Price Discovery in Auction Markets: A Look Inside the Black Box
By Ananth Madhavan, Venkatesh Panchapagesan. 2000
233 citations recorded by the source corpus.
Subfields: Accounting, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/d2cbdcf439444edf15ad1e71f1d4a64a495b4c91
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- Terrence Hendershott
- Michael J. Barclay
- Michael S. Pagano
- Karel Hrazdil
- Donald MacKenzie
- Robert A. Schwartz
- Dennis Chung
- Shmuel Baruch
In Finance
- Terrence Hendershott
- Michael J. Barclay
- Michael S. Pagano
- Karel Hrazdil
- Donald MacKenzie
- Robert A. Schwartz
- Dennis Chung
- Shmuel Baruch
In Management Science and Operations Research
- Terrence Hendershott
- Michael J. Barclay
- Donald MacKenzie
- Shmuel Baruch
- Tālis J. Putniņš
- Albert J. Menkveld
Citations in the corpus
- The Effects of Inflation News on High Frequency Stock Returns (2004, unknown): “Madhavan and Panchapagesan (2000) report that, over all stock days, 17.”
- A Closing Call's Impact on Market Quality at Euronext Paris (2003, background): “In addition, Stoll (2000), Schultz (2000), Lesmond, Ogden, and Trzcinka (1999), Chordia and Swaminathan (2000), and Madhavan and Panchapagesan (2000) shed light on the impact of a market’s microstructure on liquidity and informational efficiency by proposing new statistical measures and performing…”
- Who Benefits from an Open Limit-Order Book? (2005, background): “x(v;N) maximizes (10) for each realization v of ~ v.”
- Opening the black boxes of global finance (2005, background): “Market microstructure theory is another form of ‘black box opening’ (see Madhavan and Panchapagesan, 2000).”
- Liquidity and Market Efficiency: A Large Sample Study (2010, background): “The process of price formation has been described as a ‘‘black box” (e.g. Madhavan and Panchapagesan, 2000) and examining this topic is important because it is fundamental to understanding how economies work to allocate goods and services (O’Hara, 1997).”
- Price Discovery and Trading After Hours (2003, background): “For example, Stoll and Whaley (1990) and Madhavan and Panchapagasen (2000) study how the specialist affects the opening on the New York Stock Exchange (NYSE); Davies (2000) analyzes the impact of preopen orders submitted by registered traders on the Toronto Stock Exchange; Biais, Hillion, and Spat”