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High‐frequency trading and the new stock market : sense and nonsense

Fox, Merritt B.; Glosten, Lawrence R.; Rauterberg, … - In: Journal of applied corporate finance : JACF 29 (2017) 4, pp. 30-44

Persistent link: https://www.econbiz.de/10011850088

Is the electronic open limit order book inevitable?

Glosten, Lawrence R. - In: The journal of finance : the journal of the American … 49 (1994) 4, pp. 1127-1161

Persistent link: https://www.econbiz.de/10001171970

Components of the bid-ask spread and the statistical properties of transaction prices

Glosten, Lawrence R. - In: The journal of finance : the journal of the American … 42 (1987) 5, pp. 1293-1307

Persistent link: https://www.econbiz.de/10001055472

A "trade out of equilibrium" model of the stock market, I: traditional behavior

Glosten, Lawrence R. - 1978

Persistent link: https://www.econbiz.de/10000816612

Equilibrium in an electronic open limit order book

Glosten, Lawrence R. - 1992

Persistent link: https://www.econbiz.de/10000864664

On the relation between the expected value and the volatility of the nominal excess return on stocks

Glosten, Lawrence R.; Jagannathan, Ravi; Runkle, David E. - 1993

Persistent link: https://www.econbiz.de/10000870606

Estimating the components of the bid ask spread

Glosten, Lawrence R. - In: Journal of financial economics 1 (1988), pp. 123-142

Persistent link: https://www.econbiz.de/10001051354

On the relation between the expected value and the volatility of the nominal excess return on stocks

Glosten, Lawrence R.; Jagannathan, Ravi; Runkle, David E. - 1993 - rev

Persistent link: https://www.econbiz.de/10000142591

Day Traders, Noise, and Cost of Immediacy

Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - 2023

Using data with trader identities for all transactions in SENSEX-index stocks on the Bombay Stock Exchange over seven years, we identify individual day traders (IDT) to be “noise traders”, who play an important role in market microstructure models in the literature.IDT contribute 10% to...

Persistent link: https://www.econbiz.de/10014355549

Tail expectation and imperfect competition in limit order book markets

Baruch, Shmuel; Glosten, Lawrence R. - In: Journal of economic theory 183 (2019), pp. 661-697

Persistent link: https://www.econbiz.de/10012131384