Most cited documents in this series:

Year	Title	Cited
2002	Illiquidity and stock returns: cross-section and time-series effects RePEc:eee:finmar:v:5:y:2002:i:1:p:31-56 [Citation Analysis]	111
2000	Market microstructure: A survey RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258 [Citation Analysis]	79
1999	Order flow composition and trading costs in a dynamic limit order market1 RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134 [Citation Analysis]	55
1998	Aggressiveness and survival of overconfident traders RePEc:eee:finmar:v:1:y:1998:i:3-4:p:353-383 [Citation Analysis]	33
1998	Optimal control of execution costs RePEc:eee:finmar:v:1:y:1998:i:1:p:1-50 [Citation Analysis]	32
2004	Order aggressiveness in limit order book markets RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74 [Citation Analysis]	30
1998	Liquidity and stock returns: An alternative test RePEc:eee:finmar:v:1:y:1998:i:2:p:203-219 [Citation Analysis]	30
2005	Market microstructure: A survey of microfoundations, empirical results, and policy implications RePEc:eee:finmar:v:8:y:2005:i:2:p:217-264 [Citation Analysis]	25
2000	Inferring investor behavior: Evidence from TORQ data RePEc:eee:finmar:v:3:y:2000:i:2:p:83-111 [Citation Analysis]	24
2004	Impacts of trades in an error-correction model of quote prices RePEc:eee:finmar:v:7:y:2004:i:1:p:1-25 [Citation Analysis]	24
2001	On the survival of overconfident traders in a competitive securities market RePEc:eee:finmar:v:4:y:2001:i:1:p:73-84 [Citation Analysis]	23
2002	Price discovery and common factor models RePEc:eee:finmar:v:5:y:2002:i:3:p:309-321 [Citation Analysis]	21
2005	Should securities markets be transparent? RePEc:eee:finmar:v:8:y:2005:i:3:p:265-287 [Citation Analysis]	18
2004	Market liquidity as a sentiment indicator RePEc:eee:finmar:v:7:y:2004:i:3:p:271-299 [Citation Analysis]	17
2000	On the occurrence and consequences of inaccurate trade classification RePEc:eee:finmar:v:3:y:2000:i:3:p:259-286 [Citation Analysis]	16
1999	Intra-day market activity RePEc:eee:finmar:v:2:y:1999:i:3:p:193-226 [Citation Analysis]	15
2002	Security price adjustment across exchanges: an investigation of common factor components for Dow stocks RePEc:eee:finmar:v:5:y:2002:i:3:p:277-308 [Citation Analysis]	15
2002	Some desiderata for the measurement of price discovery across markets RePEc:eee:finmar:v:5:y:2002:i:3:p:259-276 [Citation Analysis]	15
1999	Reputation and performance fee effects on portfolio choice by investment advisers1 RePEc:eee:finmar:v:2:y:1999:i:3:p:227-271 [Citation Analysis]	14
2007	Measuring the resiliency of an electronic limit order book RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25 [Citation Analysis]	12
2002	Market architecture: limit-order books versus dealership markets RePEc:eee:finmar:v:5:y:2002:i:2:p:127-167 [Citation Analysis]	11
2003	Quote setting and price formation in an order driven market RePEc:eee:finmar:v:6:y:2003:i:4:p:461-489 [Citation Analysis]	11
1999	Market depth and order size1 RePEc:eee:finmar:v:2:y:1999:i:1:p:29-48 [Citation Analysis]	10
2000	Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets RePEc:eee:finmar:v:3:y:2000:i:4:p:333-363 [Citation Analysis]	10
2003	Issues in assessing trade execution costs RePEc:eee:finmar:v:6:y:2003:i:3:p:233-257 [Citation Analysis]	10
1999	The organization of financial exchange markets: Theory and evidence RePEc:eee:finmar:v:2:y:1999:i:4:p:329-357 [Citation Analysis]	10
2003	Intra-industry momentum: the case of REITs RePEc:eee:finmar:v:6:y:2003:i:3:p:363-387 [Citation Analysis]	10
1998	Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities RePEc:eee:finmar:v:1:y:1998:i:1:p:51-87 [Citation Analysis]	9
2005	Duration, volume and volatility impact of trades RePEc:eee:finmar:v:8:y:2005:i:4:p:377-399 [Citation Analysis]	9
2002	Stalking the efficient price in market microstructure specifications: an overview RePEc:eee:finmar:v:5:y:2002:i:3:p:329-339 [Citation Analysis]	9
1998	Financial analysts and information-based trade RePEc:eee:finmar:v:1:y:1998:i:2:p:175-201 [Citation Analysis]	9
2003	Traders choice between limit and market orders: evidence from NYSE stocks RePEc:eee:finmar:v:6:y:2003:i:4:p:517-538 [Citation Analysis]	8
2005	International momentum strategies: a stochastic dominance approach RePEc:eee:finmar:v:8:y:2005:i:1:p:89-109 [Citation Analysis]	8
2001	Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets RePEc:eee:finmar:v:4:y:2001:i:4:p:385-412 [Citation Analysis]	8
2002	Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York RePEc:eee:finmar:v:5:y:2002:i:1:p:57-82 [Citation Analysis]	8
2008	Melting pot or salad bowl: Some evidence from U.S. investments abroad RePEc:eee:finmar:v:11:y:2008:i:3:p:228-258 [Citation Analysis]	8
2004	Expandable limit order markets RePEc:eee:finmar:v:7:y:2004:i:2:p:145-185 [Citation Analysis]	8
2006	On the importance of timing specifications in market microstructure research RePEc:eee:finmar:v:9:y:2006:i:2:p:162-179 [Citation Analysis]	7
2006	Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market RePEc:eee:finmar:v:9:y:2006:i:4:p:408-432 [Citation Analysis]	7
1998	Long-lived information and intraday patterns RePEc:eee:finmar:v:1:y:1998:i:3-4:p:385-402 [Citation Analysis]	7
2002	The impact of the Federal Reserve Banks open market operations RePEc:eee:finmar:v:5:y:2002:i:2:p:223-257 [Citation Analysis]	7
2004	Trading strategies during circuit breakers and extreme market movements RePEc:eee:finmar:v:7:y:2004:i:3:p:301-333 [Citation Analysis]	7
1999	The alpha factor asset pricing model: A parable RePEc:eee:finmar:v:2:y:1999:i:1:p:49-68 [Citation Analysis]	7
1998	Strategic trading, asymmetric information and heterogeneous prior beliefs RePEc:eee:finmar:v:1:y:1998:i:3-4:p:321-352 [Citation Analysis]	6
2001	A new historical database for the NYSE 1815 to 1925: Performance and predictability RePEc:eee:finmar:v:4:y:2001:i:1:p:1-32 [Citation Analysis]	6
2000	The capital asset pricing model and the liquidity effect: A theoretical approach RePEc:eee:finmar:v:3:y:2000:i:1:p:69-81 [Citation Analysis]	6
2009	Technology and liquidity provision: The blurring of traditional definitions RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172 [Citation Analysis]	6
2000	Stock returns and trading at the close RePEc:eee:finmar:v:3:y:2000:i:1:p:45-67 [Citation Analysis]	6
2000	The determinants of trading volume of high-yield corporate bonds RePEc:eee:finmar:v:3:y:2000:i:2:p:177-204 [Citation Analysis]	6
2007	Modelling the buy and sell intensity in a limit order book market RePEc:eee:finmar:v:10:y:2007:i:3:p:249-286 [Citation Analysis]	6

Citing documents used to compute impact factor 9:

Year	Title	See
2010	Ordres contradictoires et coordination destructive : Le malaise iranien RePEc:hal:journl:hal-00629134	[Citation Analysis]
2010	Borrowing Constraint and the Effect of Option Introduction RePEc:pra:mprapa:26440	[Citation Analysis]
2010	Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets RePEc:hkm:wpaper:022010	[Citation Analysis]
2010	A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns RePEc:pra:mprapa:20636	[Citation Analysis]
2010	The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions RePEc:imf:imfwpa:10/153	[Citation Analysis]
2010	Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes RePEc:pra:mprapa:34185	[Citation Analysis]
2010	The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market RePEc:hal:journl:halshs-00458991	[Citation Analysis]
2010	The hub continent? Immigrant networks, emigrant diasporas and FDI RePEc:mod:depeco:0628	[Citation Analysis]
2010	The hub continent? Immigrant networks, emigrant diasporas and FDI RePEc:mod:recent:048	[Citation Analysis]

Cites in year: CiY