Lawrence R. Glosten

1993–2005

A researcher in the Science corpus: 2 papers; trusts 0 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Who trusts Lawrence R. Glosten overall

1. Robert F. Engle
2. Michael Mcaleer
3. Timo Teräsvirta
4. Andrew J. Patton
5. Turan G. Bali
6. Sébastien-Yves Laurent
7. Cristina Amado
8. Luc Bauwens
9. Juan Carlos Reboredo
10. Cathy W. S. Chen

Papers from Lawrence R. Glosten's perspective

Ordered by how strongly the researchers Lawrence R. Glosten trusts endorse each paper. Same corpus, a different order for every researcher.

1. Sixteenths: Direct Evidence on Institutional Execution Costs
2. Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market
3. Can transparent markets survive
4. Order Flow and Exchange Rate Dynamics in Brazil
5. Trade Execution Costs and Market Quality after Decimalization (Journal of Financial and Quantitative Analysis)
6. Illiquidity and Stock Returns: Cross-Section and Time-Series Effects
7. LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OF
8. Generalized autoregressive conditional heteroskedasticity
9. The jump-risk premia implicit in options: evidence from an integrated time-series study $
10. The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis

Their papers

• Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications (2005) — 132 citations
• On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)