Citation analysis for Journal of Financial Markets / Elsevier

Journal of Financial Markets / Elsevier

1.15

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		0.09			0	1			0		0		(%)			0.04
1992		0.09			0				0		0		(%)			0.04
1993		0.1			0				0		0		(%)			0.05
1994		0.11			0				0		0		(%)			0.05
1995		0.2			0				0		0		(%)			0.07
1996		0.23			0				0		0		(%)			0.09
1997		0.27			0				0		0		(%)			0.09
1998		0.29		13	13	5	0.38	591	0		0		32 (5.4%)	4	0.31	0.1
1999	0.54	0.32	0.54	16	29	14	0.48	390	13	7	13	7	24 (6.2%)	7	0.44	0.13
2000	0.69	0.4	0.69	15	44	34	0.77	574	29	20	29	20	32 (5.6%)	8	0.53	0.15
2001	1	0.4	1.18	15	59	58	0.98	213	31	31	44	52	14 (6.6%)	3	0.2	0.15
2002	1.03	0.42	1.02	19	78	83	1.06	1469	30	31	59	60	62 (4.2%)	8	0.42	0.18
2003	0.79	0.44	1.29	22	100	128	1.28	331	34	27	78	101	34 (10.3%)	7	0.32	0.19
2004	0.83	0.49	1.07	17	117	151	1.29	480	41	34	87	93	29 (6%)	21	1.24	0.2
2005	1.15	0.53	1.39	16	133	203	1.53	434	39	45	88	122	24 (5.5%)	7	0.44	0.21
2006	1.24	0.51	1.31	18	151	226	1.5	250	33	41	89	117	21 (8.4%)	4	0.22	0.2
2007	0.79	0.45	1.24	15	166	238	1.43	357	34	27	92	114	16 (4.5%)	7	0.47	0.18
2008	0.88	0.48	1.22	17	183	306	1.67	167	33	29	88	107	12 (7.2%)	2	0.12	0.2
2009	1.19	0.47	1.65	32	215	401	1.87	433	32	38	83	137	27 (6.2%)	14	0.44	0.19
2010	0.86	0.45	1.14	20	235	410	1.74	247	49	42	98	112	15 (6.1%)	12	0.6	0.16
2011	1.06	0.52	1.29	23	258	486	1.88	227	52	55	102	132	14 (6.2%)	7	0.3	0.2
2012	0.86	0.55	1.21	12	270	522	1.93	47	43	37	107	129	5 (10.6%)	3	0.25	0.2
2013	1.2	0.62	1.63	27	297	745	2.51	271	35	42	104	169	17 (6.3%)	26	0.96	0.22
2014	1.31	0.64	1.9	46	343	857	2.5	151	39	51	114	217	8 (5.3%)	16	0.35	0.21
2015	1.34	0.69	1.53	21	364	833	2.29	53	73	98	128	196	1 (1.9%)	6	0.29	0.22
2016	1.15	0.85	1.45	29	393	813	2.07	28	67	77	129	187	1 (3.6%)	7	0.24	0.26

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	1138
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	248
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	186
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	175
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	151
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	144
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	128
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	123
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	110
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	93
11	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	83
12	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	81
13	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	80
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	74
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	72
16	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	72
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	70
18	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	68
19	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	66
20	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	62
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	58
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	58
23	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	57
24	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	56
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	56
26	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	53
27	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	51
28	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	51
29	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	48
30	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	48
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	46
32	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	46
33	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	44
34	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	42
35	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
36	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	39
37	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	39
38	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	39
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	38
40	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	38
41	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	37
42	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	37
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	37
44	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	37
45	2007	Modelling the buy and sell intensity in a limit order book market. (2007). Hall, Anthony ; Hautsch, Nikolaus. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:3:p:249-286. Full description at Econpapers \|\| Download paper	36
46	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	36
47	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	34
48	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	34
49	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	33
50	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	33

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	452
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	61
3	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	56
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	55
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	48
6	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	40
7	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	39
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	39
9	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	34
10	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
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	25
12	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	24
13	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	24
14	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	23
15	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	22
16	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	21
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	20
18	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	20
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	20
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	20
21	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	19
22	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	19
23	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	19
24	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	18
25	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	18
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	17
27	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	16
28	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	15
29	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	14
30	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
31	2009	Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977). (2009). Danielsen, Bartley R. ; Sorescu, Sorin M. ; Boehme, Rodney D. ; Kumar, Praveen . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:3:p:438-468. Full description at Econpapers \|\| Download paper	13
32	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	13
33	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	13
34	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	13
35	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	12
36	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	12
37	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	12
38	2014	Informational linkages between dark and lit trading venues. (2014). Ray, Sugata ; Nimalendran, Mahendrarajah . In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:230-261. Full description at Econpapers \|\| Download paper	12
39	2011	Patriotism in your portfolio. (2011). Morse, Adair ; Shive, Sophie . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:2:p:411-440. Full description at Econpapers \|\| Download paper	12
40	2007	Modelling the buy and sell intensity in a limit order book market. (2007). Hall, Anthony ; Hautsch, Nikolaus. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:3:p:249-286. Full description at Econpapers \|\| Download paper	11
41	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	11
42	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	11
43	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	11
44	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	11
45	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	11
46	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	10
47	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	10
48	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	10
49	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	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	10

Citing documents used to compute impact factor 77:

Year	Title
2016	Pairs trading with partial cointegration. (2016). Clegg, Matthew ; Krauss, Christopher . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:052016. Full description at Econpapers \|\| Download paper
2016	The effects of asymmetric volatility and jumps on the pricing of VIX derivatives. (2016). Park, Yang-Ho . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:313-328. Full description at Econpapers \|\| Download paper
2016	Functional Principal Component Analysis for Derivatives of Multivariate Curves. (2016). HÃÂ¤rdle, Wolfgang ; Grith, Maria ; Wagner, Heiko ; Kneip, Alois ; Hardle, Wolfgang K. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-033. Full description at Econpapers \|\| Download paper
2016	Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods. (2016). Witzany, JiÅÃ ; Ficura, Milan . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:4:p:278-301. Full description at Econpapers \|\| Download paper
2016	Correlation between agricultural markets in dynamic perspectiveâEvidence from China and the US futures markets. (2016). Li, Sai-Ping ; Tu, Jing-Qing ; Wang, Dong-Hua ; Jia, Rui-Lin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:464:y:2016:i:c:p:83-92. Full description at Econpapers \|\| Download paper
2016	Investor Sentiment and Sector Returns. (2016). Sherif, MO ; Salhin, Ahmed ; Jones, Edward . In: CFI Discussion Papers. RePEc:hwe:cfidps:1602. Full description at Econpapers \|\| Download paper
2016	Spoilt for choice: Order routing decisions in fragmented equity markets. (2016). Theissen, Erik ; Sagade, Satchit ; Weber, Moritz Christian ; Gomber, Peter ; Westheide, Christian . In: SAFE Working Paper Series. RePEc:zbw:safewp:143. Full description at Econpapers \|\| Download paper
2016	Spoilt for choice: Order routing decisions in fragmented equity markets. (2016). Theissen, Erik ; Gomber, Peter ; Westheide, Christian ; Weber, Moritz Christian ; Sagade, Satchit . In: CFR Working Papers. RePEc:zbw:cfrwps:1604. Full description at Econpapers \|\| Download paper
2016	The evolving dynamics of the Australian SPI 200 implied volatility surface. (2016). Dempsey, Michael ; Tanha, Hassan . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:44-57. Full description at Econpapers \|\| Download paper
2016	Dealer Trading at the Fix. (2016). Osler, Carol . In: Working Papers. RePEc:brd:wpaper:101. Full description at Econpapers \|\| Download paper
2016	. Full description at Econpapers \|\| Download paper
2016	Puzzles in the Forex Tokyo âFixingâ: Order Imbalances and Biased Pricing by Banks. (2016). Ito, Takatoshi ; Yamada, Masahiro . In: NBER Working Papers. RePEc:nbr:nberwo:22820. Full description at Econpapers \|\| Download paper
2016	Downsized FX markets: causes and implications. (2016). Sushko, Vladyslav ; Schrimpf, Andreas ; Moore, Michael. In: BIS Quarterly Review. RePEc:bis:bisqtr:1612e. Full description at Econpapers \|\| Download paper
2016	An unbiased computation methodology for estimating the probability of informed trading (PIN). (2016). Alici, Asli ; Ersan, Oguz . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:74-94. Full description at Econpapers \|\| Download paper
2016	Diversification and Corporate Performance: Evidence from Chinaâs Listed Energy Companies. (2016). Cheng, KE ; Li, Qiming ; Yang, Xiaoguang ; Wang, Wenhuan ; Lou, Yiping . In: Sustainability. RePEc:gam:jsusta:v:8:y:2016:i:10:p:983-:d:79380. Full description at Econpapers \|\| Download paper
2016	Changing Times for Frontier Markets; A Perspective from Portfolio Investment Flows and Financial Integration. (2016). Abidi, Nordine ; Nkusu, Mwanza ; Hacibedel, Burcu . In: IMF Working Papers. RePEc:imf:imfwpa:16/177. Full description at Econpapers \|\| Download paper
2016	Discerning information from trade data. (2016). Easley, David ; O'Hara, Maureen ; de Prado, Marcos Lopez . In: Journal of Financial Economics. RePEc:eee:jfinec:v:120:y:2016:i:2:p:269-285. Full description at Econpapers \|\| Download paper
2016	Can information be locked up? Informed trading ahead of macro-news announcements. (2016). Tang, Yuehua ; Hu, Jianfeng ; Bernile, Gennaro . In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:3:p:496-520. Full description at Econpapers \|\| Download paper
2016	Information Content of Trading Activity in Precious Metals Futures Markets. (2016). Pradkhan, Elina . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:5:p:421-456. Full description at Econpapers \|\| Download paper
2016	Daily short covering activity and the weekend effect: Evidence from Taiwan. (2016). Zhao, Yan ; Cheng, Lee-Young ; Yan, Zhipeng . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:36:y:2016:i:c:p:166-184. Full description at Econpapers \|\| Download paper
2016	A dynamic panel analysis of HKEx shorting banâs impact on the relationship between disagreement and future returns. (2016). Ikeda, Shin ; Zhang, Yan . In: Finance Research Letters. RePEc:eee:finlet:v:17:y:2016:i:c:p:10-16. Full description at Econpapers \|\| Download paper
2016	Truth and Robustness in Cross-country Law and Finance Regressions: A Bayesian analysis of the Empirical Ã¢â¬ÅLaw MattersÃ¢â¬ Thesis. (2016). Xu, Guangdong . In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:6:y:2016:i:6:f:6_6_6. Full description at Econpapers \|\| Download paper
2016	Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan. (2016). Qayyum, Abdul ; Shah, Sadia Naqi . In: MPRA Paper. RePEc:pra:mprapa:68783. Full description at Econpapers \|\| Download paper
2016	A new approach to risk-return trade-off dynamics via decomposition. (2016). Liu, Xiaochun ; Frazier, David T. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:62:y:2016:i:c:p:43-55. Full description at Econpapers \|\| Download paper
2016	Intraday jumps and trading volume: a nonlinear Tobit specification. (2016). JAWADI, Fredj ; Cheffou, Abdoulkarim Idi ; Randrianarivony, Rivo ; Louhichi, Wael . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:47:y:2016:i:4:d:10.1007_s11156-015-0534-0. Full description at Econpapers \|\| Download paper
2016	Volume, Volatility and Public News Announcements. (2016). Li, Jia ; Xue, Yuan . In: CREATES Research Papers. RePEc:aah:create:2016-19. Full description at Econpapers \|\| Download paper
2016	Jumps and Information Asymmetry in the US Treasury Market. (2016). Urga, Giovanni ; DUMITRU, ANA-MARIA. In: EconStor Preprints. RePEc:zbw:esprep:130148. Full description at Econpapers \|\| Download paper
2016	On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios. (2016). PETITJEAN, Mikael ; Mazza, Paolo . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:67-81. Full description at Econpapers \|\| Download paper
2016	Asymmetric information, volatility components and the volumeâvolatility relationship for the CAC40 stocks. (2016). Slim, Skander ; Dahmene, Meriam . In: Global Finance Journal. RePEc:eee:glofin:v:29:y:2016:i:c:p:70-84. Full description at Econpapers \|\| Download paper
2016	The international transmission of risk: Causal relations among developed and emerging countriesâ term premia. (2016). Moreno GutiÃÂ©rrez, JosÃÂ© ; Moreno GutiÃÂÃÂ©rrez, JosÃÂ© ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Espinosa Torres, Juan ; Moreno-Gutierrez, Jose Fernando ; Espinosa-Torres, Juan Andres ; Moreno Gutiérrez, José. In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:646-654. Full description at Econpapers \|\| Download paper
2016	Optimal allocation of government bond funds through the business cycle. Is money smart?. (2016). Laborda, Ricardo ; Muoz, Fernando . In: International Review of Economics & Finance. RePEc:eee:reveco:v:45:y:2016:i:c:p:46-67. Full description at Econpapers \|\| Download paper
2016	Do bond credit ratings lead to excess comovement. (2016). Raffestin, Louis. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2481. Full description at Econpapers \|\| Download paper
2016	Voluntary disclosure of corporate venture capital investments. (2016). Mohamed, Abdulkadir ; Schwienbacher, Armin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:69-83. Full description at Econpapers \|\| Download paper
2016	Liquidity, style investing and excess comovement of exchange-traded fund returns. (2016). Broman, Markus S. In: Journal of Financial Markets. RePEc:eee:finmar:v:30:y:2016:i:c:p:27-53. Full description at Econpapers \|\| Download paper
2016	Price clustering and the stability of stock prices. (2016). Blau, Benjamin ; Griffith, Todd G. In: Journal of Business Research. RePEc:eee:jbrese:v:69:y:2016:i:10:p:3933-3942. Full description at Econpapers \|\| Download paper
2016	International stock market liquidity: a review. (2016). Marshall, Ben R ; Anderson, Hamish D. In: Managerial Finance. RePEc:eme:mfipps:v:42:y:2016:i:2:p:118-135. Full description at Econpapers \|\| Download paper
2016	Liquidity, liquidity risk, and information flow: Lessons from an emerging market. (2016). Ftiti, Zied ; Tissaoui, Kais . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:28-48. Full description at Econpapers \|\| Download paper
2016	Does institutional ownership increase stock return volatility? Evidence from Vietnam. (2016). Vo, Xuan Vinh. In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:54-61. Full description at Econpapers \|\| Download paper
2016	Latency reduction and market quality: The case of the Australian Stock Exchange. (2016). Murray, Hamish ; Singh, Harminder ; Pham, Thu Phuong. In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:257-265. Full description at Econpapers \|\| Download paper
2016	A note on the relationship between high-frequency trading and latency arbitrage. (2016). Manahov, Viktor . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:281-296. Full description at Econpapers \|\| Download paper
2016	Dissecting the bond profitability premium. (2016). Campbell, Colin T ; Petkevich, Alex ; Chichernea, Doina C. In: Journal of Financial Markets. RePEc:eee:finmar:v:27:y:2016:i:c:p:102-131. Full description at Econpapers \|\| Download paper
2016	Nonparametric long term prediction of stock returns with generated bond yields. (2016). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:82-96. Full description at Econpapers \|\| Download paper
2016	On the determinants of expected corporate bond returns in Tunisia. (2016). Hammami, Yacine ; Bahri, Maha . In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:224-235. Full description at Econpapers \|\| Download paper
2016	Assessing the information content of short-selling metrics using daily disclosures. (2016). Comerton-Forde, Carole ; Manton, Tom ; Gray, Philip. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:64:y:2016:i:c:p:188-204. Full description at Econpapers \|\| Download paper
2016	Short interest and aggregate stock returns. (2016). Zhou, Guofu ; Ringgenberg, Matthew ; Rapach, David E. In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:1:p:46-65. Full description at Econpapers \|\| Download paper
2016	IPOs and SEOs, real investments, and market timing: Emerging market evidence. (2016). Goyal, Abhinav ; Reddy, Nagi V ; Mohamed, Abdulkadir ; Wadhwa, Kavita . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:45:y:2016:i:c:p:21-41. Full description at Econpapers \|\| Download paper
2016	Does the simple microstructure model tell the time of the FX intervention? A one day analysis of the Japanese FX intervention. (2016). Kitamura, Yoshihiro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:436-446. Full description at Econpapers \|\| Download paper
2016	Tick test accuracy in foreign exchange ECN markets. (2016). ben Omrane, Walid ; Welch, Robert . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:135-152. Full description at Econpapers \|\| Download paper
2016	Profitability and Market Quality of High Frequency Market-makers: An Empirical Investigation. (2016). Yergeau, Gabriel. In: Working Papers. RePEc:ris:crcrmw:2016_003. Full description at Econpapers \|\| Download paper
2016	Industry Familiarity and Trading: Evidence from the Personal Portfolios of Industry Insiders. (2016). Ben-David, Itzhak ; Rossi, Andrea ; Birru, Justin . In: NBER Working Papers. RePEc:nbr:nberwo:22115. Full description at Econpapers \|\| Download paper
2016	Is there information leakage prior to share repurchase announcements? Evidence from daily options trading. (2016). Hao, Qing . In: Journal of Financial Markets. RePEc:eee:finmar:v:27:y:2016:i:c:p:79-101. Full description at Econpapers \|\| Download paper
2016	Dual ownership, returns, and voting in mergers. (2016). Bodnaruk, Andriy ; Rossi, Marco . In: Journal of Financial Economics. RePEc:eee:jfinec:v:120:y:2016:i:1:p:58-80. Full description at Econpapers \|\| Download paper
2016	The bond event study methodology since 1974. (2016). Maul, D ; Schiereck, D. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:80723. Full description at Econpapers \|\| Download paper
2016	How do insiders trade?. (2016). Augustin, Patrick ; Subrahmanyam, Marti G ; Grass, Gunnar ; Brenner, Menachem . In: CFS Working Paper Series. RePEc:zbw:cfswop:541. Full description at Econpapers \|\| Download paper
2016	Are chartists artists? The determinants and profitability of recommendations based on technical analysis. (2016). Gerritsen, Dirk. In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:179-196. Full description at Econpapers \|\| Download paper
2016	The role of speculation in international futures markets on commodity prices. (2016). Fam, Papa Gueye . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:49-65. Full description at Econpapers \|\| Download paper
2016	The impact of speculation on commodity futures markets â A review of the findings of 100 empirical studies. (2016). Zimmermann, Heinz ; Haase, Marco . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:3:y:2016:i:1:p:1-15. Full description at Econpapers \|\| Download paper
2016	Hedging, arbitrage and the financialization of commodities markets. (2016). tropeano, domenica. In: Working Papers. RePEc:mcr:wpdief:wpaper00082. Full description at Econpapers \|\| Download paper
2016	Beating the market: Can evolutionary-based portfolio optimisation outperform the Talmudic diversification strategy?. (2016). , Sardar ; Nor, Safwan Mohd . In: International Journal of Monetary Economics and Finance. RePEc:ids:ijmefi:v:9:y:2016:i:1:p:90-99. Full description at Econpapers \|\| Download paper
2016	When did the stock market start to react less to downgrades by Moodyâs, S&P and Fitch?. (2016). Marandola, G ; Mossucca, R. In: Working Papers. RePEc:bol:bodewp:wp1066. Full description at Econpapers \|\| Download paper
2016	Individual stock crowded trades, individual stock investor sentiment and excess returns. (2016). Yang, Chunpeng ; Zhou, Liyun . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:38:y:2016:i:c:p:39-53. Full description at Econpapers \|\| Download paper
2016	Insider sales in IPOs: Consequences of liquidity needs. (2016). Chua, Ansley ; Nasser, Tareque . In: Journal of Corporate Finance. RePEc:eee:corfin:v:39:y:2016:i:c:p:1-17. Full description at Econpapers \|\| Download paper
2016	Are retail traders compensated for providing liquidity?. (2016). Sraer, David ; Kaniel, Ron ; Barrot, Jean-Noel . In: Journal of Financial Economics. RePEc:eee:jfinec:v:120:y:2016:i:1:p:146-168. Full description at Econpapers \|\| Download paper
2016	What do retail FX traders learn?. (2016). Marsh, Ian ; Hayley, Simon . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:64:y:2016:i:c:p:16-38. Full description at Econpapers \|\| Download paper
2016	Short-selling with a short wait: Trade- and account-level analyses in Korean stock market. (2016). Lee, Kuan-Hui ; Wang, Shu-Feng . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:38:y:2016:i:c:p:209-222. Full description at Econpapers \|\| Download paper
2016	Benefits from social trading? Empirical evidence for certificates on wikifolios. (2016). Wendt, Stefan ; Horn, Matthias ; Oehler, Andreas . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:202-210. Full description at Econpapers \|\| Download paper
2016	Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. (2016). LINTON, OLIVER ; Chen, Xiaohong ; Schneeberger, Stefan . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1620. Full description at Econpapers \|\| Download paper
2016	Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. (2016). LINTON, OLIVER ; Chen, Xiaohong ; Yi, Yanping ; Schneeberger, Stefan . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2033. Full description at Econpapers \|\| Download paper
2016	Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. (2016). LINTON, OLIVER ; Chen, Xiaohong ; Yi, Yanping ; Schneeberger, Stefan . In: CeMMAP working papers. RePEc:ifs:cemmap:12/16. Full description at Econpapers \|\| Download paper
2016	A PIN per day shows what news convey: the intraday probability of informed trading. (2016). Aitken, Michael ; Wiegand, Ingo ; Poppe, Thomas ; Schiereck, Dirk . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:47:y:2016:i:4:d:10.1007_s11156-015-0535-z. Full description at Econpapers \|\| Download paper
2016	Investor Sentiment and ETF Liquidity - Evidence from Asia Markets. (2016). Lee, Wo-Chiang ; Tseng, Yung-Ching . In: Advances in Management and Applied Economics. RePEc:spt:admaec:v:6:y:2016:i:1:f:6_1_5. Full description at Econpapers \|\| Download paper
2016	Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market. (2016). Lee, Hsiu-Chuan ; Liao, Tzu-Hsiang ; Chen, Chen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:35:y:2016:i:c:p:203-225. Full description at Econpapers \|\| Download paper
2016	An unbiased computation methodology for estimating the probability of informed trading (PIN). (2016). Alici, Asli ; Ersan, Oguz . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:74-94. Full description at Econpapers \|\| Download paper
2016	Spoilt for choice: Order routing decisions in fragmented equity markets. (2016). Theissen, Erik ; Sagade, Satchit ; Weber, Moritz Christian ; Gomber, Peter ; Westheide, Christian . In: SAFE Working Paper Series. RePEc:zbw:safewp:143. Full description at Econpapers \|\| Download paper
2016	Spoilt for choice: Order routing decisions in fragmented equity markets. (2016). Theissen, Erik ; Gomber, Peter ; Westheide, Christian ; Weber, Moritz Christian ; Sagade, Satchit . In: CFR Working Papers. RePEc:zbw:cfrwps:1604. Full description at Econpapers \|\| Download paper
2016	Understanding the Impacts of Dark Pools on Price Discovery. (2016). Ye, Linlin . In: Papers. RePEc:arx:papers:1612.08486. Full description at Econpapers \|\| Download paper
2016	Should we be afraid of the dark? Dark trading and market quality. (2016). Putnins, Talis ; Foley, Sean . In: Journal of Financial Economics. RePEc:eee:jfinec:v:122:y:2016:i:3:p:456-481. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

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	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). 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	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). 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

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
2013	Competition/fragmentation in equities markets: A literature survey. (2013). Theissen, Erik ; Westheide, Christian ; Sagade, Satchit ; Gomber, Peter ; Weber, Moritz Christian . In: SAFE Working Paper Series. RePEc:zbw:safewp:35. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Journal of Banking & Finance / Elsevier	111
2	Journal of Financial Markets / Elsevier	77
3	Journal of Financial Economics / Elsevier	57
4	MPRA Paper / University Library of Munich, Germany	49
5	International Review of Financial Analysis / Elsevier	48
6	Pacific-Basin Finance Journal / Elsevier	47
7	Journal of International Financial Markets, Institutions and Money / Elsevier	38
8	International Review of Economics & Finance / Elsevier	37
9	Papers / arXiv.org	35
10	Journal of Empirical Finance / Elsevier	33
11	Research in International Business and Finance / Elsevier	29

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.