Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications

By Bruno Biais, Lawrence R. Glosten, Chester Spatt. 2005

132 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/6f3854204ac18a4a2dd314b313aa1ddeb4043611

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Marius Zoican
2. Albert J. Menkveld
3. Adrienne G. Gonzalo

In Finance

1. Marius Zoican
2. Albert J. Menkveld
3. Adrienne G. Gonzalo

In Management Science and Operations Research

1. Albert J. Menkveld

Citations in the corpus

• Need for Speed? Exchange Latency and Liquidity (2016, result): “The finding that the spread increases with news size, news arrival intensity, HFT risk aversion, and decreases with the arrival intensity of liquidity traders is in line with classic microstructure models (see, e.g., O’Hara, 1995; Biais, Glosten, and Spatt, 2005; Foucault, Pagano, and Roell, 2013).”