Serota, R A ; Farahani, Hamed. In: Papers. RePEc:arx:papers:2503.24241.

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2025Deep Reinforcement Learning Algorithms for Option Hedging. (2025). Kosseim, Leila ; Fr'ed'eric Godin, ; Neagu, Andrei. In: Papers. RePEc:arx:papers:2504.05521.

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2025Integrated GARCH-GRU in Financial Volatility Forecasting. (2025). Cui, Zhenyu ; Yang, Steve ; Wei, Jingyi. In: Papers. RePEc:arx:papers:2504.09380.

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2025Bridging Econometrics and AI: VaR Estimation via Reinforcement Learning and GARCH Models. (2025). SADEFO KAMDEM, Jules ; Benhmad, Franccois ; Pokou, Fredy. In: Papers. RePEc:arx:papers:2504.16635.

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2026Systemic Risk in the European Insurance Sector. (2025). Borri, Nicola ; di Giorgio, Giorgio ; Consiglio, Andrea ; Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:2505.02635.

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2025Dynamic allocation: extremes, tail dependence, and regime Shifts. (2025). Luo, Yin ; Jussa, Javed ; Wang, Sheng. In: Papers. RePEc:arx:papers:2506.12587.

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2025High Frequency Quoting Under Liquidity Constraints. (2025). Anantha, Aditya Nittur ; Jain, Shashi ; Misra, Dhruv ; Goyal, Shivam. In: Papers. RePEc:arx:papers:2507.05749.

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2025Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets. (2025). Rola, Przemyslaw. In: Papers. RePEc:arx:papers:2507.09734.

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2025Quantitative Risk Management in Volatile Markets with an Expectile-Based Framework for the FTSE Index. (2025). Oketunji, Abiodun Finbarrs. In: Papers. RePEc:arx:papers:2507.13391.

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2025Returns and Order Flow Imbalances: Intraday Dynamics and Macroeconomic News Effects. (2025). Takahashi, Makoto. In: Papers. RePEc:arx:papers:2508.06788.

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2025Robust Market Making: To Quote, or not To Quote. (2025). Wang, Ziyi ; Ventre, Carmine ; Polukarov, Maria. In: Papers. RePEc:arx:papers:2508.16588.

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2026Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall. (2025). Taylor, James W ; Wang, Chao. In: Papers. RePEc:arx:papers:2508.16919.

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2025Bimodal Dynamics of the Artificial Limit Order Book Stock Exchange with Autonomous Traders. (2025). Steinbacher, Matej. In: Papers. RePEc:arx:papers:2508.17837.

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2026Optimal Quoting under Adverse Selection and Price Reading. (2025). Barzykin, Alexander ; Gu, Olivier ; Bergault, Philippe ; Lemmel, Malo. In: Papers. RePEc:arx:papers:2508.20225.

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2025Competition and Incentives in a Shared Order Book. (2025). Ren'e A"id, ; Bergault, Philippe ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:2509.10094.

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2025Risk-Sensitive Option Market Making with Arbitrage-Free eSSVI Surfaces: A Constrained RL and Stochastic Control Bridge. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.04569.

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2026Toward Black Scholes for Prediction Markets: A Unified Kernel and Market Makers Handbook. (2025). Dalen, Shaw. In: Papers. RePEc:arx:papers:2510.15205.

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2025TEE-BFT: Pricing the Security of Data Center Execution Assurance. (2025). Zhou, Linfeng ; Shamis, Alex ; Stephenson, Matt. In: Papers. RePEc:arx:papers:2510.26091.

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2026ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book. (2025). Cheridito, Patrick ; Wu, Zhexin ; Dupret, Jean-Loup. In: Papers. RePEc:arx:papers:2511.02016.

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2025Limit Order Book Dynamics in Matching Markets: Microstructure, Spread, and Execution Slippage. (2025). Wu, Yao. In: Papers. RePEc:arx:papers:2511.20606.

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2025A Stochastic Thermodynamics Approach to Price Impact and Round-Trip Arbitrage: Theory and Empirical Implications. (2025). Jha, Amit Kumar. In: Papers. RePEc:arx:papers:2512.03123.

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2026Volatility time series modeling by single-qubit quantum circuit learning. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2512.10584.

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2026Optimal Signal Extraction from Order Flow: A Matched Filter Perspective on Normalization and Market Microstructure. (2026). Kang, Sungwoo. In: Papers. RePEc:arx:papers:2512.18648.

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2026Two-Step Regularized HARX to Measure Volatility Spillovers in Multi-Dimensional Systems. (2026). Mallory, Mindy L. In: Papers. RePEc:arx:papers:2601.03146.

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2026When the Rules Change: Adaptive Signal Extraction via Kalman Filtering and Markov-Switching Regimes. (2026). Kang, Sungwoo. In: Papers. RePEc:arx:papers:2601.05716.

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2026The Limits of Complexity: Why Feature Engineering Beats Deep Learning in Investor Flow Prediction. (2026). Kang, Sungwoo. In: Papers. RePEc:arx:papers:2601.07131.

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2026Warp speed price moves: Jumps after earnings announcements. (2026). Veliyev, Bezirgen ; Christensen, Kim ; Timmermann, Allan. In: Papers. RePEc:arx:papers:2601.08962.

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2026Quantitative Methods in Finance. (2026). Vansteenberghe, Eric. In: Papers. RePEc:arx:papers:2601.12896.

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2026Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models. (2026). Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2601.21447.

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2026Explainable Patterns in Cryptocurrency Microstructure. (2026). Ślepaczuk, Robert ; Bieganowski, Bartosz. In: Papers. RePEc:arx:papers:2602.00776.

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2026Do designated market makers provide liquidity during downward extreme price movements?. (2026). Bellia, Mario ; Reno, Roberto ; Pelizzon, Loriana ; Kolokolov, Aleksey ; Christensen, Kim. In: Papers. RePEc:arx:papers:2602.01817.

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2026Detecting and Explaining Unlawful Insider Trading: A Shapley Value and Causal Forest Approach to Identifying Key Drivers and Causal Relationships. (2026). Kinser, Jason ; Kennedy, William ; Axtell, Robert ; Griva, Igor ; Neupane, Krishna. In: Papers. RePEc:arx:papers:2602.19841.

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2026One Rising Ship Sinks Other Ships: Cross-Chain Negative Spillovers in Crypto Markets. (2026). Wen, Yonggang ; Bao, TE ; Ma, Mengzhong. In: Papers. RePEc:arx:papers:2602.23762.

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2026Local Gaussian copula inference with structural breaks: testing dependence predictability. (2026). Wied, Dominik ; Oka, Tatsushi ; Mayer, Alexander. In: Papers. RePEc:arx:papers:2603.01721.

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2026Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting. (2026). Luger, Richard ; Liu, Xiaochun. In: Papers. RePEc:arx:papers:2603.02357.

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2026The Anatomy of Polymarket: Evidence from the 2024 Presidential Election. (2026). Yang, Zichao ; Tsang, Kwok Ping. In: Papers. RePEc:arx:papers:2603.03136.

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2026Political Shocks and Price Discovery in Prediction Markets: Evidence from the 2024 U.S. Presidential Election. (2026). Yang, Zichao ; Tsang, Kwok Ping. In: Papers. RePEc:arx:papers:2603.03152.

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2026Statistical Inference for Score Decompositions. (2026). Puke, Marius ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2603.04275.

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2026AI Token Futures Market: Commoditization of Compute and Derivatives Contract Design. (2026). Xing, Yicai. In: Papers. RePEc:arx:papers:2603.21690.

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2026Shifting Correlations: How Trade Policy Uncertainty Alters stock-T bill Relationships. (2026). Lacava, Demetrio. In: Papers. RePEc:arx:papers:2603.25285.

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2026Reliability-Aware ETF Tail-Risk Monitoring. (2026). Zhong, Tenghan. In: Papers. RePEc:arx:papers:2604.08765.

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2026What Happens When Institutional Liquidity Enters Prediction Markets: Identification, Measurement, and a Synthetic Proof of Concept. (2026). Dalen, Shaw. In: Papers. RePEc:arx:papers:2604.10005.

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2026Early Detection of Latent Microstructure Regimes in Limit Order Books. (2026). Hiremath, Vruksha Arun. In: Papers. RePEc:arx:papers:2604.20949.

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2026Multiplicative Contractions, Additive Recoveries: Functional-Form Restrictions on Risk Exposure Dynamics. (2026). Chen, Liang. In: Papers. RePEc:arx:papers:2604.23315.

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2026ForesightFlow: An Information Leakage Score Framework for Prediction Markets. (2026). Nechepurenko, Maksym. In: Papers. RePEc:arx:papers:2605.00493.

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2026Funding-Aware Optimal Market Making for Perpetual DEXs. (2026). Le, Nam Anh. In: Papers. RePEc:arx:papers:2605.06405.

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

Works by Lawrence R Glosten:

YearTitleTypeCited
2005A Reconsideration of Tax Shield Valuation In: European Financial Management.
[Full Text][Citation analysis]		article46
2017High€ Frequency Trading and the New Stock Market: Sense And Nonsense In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article0
1987 Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices. In: Journal of Finance.
[Full Text][Citation analysis]		article132
1993 On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. In: Journal of Finance.
[Full Text][Citation analysis]		article4267
1994 Is the Electronic Open Limit Order Book Inevitable? In: Journal of Finance.
[Full Text][Citation analysis]		article480
2024Nonstandard Errors In: Journal of Finance.
[Full Text][Citation analysis]		article35
2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 35		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 35		paper
2019Tail expectation and imperfect competition in limit order book markets In: Journal of Economic Theory.
[Full Text][Citation analysis]		article9
1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders In: Journal of Financial Economics.
[Full Text][Citation analysis]		article2613
1988Estimating the components of the bid/ask spread In: Journal of Financial Economics.
[Full Text][Citation analysis]		article453
2021ETF Activity and Informational Efficiency of Underlying Securities In: Management Science.
[Full Text][Citation analysis]		article55
1989Insider Trading, Liquidity, and the Role of the Monopolist Specialist. In: The Journal of Business.
[Full Text][Citation analysis]		article190

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