Tag: liquidity

Market Microstructure: How Trades Execute and Prices Form Jul 31, 2026
Kyle (1985) - Continuous Auctions and Insider Trading Jan 1, 1985
Glosten & Milgrom (1985) - Bid, Ask and Transaction Prices Jan 1, 1985
Easley, Kiefer, O'Hara & Paperman (1996) - Probability of Informed Trading (PIN) Jan 1, 1996
Amihud (2002) - Illiquidity and Stock Returns: Cross-Section and Time-Series Effects Jan 1, 2002