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Citations of
David Easley

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, EconWPA. [Downloadable!]
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    Cited by:

    1. Albuquerque, Rui & de Francisco, Eva & Marques, Luis, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    2. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008. [Downloadable!]
    3. Asani Sarkar & Robert A. Schwartz, 2006. "Two-sided markets and intertemporal trade clustering: insights into trading motives," Staff Reports 246, Federal Reserve Bank of New York. [Downloadable!]
    4. Hollifield, Burton & Miller, Robert A. & Sandås, Patrik & Slive, Joshua, 2002. "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers 3676, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    5. Craig Furfine, 2003. "When is inter-transaction time informative?," Working Paper Series WP-03-04, Federal Reserve Bank of Chicago. [Downloadable!]

  2. Larry Blume & David Easley, 2001. "If You're So Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets," Cowles Foundation Discussion Papers 1319, Cowles Foundation, Yale University. [Downloadable!]
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    Published as:

    Cited by:

    1. Lensberg, Terje & Schenk-Hoppé, Klaus Reiner, 2006. "On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach," Discussion Papers 2006/23, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
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    2. Igor Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2003. "Evolutionary Stable Stock Markets," Discussion Papers 03-39, University of Copenhagen. Department of Economics. [Downloadable!]
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    3. Pablo F. Beker & Subir Chattopadhyay, 2006. "Economic Survival When Markets Are Incomplete," Working Papers. Serie AD 2006-19, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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    4. James Dow & Gary Gorton, 2006. "Noise Traders," NBER Working Papers 12256, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Spyros Skouras, 2001. "Decisionmetrics: A Decision-Based Approach to Econometric Modeling," Working Papers 01-11-064, Santa Fe Institute.
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    6. AMIR, Rabah & EVSTIGNEEV, Igor & HENS, Thorsten & SCHENK-HOPPƒ, Klaus Reiner, 2003. "Market selection and survival of investment strategies," CORE Discussion Papers 2003099, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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    7. Pablo F Beker & Emilio Espino, 2007. "The Dynamics of Efficient Asset Trading with Heterogeneous Beliefs," Levine's Bibliography 122247000000001715, UCLA Department of Economics. [Downloadable!]
    8. Leonid Kogan & Stephen Ross & Jiang Wang & Mark Westerfield, 2003. "The Price Impact and Survival of Irrational Traders," NBER Working Papers 9434, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Tarek Coury & Emanuela Sciubba, 2006. "Belief Heterogeneity and Survival in Incomplete Markets," Birkbeck Working Papers in Economics and Finance 0613, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
    10. Leeat Yariv, 2004. "Safety in Markets: An Impossibility Theorem for Dutch Books," Theory workshop papers 658612000000000072, UCLA Department of Economics. [Downloadable!]
    11. Franklin Allen, 2001. "Do Financial Institutions Matter?," Center for Financial Institutions Working Papers 01-04, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]

  3. Lawrence E. Blume & David Easley, 1997. "Optimality and Natural Selection in Markets," GE, Growth, Math methods 9712003, EconWPA, revised 09 Jul 1998. [Downloadable!]
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    Cited by:

    1. David Johnstone, 2007. "Economic Darwinism: Who has the Best Probabilities?," Theory and Decision, Springer, vol. 62(1), pages 47-96, February. [Downloadable!] (restricted)
    2. Beker, Pablo F, 2007. "Retained Earnings Dynamic, Internal Promotions and Walrasian Equilibrium," The Warwick Economics Research Paper Series (TWERPS) 813, University of Warwick, Department of Economics. [Downloadable!]
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    3. Dmitriy Cherkashin & J. Doyne Farmer & Seth Lloyd, 2009. "The Reality Game," Quantitative Finance Papers 0902.0100, arXiv.org, revised Feb 2009. [Downloadable!]
    4. Burkhard Schipper, 2002. "Imitators and Optimizers in Cournot Oligopoly," Bonn Econ Discussion Papers bgse29_2002, University of Bonn, Germany. [Downloadable!]
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    5. Luo, Guo Ying, 2009. "Natural Selection, Irrationality and Monopolistic Competition," MPRA Paper 15357, University Library of Munich, Germany. [Downloadable!]

  4. Easley, D. & Kiefer, N.M. & O'Hara, M., 1995. "Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow," Economics Working Papers 1995-5, School of Economics and Management, University of Aarhus.
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    Cited by:

    1. Sugato Chakravarty & Asani Sarkar, 1998. "An analysis of brokers' trading with applications to order flow internalization and off-exchange sales," Research Paper 9813, Federal Reserve Bank of New York. [Downloadable!]
    2. Joachim Grammig & Erik Theissen, 2003. "Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?," University of St. Gallen Department of Economics working paper series 2003 2003-01, Department of Economics, University of St. Gallen. [Downloadable!]
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    3. Albert J. Menkveld & Asani Sarkar & Michel van der Wel, 2007. "Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures," Staff Reports 307, Federal Reserve Bank of New York. [Downloadable!]
    4. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
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    5. Dominique Dupont, 1997. "Trading volume and information distribution in a market-clearing framework," Finance and Economics Discussion Series 1997-41, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    6. William O. Brown, Jr. & J. Harold Mulherin & Marc D. Weidenmier, 2006. "Competing With the NYSE," NBER Working Papers 12343, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    7. Ferreira, Daniel & Ferreira, Miguel A. & Raposo, Clara C., 2008. "Board Structure and Price Informativeness," CEI Working Paper Series 2008-4, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    8. Jan Hanousek & Richard Podpiera, 2000. "How Important Is Informed Trading for the Bid-Ask Spread? Evidence from an Emerging Market," CERGE-EI Working Papers wp168, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
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  5. Easley, D. & Kiefer, N.M. & O'Hara, M. & Paperman, J.B., 1994. "Liquidity, Information and Infrequently Traded Stock," Economics Working Papers 1995-6, School of Economics and Management, University of Aarhus.
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    Cited by:

    1. Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," CFS Working Paper Series 2007/25, Center for Financial Studies. [Downloadable!]
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    2. Randi Næs, 2004. "Ownership Structure and Stock Market Liquidity," Working Paper 2004/6, Norges Bank. [Downloadable!]
    3. Andreas Park, 2008. "Bid-Ask Spreads and Volume:The Role of Trade Timing," Working Papers tecipa-309, University of Toronto, Department of Economics. [Downloadable!]
    4. THEISSEN, Erik, 1999. "Floor versus Screen Trading : Evidence from the German Stock Market," Les Cahiers de Recherche 690, HEC Paris. [Downloadable!]
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    5. Joachim Grammig & Erik Theissen, 2003. "Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?," University of St. Gallen Department of Economics working paper series 2003 2003-01, Department of Economics, University of St. Gallen. [Downloadable!]
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    6. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile. [Downloadable!]
    7. Erik Theissen, 2003. "Organized Equity Markets in Germany," CFS Working Paper Series 2003/17, Center for Financial Studies. [Downloadable!]
    8. Katsuhiko Muramiya & Kazuhisa Otogawa & Tomomi Takada, 2008. "Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan," Discussion Paper Series 233, Research Institute for Economics & Business Administration, Kobe University. [Downloadable!]
    9. Kelly, Bryan & Ljungqvist, Alexander P., 2009. "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers 7180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    10. David Abad & Antonio Rubia, 2004. "Estimating The Probability Of Informed Trading: Further Evidence From An Order-Driven Market," Working Papers. Serie AD 2004-38, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    11. Alfonso Dufour & Robert Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 1999-15, Department of Economics, UC San Diego. [Downloadable!]
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    12. Simon Gervais & Ron Kaniel & Dan Mingelgrin, . "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 01-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
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    13. Paiardini, Paola, 2009. "Informed Trading in Parallel Bond Markets," Economics & Statistics Discussion Papers esdp09053, University of Molise, Dept. SEGeS. [Downloadable!]
    14. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2004. "Market Impact Costs of Institutional Equity Trades," DNB Staff Reports (discontinued) 125, Netherlands Central Bank. [Downloadable!]
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    15. Valeri Voev, 2006. "A Trade-by-Trade Surprise Measure and Its Relation to Observed Spreadson the NYSE," CoFE Discussion Paper 06-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    16. Juan Cruces & Enrique Kawamura, 2005. "Transacciones basadas en información privilegiada y conducción empresarial en América Latina," RES Working Papers 3207, Inter-American Development Bank, Research Department. [Downloadable!]
    17. Juan Cruces & Enrique Kawamura, 2005. "Insider Trading and Corporate Governance in Latin America," RES Working Papers 3206, Inter-American Development Bank, Research Department. [Downloadable!]
    18. William O. Brown, Jr. & J. Harold Mulherin & Marc D. Weidenmier, 2006. "Competing With the NYSE," NBER Working Papers 12343, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    19. Nikolaus Hautsch, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Paper 02-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    20. Nikolaus Hautsch, 2005. "The latent factor VAR model: Testing for a common component in the intraday trading process," FRU Working Papers 2005/03, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
    21. Young-Hye Cho & Robert F. Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," NBER Working Papers 7331, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    22. Louis R. Mercorelli & David Michayluk & Anthony D. Hall, 2008. "Modelling Adverse Selection on Electronic Order-Driven Markets," Research Paper Series 220, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    23. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Working Papers 13-2007, Singapore Management University, School of Economics. [Downloadable!]

  6. Lawrence Blume & David Easley, 1993. "Rational Expectations and Rational Learning," Game Theory and Information 9307003, EconWPA. [Downloadable!]

    Cited by:

    1. José Penalva & Michael D. Ryall, 2001. "Causal Assessment in Finite Extensive-form Games," Economics Working Papers 483, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2003. [Downloadable!]
    2. Holden, Tom, 2008. "Rational macroeconomic learning in linear expectational models," MPRA Paper 10872, University Library of Munich, Germany. [Downloadable!]
    3. John H. Nachbar, 1995. "Prediction, Optimization, and Learning in Repeated Games," Game Theory and Information 9504001, EconWPA, revised 14 Feb 1996. [Downloadable!]
    4. Huberto Ennis & Todd Keister, 2000. "Government Policy and Probabilistic Equilibrium Selection," Econometric Society World Congress 2000 Contributed Papers 1148, Econometric Society. [Downloadable!]
    5. Huberto Ennis & Todd Keister, 2001. "Optimal policy with probabilistic equilibrium selection," Working Paper 01-03, Federal Reserve Bank of Richmond. [Downloadable!]
    6. Jose Penalva-Zuasti & Michael D. Ryall, 2003. "Causal Assessment in Finite-length Extensive-Form Games," Levine's Working Paper Archive 506439000000000074, David K. Levine. [Downloadable!]
    7. Roger Lagunoff, 1995. "On the dynamic selection of mechanisms for provisions of public projects," Discussion Paper / Institute for Empirical Macroeconomics 100, Federal Reserve Bank of Minneapolis. [Downloadable!]
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    8. Huberto M. Ennis & Todd Keister, 2003. "Government Policy and the Probability of Coordination Failures," Working Papers 0301, Centro de Investigacion Economica, ITAM. [Downloadable!]
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  7. Daniel F. Spulber & David Easley, 1979. "Stochastic Equilibrium and Optimality with Rolling Plans," Discussion Papers 354, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
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    Cited by:

    1. AMIR, Rabah & NANNERUP, Niels, 2004. "Information structure and the tragedy of the commons in resource extraction," CORE Discussion Papers 2004040, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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    2. Graham-Tomasi, Theodore, 1985. "Uncertainty, Information, And Irreversible Investments," Staff Papers 14047, University of Minnesota, Department of Applied Economics. [Downloadable!]
    3. Runge, C. Ford, 1984. "The Innovation Of Rules And The Structure Of Incentives In Open Access Resources," Staff Papers 13670, University of Minnesota, Department of Applied Economics. [Downloadable!]
    4. Manuel S. Santos & Adrian Peralta-Alva, 2003. "Accuracy of Simulations for Stochastic Dynamic Models," Levine's Bibliography 666156000000000264, UCLA Department of Economics. [Downloadable!]
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  8. Easley, David & Ledyard, John., . "Theories of Price Formation and Exchange in Double Oral Auctions," Working Papers 611, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]

    Cited by:

    1. Steven Gjerstad, 2007. "Price Dynamics in an Exchange Economy," Purdue University Economics Working Papers 1205, Purdue University, Department of Economics. [Downloadable!]
    2. Steven Gjerstad & Jason M. Shachat, 2007. "Individual Rationality and Market Efficiency," Purdue University Economics Working Papers 1204, Purdue University, Department of Economics. [Downloadable!]
    3. Roberto Burguet, 2000. "Auction theory: a guided tour," Investigaciones Economicas, Fundación SEPI, vol. 24(1), pages 3-50, January. [Downloadable!]
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    4. Gjerstad, S., 2006. "The Competitive Market Paradox," Purdue University Economics Working Papers 1180, Purdue University, Department of Economics. [Downloadable!]
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Articles

  1. Lawrence Blume & David Easley, 2006. "If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets," Econometrica, Econometric Society, vol. 74(4), pages 929-966, 07. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Lawrence Blume & Tarek Coury & David Easley, 2006. "Information, trade and incomplete markets," Economic Theory, Springer, vol. 29(2), pages 379-394, October. [Downloadable!] (restricted)

    Cited by:

    1. Juan D Carrillo & Thomas R Palfrey, 2008. "No Trade," Levine's Bibliography 122247000000001839, UCLA Department of Economics. [Downloadable!]
    2. Marco Angrisani & Antonio Guarino & Steffen Huck & Nathan Larson, 2008. "No-Trade in the Laboratory," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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      • Marco Angrisani & Antonio Guarino & Steffen Huck & Nathan Larson, 2008. "No-Trade in the Laboratory," WEF Working Papers 0045, ESRC World Economy and Finance Research Programme, Birkbeck, University of London. [Downloadable!]

  3. Easley, David & Rustichini, Aldo, 2005. "Optimal guessing: Choice in complex environments," Journal of Economic Theory, Elsevier, vol. 124(1), pages 1-21, September. [Downloadable!] (restricted)

    Cited by:

    1. Stefano Ficco & Vladimir Karamychev & Peran van Reeven, 2006. "A Theory of Procedurally Rational Choice: Optimization without Evaluation," Tinbergen Institute Discussion Papers 06-001/1, Tinbergen Institute. [Downloadable!]

  4. David Easley & Maureen O'hara, 2004. "Information and the Cost of Capital," Journal of Finance, American Finance Association, vol. 59(4), pages 1553-1583, 08. [Downloadable!] (restricted)

    Cited by:

    1. Tim Eaton & John Nofsinger & Daniel Weaver, 2007. "Disclosure and the cost of equity in international cross-listing," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 1-24, July. [Downloadable!] (restricted)
    2. Christopher S. Armstrong & Mary E. Barth & Alan D. Jagolinzer & Edward J. Riedl, 2008. "Market Reaction to the Adoption of IFRS in Europe," Harvard Business School Working Papers 09-032, Harvard Business School. [Downloadable!]
    3. Armando Gomes & Gary Gorton & Leonardo Madureira, 2004. "SEC Regulation Fair Disclosure, Information, and the Cost of Capital," NBER Working Papers 10567, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Wong, Woon K & Copeland, Laurence & Lu, Ralph, 2008. "The Other Side of the Trading Story: Evidence from NYSE," Cardiff Economics Working Papers E2008/12, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
    5. Gao, Pingyang, 2007. "Keynesian Beauty Contest, Accounting Disclosure, and Market Efficiency," MPRA Paper 9480, University Library of Munich, Germany, revised Oct 2007. [Downloadable!]
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    6. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008. [Downloadable!]
    7. Yu Chen & Thomas Cosimano & Alex Himonas, 2008. "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, vol. 4(3), pages 305-344, July. [Downloadable!] (restricted)
    8. Kelly, Bryan & Ljungqvist, Alexander P., 2009. "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers 7180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    9. Marc-Andreas Muendler, 2005. "Rational Transparency Choice in Financial Market Equilibrium¤," University of California at San Diego, Economics Working Paper Series 2005-04R, Department of Economics, UC San Diego. [Downloadable!]
    10. Bruno Maria Parigi & Loriana Pelizzon, 2005. "Diversification and Ownership Concentration," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    11. Belén Gill de Albornoz Noguer & Manuel Illueca Muñoz, 2007. "La calidad de los ajustes por devengo no afecta al coste de la deuda de las PYMES españolas," Investigaciones Economicas, Fundación SEPI, vol. 31(1), pages 79-117, January. [Downloadable!]
    12. Juan Monterrey & Amparo Sánchez-Segura, 2006. "Las características socioeconómicas como incentivos para la información financiera: evidencia empírica española," Investigaciones Economicas, Fundación SEPI, vol. 30(3), pages 611-634, September. [Downloadable!]
    13. Marc-Andreas Muendler, 2005. "The Action Value of Information and the Natural Transparency Limit¤," University of California at San Diego, Economics Working Paper Series 2005-09, Department of Economics, UC San Diego. [Downloadable!]
    14. Marc Andreas Mündler, 2005. "Rational Information Choice in Financial Market Equilibrium," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    15. René M. Stulz, 2008. "Securities Laws, Disclosure, and National Capital Markets in the Age of Financial Globalization," NBER Working Papers 14218, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    16. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008. "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers 13739, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    17. Sunil Poshakwale & John K. Courtis, 2005. "Disclosure level and cost of equity capital: evidence from the banking industry," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 26(7), pages 431-444. [Downloadable!]
    18. Dimitri Vayanos & Jiang Wang, 2009. "Liquidity and Asset Prices: A Unified Framework," NBER Working Papers 15215, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    19. John Ammer & Sara B. Holland & David C. Smith & Francis E. Warnock, 2006. "Look at Me Now: What Attracts U.S. Shareholders?," NBER Working Papers 12500, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    20. Christian Leuz & Catherine Schrand, 2009. "Disclosure and the Cost of Capital: Evidence from Firms’ Responses to the Enron Shock," NBER Working Papers 14897, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    21. Chen, Zhaohui & Wilhelm Jr, William J, 2005. "The Industrial Organization of Financial Market Information Production," CEPR Discussion Papers 5314, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    22. Francis, Jennifer & Olsson, Per & Schipper, Katherine, 2005. "Call Options and Accruals Quality," SIFR Research Report Series 34, Institute for Financial Research. [Downloadable!]
    23. Charles, Lee & David, Ng, 2002. "Corruption and International Valuation: Does Virtue Pay?," MPRA Paper 590, University Library of Munich, Germany, revised Oct 2006. [Downloadable!]
    24. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2006. "The Effect of Corporate Break-ups on Information Asymmetry: A Market Microstructure Analysis," MPRA Paper 13155, University Library of Munich, Germany, revised 26 Oct 2008. [Downloadable!]
    25. Gao, Pingyang, 2008. "Disclosure Quality, Cost of Capital, and Investors’ Welfare," MPRA Paper 9478, University Library of Munich, Germany, revised Jun 2008. [Downloadable!]
    26. Hoffmann, Arvid O.I. & Pennings, Joost M.E., 2008. "Shareholder Activism and the Role of Marketing: A Framework for Analyzing and Managing Investor Relations," Research Memoranda 007, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    27. C. Cheng & Denton Collins & Henry Huang, 2006. "Shareholder rights, financial disclosure and the cost of equity capital," Review of Quantitative Finance and Accounting, Springer, vol. 27(2), pages 175-204, September. [Downloadable!] (restricted)
    28. Nikolaev, Valeri & Lent, Laurence van, 2005. "The endogeneity bias in the relation between cost-of-debt capital and corporate disclosure policy," Discussion Paper 67, Tilburg University, Center for Economic Research. [Downloadable!]
    29. John Ammer & Sara B. Holland & David C. Smith & Francis E. Warnock, 2008. "Why do U.S. cross-listings matter?," International Finance Discussion Papers 930, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    30. Quentin Chu & Deborah Pittman & Linda Yu, 2005. "Information Risk in TIPS Market: An Analysis of Nominal and Real Interest Rates," Review of Quantitative Finance and Accounting, Springer, vol. 24(3), pages 235-250, May. [Downloadable!] (restricted)
    31. Juan Dubra & Helios Herrera, 2002. "Market Participation, Information and Volatility," Working Papers 0206, Centro de Investigacion Economica, ITAM. [Downloadable!]

  5. Blume, Lawrence E. & Easley, David, 2002. "Optimality and Natural Selection in Markets," Journal of Economic Theory, Elsevier, vol. 107(1), pages 95-135, November. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  6. David Easley & Soeren Hvidkjaer & Maureen O'Hara, 2002. "Is Information Risk a Determinant of Asset Returns?," Journal of Finance, American Finance Association, vol. 57(5), pages 2185-2221, October. [Downloadable!] (restricted)

    Cited by:

    1. Jun Pan & Allen Poteshman, 2004. "The Information of Option Volume for Future Stock Prices," NBER Working Papers 10925, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Michael R. King & Maksym Padalko, 2005. "Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?," Working Papers 05-3, Bank of Canada. [Downloadable!]
    3. Anthony W. Lynch & Sinan Tan, 2004. "Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs," NBER Working Papers 10994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Hui Guo & Robert Savickas, 2005. "Idiosyncratic volatility, stock market volatility, and expected stock returns," Working Papers 2003-028, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    5. David Abad & Antonio Rubia, 2005. "Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español," Working Papers. Serie EC 2005-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    6. Joachim Grammig & Erik Theissen, 2003. "Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?," University of St. Gallen Department of Economics working paper series 2003 2003-01, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    7. Miguel A. Martínez & Belén Nieto & Gonzalo Rubio & Mikel Tapia, 2002. "Asset Pricing And Systematic Liquidity Risk: An Empirical Investigation Of The Spanish Stock Market," Business Economics Working Papers wb026022, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    8. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008. [Downloadable!]
    9. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005. "Liquidity and Expected Returns: Lessons From Emerging Markets," NBER Working Papers 11413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    10. Katsuhiko Muramiya & Kazuhisa Otogawa & Tomomi Takada, 2008. "Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan," Discussion Paper Series 233, Research Institute for Economics & Business Administration, Kobe University. [Downloadable!]
    11. Stijn Van Nieuwerburgh & Laura Veldkamp, 2007. "Information Immobility and the Home Bias Puzzle," NBER Working Papers 13366, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Kelly, Bryan & Ljungqvist, Alexander P., 2009. "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers 7180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    13. John Ammer & Sara B. Holland & David C. Smith & Francis E. Warnock, 2004. "Look at me now: the role of cross-listing in attracting U.S. investors," International Finance Discussion Papers 815, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    14. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2007. "When Does a Mutual Fund's Trade Reveal its Skill?," NBER Working Papers 13625, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    15. Marc-Andreas Muendler, 2005. "Rational Transparency Choice in Financial Market Equilibrium¤," University of California at San Diego, Economics Working Paper Series 2005-04R, Department of Economics, UC San Diego. [Downloadable!]
    16. Jay Shanken & Guofu Zhou, 2006. "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers 12055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    17. Gonzalo Rubio & Miguel Angel A. Martinez & Belén Nieto, 2003. "Asset pricing and systematic liquidity risk," DFAEII Working Papers 200205, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
    18. Saffi, Pedro, 2008. "Differences of opinion, information and the timing of trades," IESE Research Papers D/747, IESE Business School. [Downloadable!]
    19. Hui Guo & Robert Savickas, 2006. "The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries," Working Papers 2006-036, Federal Reserve Bank of St. Louis. [Downloadable!]
    20. Belén Gill de Albornoz Noguer & Manuel Illueca Muñoz, 2007. "La calidad de los ajustes por devengo no afecta al coste de la deuda de las PYMES españolas," Investigaciones Economicas, Fundación SEPI, vol. 31(1), pages 79-117, January. [Downloadable!]
    21. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
      Other versions:
    22. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008. "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers 14609, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    23. Marc-Andreas Muendler, 2005. "The Action Value of Information and the Natural Transparency Limit¤," University of California at San Diego, Economics Working Paper Series 2005-09, Department of Economics, UC San Diego. [Downloadable!]
    24. Robert Chirinko & Hisham Foad, 2006. "Noise vs. News in Equity Returns," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    25. Francis, Jennifer & LaFond, Ryan & Olsson, Per & Schipper, Katherine, 2003. "Accounting Anomalies and Information Uncertainty," SIFR Research Report Series 13, Institute for Financial Research. [Downloadable!]
    26. Chollete, Lorán & Næs, Randi & Skjeltorp, Johannes A., 2006. "Pricing Implications of Shared Variance in Liquidity Measures," Discussion Papers 2006/9, Department of Finance and Management Science, Norwegian School of Economics and Business Administration, revised 21 Jun 2007. [Downloadable!]
    27. Eckbo, B Espen & Norli, Øyvind, 2005. "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers 4832, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    28. Laura L. Veldkamp, 2006. "Media Frenzies in Markets for Financial Information," American Economic Review, American Economic Association, vol. 96(3), pages 577-601, June. [Downloadable!]
      Other versions:
    29. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008. "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers 13739, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    30. Emanuela Trifan, 2004. "Entscheidungsregeln und ihr Einfluss auf den Aktienkurs," Darmstadt Discussion Papers in Economics 131, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
    31. Christian Leuz & Catherine Schrand, 2009. "Disclosure and the Cost of Capital: Evidence from Firms’ Responses to the Enron Shock," NBER Working Papers 14897, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    32. Kee Chung & Chairat Chuwonganant & D. McCormick, 2006. "Order preferencing, adverse-selection costs, and the probability of information-based trading," Review of Quantitative Finance and Accounting, Springer, vol. 27(4), pages 343-364, December. [Downloadable!] (restricted)
    33. Emanuela Trifan, 2004. "Decision Rules and their Influence on Asset Prices," Darmstadt Discussion Papers in Economics 139, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
    34. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2004. "Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure," Working Papers 09-2004, Singapore Management University, School of Economics. [Downloadable!]
    35. Shaun Bond & Soosung Hwang & Zhenguo Lin & Kerry Vandell, 2007. "Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 447-461, May. [Downloadable!] (restricted)
    36. Ana González & Gonzalo Rubio, 2007. "Portfolio Choice and the Effects of Liquidity," Economics Working Papers 1035, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    37. Astrid Van Landschoot, 2004. "Determinants of euro term structure of credit spreads," Working Paper Series 397, European Central Bank. [Downloadable!]
    38. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2006. "The Effect of Corporate Break-ups on Information Asymmetry: A Market Microstructure Analysis," MPRA Paper 13155, University Library of Munich, Germany, revised 26 Oct 2008. [Downloadable!]
    39. Matos, Joao Amaro de & Fernandes, Marcelo, 2004. "Testing the Markov property with ultra-high frequency financial data," FEUNL Working Paper Series wp462, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
      Other versions:
    40. Marc-Andreas Muendler, 2005. "Rational Information Choice in Financial Market Equilibrium," University of California at San Diego, Economics Working Paper Series 2005-04, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    41. Gregory H. Bauer & Clara Vega, 2006. "The monetary origins of asymmetric information in international equity markets," International Finance Discussion Papers 872, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    42. Angel, James J. & Harris, Jeffrey H. & Panchapagesan, Venkatesh & Werner, Ingrid, 2004. "From Pink Slips to Pink Sheets: Liquidity and Shareholder Wealth Consequences of Nasdaq Delistings," Working Paper Series 2004-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    43. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Working Papers 13-2007, Singapore Management University, School of Economics. [Downloadable!]
    44. Paolo Pasquariello & Clara Vega, 2006. "Informed and strategic order flow in the bond markets," International Finance Discussion Papers 874, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:

  7. David Easley & Aldo Rustichini, 1999. "Choice without Beliefs," Econometrica, Econometric Society, vol. 67(5), pages 1157-1184, September.

    Cited by:

    1. Dana Heller, 2000. "Parametric Adaptive Learning," Econometric Society World Congress 2000 Contributed Papers 1496, Econometric Society. [Downloadable!]
    2. Karl H. Schlag, 1995. "Why Imitate, and if so, How? A Bounded Rational Approach to Multi-Armed Bandits," Discussion Paper Serie B 361, University of Bonn, Germany, revised Mar 1996. [Downloadable!]
      Other versions:
    3. Tilman Börgers & Rajiv Sarin & Antonio J. Morales, 2001. "Expedient and Monotone Learning Rules," Economic Working Papers at Centro de Estudios Andaluces E2001/06, Centro de Estudios Andaluces. [Downloadable!]
      Other versions:
    4. Albert Marcet & Juan P. Nicolini, 2003. "Recurrent Hyperinflations and Learning," American Economic Review, American Economic Association, vol. 93(5), pages 1476-1498, December. [Downloadable!]
      Other versions:
    5. Jack Stecher & Radhika Lunawat & Kira Pronin & John Dickhaut, 2007. "Decision Making and Trade without Probabilities," CIRANO Working Papers 2007s-21, CIRANO. [Downloadable!]

  8. David Easley & Maureen O'Hara & P.S. Srinivas, 1998. "Option Volume and Stock Prices: Evidence on Where Informed Traders Trade," Journal of Finance, American Finance Association, vol. 53(2), pages 431-465, 04. [Downloadable!] (restricted)

    Cited by:

    1. Jun Pan & Allen Poteshman, 2004. "The Information of Option Volume for Future Stock Prices," NBER Working Papers 10925, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Michael R. King & Maksym Padalko, 2005. "Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?," Working Papers 05-3, Bank of Canada. [Downloadable!]
    3. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    4. David Abad & Antonio Rubia, 2005. "Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español," Working Papers. Serie EC 2005-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    5. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008. [Downloadable!]
    6. Ghulam Sarwar, 2004. "The informational role of option trading volume in the S&P 500 futures options markets," Applied Financial Economics, Taylor and Francis Journals, vol. 14(16), pages 1197-1210, November. [Downloadable!] (restricted)
    7. Joseph K.W. Fung & Philip Yu, 2007. "Order Imbalance and the Dynamics of Index and Futures Prices," Working Papers 072007, Hong Kong Institute for Monetary Research. [Downloadable!]
    8. Paiardini, Paola, 2009. "Informed Trading in Parallel Bond Markets," Economics & Statistics Discussion Papers esdp09053, University of Molise, Dept. SEGeS. [Downloadable!]
    9. Acharya, Viral V & Johnson, Tim, 2005. "Insider Trading in Credit Derivatives," CEPR Discussion Papers 5180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    10. Mark Cassano & Bing Han, 2008. "Option volume, strike distribution, and foreign exchange rate movements," Review of Quantitative Finance and Accounting, Springer, vol. 30(1), pages 49-67, January. [Downloadable!] (restricted)
    11. Nam, Jouahn & Wang, Jun & Zhang, Ge, 2004. "Strategic trading against retail investors with disposition effects," Working Papers 2004-11, University of New Orleans, Department of Economics and Finance. [Downloadable!]
    12. Joseph K.W. Fung, 2006. "Order Imbalance and the Pricing of Index Futures," Working Papers 132006, Hong Kong Institute for Monetary Research. [Downloadable!]
    13. Rafiqul Bhuyan, 2002. "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance 0211002, EconWPA. [Downloadable!]
    14. de Jong, Cyriel & Koedijk, Kees & Schnitzlein, Charles, 2002. "Stock Market Quality in the Prescence of a Traded Option," CEPR Discussion Papers 3173, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    15. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics. [Downloadable!]
      Other versions:
    16. Ghulam Sarwar, 2005. "The Informational Role of Option Trading Volume in Equity Index Options Markets," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 159-176, January. [Downloadable!] (restricted)
    17. Jong, C.M. de, 2001. "Informed Option Trading Strategies," Research Paper ERS-2001-55-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    18. Young-Hye Cho & Robert F. Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," NBER Working Papers 7331, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    19. Satoru Kanoh & Asuka Takeuchi, 2006. "An Analysis of Option Pricing in the Japanese Market," Hi-Stat Discussion Paper Series d05-145, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    20. Doug Steigerwald & Richard Vagnoni, 2001. "Option Market Microstructure and Stochastic Volatility," University of California at Santa Barbara, Economics Working Paper Series 17-01, Department of Economics, UC Santa Barbara. [Downloadable!]
    21. Kai-Li Wang & Mei-Ling Chen, 2007. "The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 371-394, November. [Downloadable!] (restricted)
    22. Karl Friedrich Habermeier & Andrei Kirilenko, . "Securities Transaction Taxes and Financial Markets," IMF Working Papers 01/51, International Monetary Fund. [Downloadable!]
    23. Paul Brockman & Dennis Chung, 2008. "Investor protection, adverse selection, and the probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 30(2), pages 111-131, February. [Downloadable!] (restricted)
    24. K. John & A. Koticha & R. Narayanan, . "Margin Rules, Informed Trading in Derivatives and Price Dynamics," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-047, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    25. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York. [Downloadable!]
    26. Marcus Clements & Harminder Singh & Antonie Van Eekelen, 2007. "Trading in Target Stocks Before Takeover Announcements: An Analysis of Stock and Option Markets," Accounting, Finance, Financial Planning and Insurance Series 2007_20, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
    27. Wen-Hsiu Kuo & Ching-Chung Lin & Liu-Hsiang Hsu, 2007. "The impact of foreign trading information on emerging futures markets: a study of Taiwan's unique data set," Economics Bulletin, Economics Bulletin, vol. 7(10), pages 1-14. [Downloadable!]

  9. Easley, David & O'Hara, Maureen & Paperman, Joseph, 1998. "Financial analysts and information-based trade," Journal of Financial Markets, Elsevier, vol. 1(2), pages 175-201, August. [Downloadable!] (restricted)

    Cited by:

    1. David Abad & Antonio Rubia, 2005. "Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español," Working Papers. Serie EC 2005-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    2. Joachim Grammig & Erik Theissen, 2003. "Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?," University of St. Gallen Department of Economics working paper series 2003 2003-01, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    3. Paul Brockman & Dennis Chung, 2008. "Investor protection, adverse selection, and the probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 30(2), pages 111-131, February. [Downloadable!] (restricted)
    4. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2006. "The Effect of Corporate Break-ups on Information Asymmetry: A Market Microstructure Analysis," MPRA Paper 13155, University Library of Munich, Germany, revised 26 Oct 2008. [Downloadable!]
    5. Ferreira, Daniel & Ferreira, Miguel A. & Raposo, Clara C., 2008. "Board Structure and Price Informativeness," CEI Working Paper Series 2008-4, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    6. Michele O’Neill & Judith Swisher, 2009. "How useful are signals? A micro-structure analysis," Journal of Economics and Finance, Springer, vol. 33(1), pages 60-70, January. [Downloadable!] (restricted)

  10. Easley, David & Kiefer, Nicholas M & O'Hara, Maureen, 1997. "One Day in the Life of a Very Common Stock," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(3), pages 805-35.

    Cited by:

    1. Jun Pan & Allen Poteshman, 2004. "The Information of Option Volume for Future Stock Prices," NBER Working Papers 10925, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Gideon Saar, 1999. "Price Impact Asymmetry of Block Trades: An Institutional Trading," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-030, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    3. David Abad & Antonio Rubia, 2005. "Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español," Working Papers. Serie EC 2005-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    4. Albuquerque, Rui & de Francisco, Eva & Marques, Luis, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    5. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society. [Downloadable!]
    6. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008. [Downloadable!]
    7. Asani Sarkar & Robert A. Schwartz, 2007. "Market sidedness: insights into motives for trade initiation," Staff Reports 292, Federal Reserve Bank of New York. [Downloadable!]
    8. Kelly, Bryan & Ljungqvist, Alexander P., 2009. "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers 7180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    9. Asani Sarkar & Robert A. Schwartz, 2006. "Two-sided markets and intertemporal trade clustering: insights into trading motives," Staff Reports 246, Federal Reserve Bank of New York. [Downloadable!]
    10. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2007. "When Does a Mutual Fund's Trade Reveal its Skill?," NBER Working Papers 13625, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Anthony Murphy & Marwan Izzeldin, 2006. "Order flow transaction clock and normality of asset returns: A comment on Ané and Geman (2000)," Working Papers 003090, Lancaster University Management School, Economics Department. [Downloadable!]
      Other versions:
    12. Hollifield, Burton & Miller, Robert A. & Sandås, Patrik & Slive, Joshua, 2002. "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers 3676, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    13. Acharya, Viral V & Johnson, Tim, 2005. "Insider Trading in Credit Derivatives," CEPR Discussion Papers 5180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    14. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
      Other versions:
    15. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008. "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers 14609, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    16. Riccardo Calcagno & Florian Heider, 2007. "Market based compensation, price informativeness and short-term trading," Working Paper Series 735, European Central Bank. [Downloadable!]
    17. Victoria Saporta & Giorgio Trebeschi & Anne Vila, . "Price formation and transparency on the London Stock Exchange," Bank of England working papers 95, Bank of England. [Downloadable!]
    18. Kee Chung & Chairat Chuwonganant & D. McCormick, 2006. "Order preferencing, adverse-selection costs, and the probability of information-based trading," Review of Quantitative Finance and Accounting, Springer, vol. 27(4), pages 343-364, December. [Downloadable!] (restricted)
    19. Emanuela Trifan, 2004. "Decision Rules and their Influence on Asset Prices," Darmstadt Discussion Papers in Economics 139, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
    20. Shino Takayama & Han Ozsoylev, 2005. "A Dynamic Analysis of Bid-Ask Spreads with Multiple Trade Sizes," Finance 0509007, EconWPA. [Downloadable!]
    21. Marwan Izzeldin, 2007. "Trading volume and the number of trades: a comparative study using high frequency data," Working Papers 004798, Lancaster University Management School, Economics Department. [Downloadable!]
    22. Doug Steigerwald & Richard Vagnoni, 2001. "Option Market Microstructure and Stochastic Volatility," University of California at Santa Barbara, Economics Working Paper Series 17-01, Department of Economics, UC Santa Barbara. [Downloadable!]
    23. Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper 01-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    24. Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-351, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    25. Paul Brockman & Dennis Chung, 2008. "Investor protection, adverse selection, and the probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 30(2), pages 111-131, February. [Downloadable!] (restricted)
    26. Matos, Joao Amaro de & Fernandes, Marcelo, 2004. "Testing the Markov property with ultra-high frequency financial data," FEUNL Working Paper Series wp462, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
      Other versions:
    27. Ferreira, Daniel & Ferreira, Miguel A. & Raposo, Clara C., 2008. "Board Structure and Price Informativeness," CEI Working Paper Series 2008-4, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    28. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, EconWPA. [Downloadable!]
      Other versions:
    29. Jan Hanousek & Richard Podpiera, 2000. "How Important Is Informed Trading for the Bid-Ask Spread? Evidence from an Emerging Market," CERGE-EI Working Papers wp168, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
      Other versions:
    30. Malay Dey & Hossein Kazemi, 2008. "Bid ask spread in a competitive market with institutions and order size," Review of Quantitative Finance and Accounting, Springer, vol. 30(4), pages 433-453, May. [Downloadable!] (restricted)

  11. Easley, David & Kiefer, Nicholas M & O'Hara, Maureen, 1996. " Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow," Journal of Finance, American Finance Association, vol. 51(3), pages 811-33, July. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  12. Easley, David, et al, 1996. " Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, American Finance Association, vol. 51(4), pages 1405-36, September. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  13. Blume, Lawrence & Easley, David & O'Hara, Maureen, 1994. " Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, American Finance Association, vol. 49(1), pages 153-81, March. [Downloadable!] (restricted)

    Cited by:

    1. Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005. "Behavioral Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 05-052/1, Tinbergen Institute. [Downloadable!]
      Other versions:
    2. Chikashi Tsuji, 2003. "Is Volatility the Best Predictor of Market Crashes?," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 163-185, September. [Downloadable!] (restricted)
    3. Bartosz Gebka, 2005. "Dynamic volume--return relationship: evidence from an emerging capital market," Applied Financial Economics, Taylor and Francis Journals, vol. 15(14), pages 1019-1029, October. [Downloadable!] (restricted)
    4. Dupont, Dominique Y., 2001. "Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter," Economics Series 104, Institute for Advanced Studies. [Downloadable!]
    5. Anirut Pisedtasalasai & Abeyratna Gunasekarage, 2007. "Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia," Asia-Pacific Financial Markets, Springer, vol. 14(4), pages 277-297, December. [Downloadable!] (restricted)
    6. Jian Yang & David A. Bessler & Hung-Gay Fung, 2004. "The informational role of open interest in futures markets," Applied Economics Letters, Taylor and Francis Journals, vol. 11(9), pages 569-573, January. [Downloadable!] (restricted)
    7. Glaser, Markus & Weber, Martin, 2002. "Momentum and Turnover: Evidence from the German Stock Market," Sonderforschungsbereich 504 Publications 02-43, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
    8. Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004. "A Dynamic Analysis of Moving Average Rules," Research Paper Series 133, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    9. Lester Hadsell, 2006. "A TARCH examination of the return volatility--volume relationship in electricity futures," Applied Financial Economics, Taylor and Francis Journals, vol. 16(12), pages 893-901, August. [Downloadable!] (restricted)
    10. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    11. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile. [Downloadable!]
    12. Christophe Chamley, 2003. "Dynamic Speculative Attacks," American Economic Review, American Economic Association, vol. 93(3), pages 603-621, June. [Downloadable!]
    13. Taoufik Bouraoui, 2008. "L'impact des spams boursiers sur les volumes : Application de la méthodologie des études d’événement," EconomiX Working Papers 2008-11, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
    14. Elena Kalotychou & Sotiris K. Staikouras, 2006. "Volatility and trading activity in Short Sterling futures," Applied Economics, Taylor and Francis Journals, vol. 38(9), pages 997-1005, May. [Downloadable!] (restricted)
    15. BEN OMRANE, Walid & VAN OPPEN, HervŽ, 2004. "The predictive success and profitability of chart patterns in the Euro/Dollar foreign exchange market," CORE Discussion Papers 2004035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    16. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annales d'Economie et de Statistique, ADRES, issue 60, pages 06, Octobre-D. [Downloadable!]
    17. Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance 9904002, EconWPA. [Downloadable!]
      Other versions:
    18. David Abad & Antonio Rubia, 2004. "Estimating The Probability Of Informed Trading: Further Evidence From An Order-Driven Market," Working Papers. Serie AD 2004-38, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    19. Li Li & Robert F. Engle, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series 98-27, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    20. Simon Gervais & Ron Kaniel & Dan Mingelgrin, . "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 01-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
      Other versions:
    21. Ko Wang & John Erickson & Su Han Chan, 1995. "Does the REIT Stock Market Resemble the General Stock Market?," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 445-460. [Downloadable!]
    22. John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1992. "Trading Volume and Serial Correlation in Stock Returns," NBER Working Papers 4193, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    23. Christophe Chamley, 2002. "Dynamic Speculative Attacks," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-119, Boston University - Department of Economics. [Downloadable!]
    24. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers 04-07, University of Copenhagen. Department of Economics. [Downloadable!]
      Other versions:
    25. G. Caginalp, H. Laurent, 1998. "The predictive power of price patterns," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(3-4), pages 181-205, September. [Downloadable!] (restricted)
    26. Glaser, Markus & Weber, Martin, 2002. "Momentum and Turnover: Evidence from the German Stock Market," CEPR Discussion Papers 3353, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    27. Dominique Dupont, 1997. "Trading volume and information distribution in a market-clearing framework," Finance and Economics Discussion Series 1997-41, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    28. Rafiqul Bhuyan, 2002. "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance 0211002, EconWPA. [Downloadable!]
    29. Emanuela Trifan, 2004. "Entscheidungsregeln und ihr Einfluss auf den Aktienkurs," Darmstadt Discussion Papers in Economics 131, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
    30. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics. [Downloadable!]
      Other versions:
    31. Emanuela Trifan, 2004. "Decision Rules and their Influence on Asset Prices," Darmstadt Discussion Papers in Economics 139, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
    32. Nikolaus Hautsch, 2005. "The latent factor VAR model: Testing for a common component in the intraday trading process," FRU Working Papers 2005/03, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
    33. Frank Gerhard & Dieter Hess & Winfried Pohlmeier, 1999. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," Finance 9904006, EconWPA. [Downloadable!]
      Other versions:
    34. Carl Plat, 2005. "A Double Auction Market with Signals of Varying Precision," Experimental 0508004, EconWPA. [Downloadable!]
    35. Victoria Saporta & Kamhon Kan, . "The effects of Stamp Duty on the Level and Volatility of Equity Prices," Bank of England working papers 71, Bank of England. [Downloadable!]
    36. Juan Piñeiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    37. Spyros Skouras, 1998. "Financial Returns and Efficiency as seen by an Artificial Technical Analyst," Finance 9808001, EconWPA, revised 24 Aug 1998. [Downloadable!]
      Other versions:
    38. Karl Friedrich Habermeier & Andrei Kirilenko, . "Securities Transaction Taxes and Financial Markets," IMF Working Papers 01/51, International Monetary Fund. [Downloadable!]
    39. Ferreira, Daniel & Ferreira, Miguel A. & Raposo, Clara C., 2008. "Board Structure and Price Informativeness," CEI Working Paper Series 2008-4, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    40. Foort Hamelink, 2001. "Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager?," European Journal of Finance, Taylor and Francis Journals, vol. 7(4), pages 335-355, December. [Downloadable!] (restricted)
    41. Emmanuel Acar, Stephen E. Satchell, 1997. "A theoretical analysis of trading rules: an application to the moving average case with Markovian returns," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(3), pages 165-180, September. [Downloadable!] (restricted)
    42. Simone Manganelli, 2002. "Duration: volume and volatility impact of trades," Working Paper Series 125, European Central Bank. [Downloadable!]
      Other versions:
    43. Wing-Keung Wong & Jun Du & Terence Tai-Leung Chong, 2005. "Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan," SCAPE Policy Research Working Paper Series 0512, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
      Other versions:
    44. Yochanan Shachmurove & Uri BenZion & Paul Klein & Joseph Yagil, 2001. "A Moving Average Comparison of the Tel-Aviv 25 and S&P 500 Stock Indices," Penn CARESS Working Papers 4731f3394c43bebf4d3191c81, Penn Economics Department. [Downloadable!]
    45. Gagnon, Louis & Karolyi, G. Andrew, 2007. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Working Paper Series 2006-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    46. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 15(3), pages 751-782.
    47. Marcus Clements & Harminder Singh & Antonie Van Eekelen, 2007. "Trading in Target Stocks Before Takeover Announcements: An Analysis of Stock and Option Markets," Accounting, Finance, Financial Planning and Insurance Series 2007_20, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
    48. Wen-Hsiu Kuo & Ching-Chung Lin & Liu-Hsiang Hsu, 2007. "The impact of foreign trading information on emerging futures markets: a study of Taiwan's unique data set," Economics Bulletin, Economics Bulletin, vol. 7(10), pages 1-14. [Downloadable!]

  14. Easley, David & Kiefer, Nicholas M & Possen, Uri M, 1993. "An Equilibrium Analysis of Fiscal Policy with Uncertainty and Incomplete Markets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(4), pages 935-52, November. [Downloadable!] (restricted)

    Cited by:

    1. Henry Kim & Jinill Kim, 2005. "Welfare Effects of Tax Policy in Open Economies: Stabilization and Cooperation," Discussion Papers Series, Department of Economics, Tufts University 0503, Department of Economics, Tufts University. [Downloadable!]
      Other versions:
    2. Douglas W. Elmendorf & Miles S. Kimball, 1996. "Taxation of labor income and the demand for risky assets," Finance and Economics Discussion Series 96-32, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    3. Kartik B. Athreya & Andrea L. Waddle, 2007. "Implications of some alternatives to capital income taxation," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 31-55. [Downloadable!]

  15. Blume, Lawrence E. & Easley, David, 1993. "Economic natural selection," Economics Letters, Elsevier, vol. 42(2-3), pages 281-289. [Downloadable!] (restricted)

    Cited by:

    1. Riechmann, Thomas, 1997. "Learning and Behavoiral Stability - An Economic Interpretation of Genetic Algorithms," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-209, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    2. Dmitriy Cherkashin & J. Doyne Farmer & Seth Lloyd, 2009. "The Reality Game," Quantitative Finance Papers 0902.0100, arXiv.org, revised Feb 2009. [Downloadable!]
    3. Sciubba, E., 1999. "The Evolution of Portfolio Rules and the Capital Asset Pricing Model," Cambridge Working Papers in Economics 9909, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:

  16. Easley, David & O'Hara, Maureen, 1992. " Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.

    Cited by:

    1. Robert F. Engle & Jeffrey R. Russell, 1994. "Forecasting Transaction Rates: The Autoregressive Conditional Duration Model," NBER Working Papers 4966, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," CFS Working Paper Series 2007/25, Center for Financial Studies. [Downloadable!]
      Other versions:
    3. Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley. [Downloadable!]
      Other versions:
    4. Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005. "Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange," Cahiers de recherche 0533, CIRPEE. [Downloadable!]
    5. Antonio Guarino & Marco Cipriani, 2008. "Herd Behavior in Financial Markets: An Experiment with Financial Market Professionals," WEF Working Papers 0047, ESRC World Economy and Finance Research Programme, Birkbeck, University of London. [Downloadable!]
      Other versions:
    6. Gideon Saar, 1999. "Price Impact Asymmetry of Block Trades: An Institutional Trading," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-030, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    7. Sugato Chakravarty, 2002. "Stealth-Trading: Which Traders' Trades Move Stock Prices?," Finance 0201003, EconWPA. [Downloadable!]
      Other versions:
    8. Robert Engle & Andrew Patton, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series 2000-26, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    9. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Market Time and Asset Price Movements Theory and Estimation," CIRANO Working Papers 95s-32, CIRANO. [Downloadable!]
      Other versions:
    10. Albuquerque, Rui & de Francisco, Eva & Marques, Luis, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    11. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society. [Downloadable!]
    12. Joachim Grammig & Erik Theissen, 2003. "Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?," University of St. Gallen Department of Economics working paper series 2003 2003-01, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    13. Yoon-Jin Lee & Yongmiao Hong, 2004. "Specification Testing for Multivariate Time Series Volatility Models," Econometric Society 2004 Far Eastern Meetings 696, Econometric Society. [Downloadable!]
    14. Thierry Foucault & Sophie Moinas & Erik Theissen, 2004. "Does Anonymity Matter in Electronic Limit Order Markets?," Discussion Papers 3, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]
      Other versions:
    15. Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    16. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    17. Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    18. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile. [Downloadable!]
    19. Ola Simonsen, 2007. "An empirical model for durations in stocks," Annals of Finance, Springer, vol. 3(2), pages 241-255, March. [Downloadable!] (restricted)
    20. Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System," NBER Working Papers 12413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    21. Spierdijk, L., 2002. "An empirical analysis of the role of the trading intensity in information dissemination on the NYSE," Discussion Paper 30, Tilburg University, Center for Economic Research. [Downloadable!]
    22. Griffin, John M. & Nardari, Federico & Stulz, Rene M., 2005. "Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries," Working Paper Series 2005-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    23. Victoria Saporta, . "Which Inter-dealer Market Prevails? An analysis of inter-dealer trading in opaque markets," Bank of England working papers 59, Bank of England. [Downloadable!]
    24. Bjonnes,H. & Rime,D., 2000. "FX trading ... LIVE! : dealer behavior and trading systems in foreign exchange markets," Memorandum 29/2000, Oslo University, Department of Economics. [Downloadable!]
    25. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:
    26. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annales d'Economie et de Statistique, ADRES, issue 60, pages 06, Octobre-D. [Downloadable!]
    27. Katsuhiko Muramiya & Kazuhisa Otogawa & Tomomi Takada, 2008. "Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan," Discussion Paper Series 233, Research Institute for Economics & Business Administration, Kobe University. [Downloadable!]
    28. Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance 9904002, EconWPA. [Downloadable!]
      Other versions:
    29. Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2005-W26, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    30. Kelly, Bryan & Ljungqvist, Alexander P., 2009. "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers 7180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    31. Vuorenmaa, Tommi A., 2008. "Decimalization, Realized Volatility, and Market Microstructure Noise," MPRA Paper 8692, University Library of Munich, Germany. [Downloadable!]
    32. Konstantin Tyurin, 2004. "High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market," Econometric Society 2004 North American Summer Meetings 579, Econometric Society. [Downloadable!]
    33. Winfried Pohlmeier & Roman Liesenfeld, 2003. "A Dynamic Integer Count Data Model for Financial Transaction Prices," CoFE Discussion Paper 03-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    34. DOLADO , Juan J. & RODRIGUEZ-POO, Juan & VEREDAS, David, 2004. "Testing weak exogeneity in the exponential family : an application to financial point processes," CORE Discussion Papers 2004049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    35. Ingrid Lo & Stephen G. Sapp, 2007. "Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?," Working Papers 07-23, Bank of Canada. [Downloadable!]
    36. Jeremy Large, 2004. "Cancellation and Uncertainty Aversion on Limit Order Books," Economics Papers 2004-W05, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    37. Alvaro Cartea & Thilo Meyer-Brandis, 2007. "How Does Duration Between Trades of Underlying Securities Affect Option Prices," Birkbeck Working Papers in Economics and Finance 0721, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
    38. Katya Malinova & Andreas Park, 2009. "Trading Volume in Dealer Markets," Working Papers tecipa-357, University of Toronto, Department of Economics. [Downloadable!]
    39. Alfonso Dufour & Robert Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 1999-15, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    40. Simon Gervais & Ron Kaniel & Dan Mingelgrin, . "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 01-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
      Other versions:
    41. Kempf, Alexander & Korn, Olaf, 1998. "Market depth and order size : an analysis of permanent price effects of DAX futures' trades," ZEW Discussion Papers 98-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    42. Joel Hasbrouck, 1998. "Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-076, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    43. Paiardini, Paola, 2009. "Informed Trading in Parallel Bond Markets," Economics & Statistics Discussion Papers esdp09053, University of Molise, Dept. SEGeS. [Downloadable!]
    44. Anthony Murphy & Marwan Izzeldin, 2006. "Order flow transaction clock and normality of asset returns: A comment on Ané and Geman (2000)," Working Papers 003090, Lancaster University Management School, Economics Department. [Downloadable!]
      Other versions:
    45. George A. Christodoulakis & Stephen E Satchell, 2006. "Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility," Working Papers 32, Bank of Greece. [Downloadable!]
    46. Jeffrey R. Russell & Robert F. Engle, 1998. "Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," CRSP working papers 470, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
      Other versions:
    47. Sugato Chakravarty & Frederick H. deB. Harris & Robert A. Wood, 2002. "Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?," Econometrics 0201003, EconWPA. [Downloadable!]
      Other versions:
    48. CALCAGNO, Riccardo & LOVO, Stefano M., 1998. "Bid-ask price competition with asymmetric information between market makers.," CORE Discussion Papers 1998016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    49. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," FRU Working Papers 2004/03, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
      Other versions:
    50. Spierdijk, L. & Nijman, T.E. & Soest, A.H.O. van, 2002. "Modeling comovements in trading intensities to distinguish sector and stock specific news," Discussion Paper 69, Tilburg University, Center for Economic Research. [Downloadable!]
    51. Serge Darolles & Christian Gourieroux & Gaëlle Le Fol, 2000. "Intraday Transaction Price Dynamics," Annales d'Economie et de Statistique, ADRES, issue 60, pages 10, Octobre-D. [Downloadable!]
    52. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," Caepr Working Papers 2007-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
    53. GIOT, Pierre & ,, 1999. "Time transformations, intraday data and volatility models ," CORE Discussion Papers 1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    54. Alvaro Escribano & Roberto Pascual, 2006. "Asymmetries in bid and ask responses to innovations in the trading process," Empirical Economics, Springer, vol. 30(4), pages 913-946, January. [Downloadable!] (restricted)
    55. Craig H. Furfine & Eli M. Remolona, 2005. "Price discovery in a market under stress: the U.S. Treasury market in fall 1998," Working Paper Series WP-05-06, Federal Reserve Bank of Chicago. [Downloadable!]
    56. Brännäs, Kurt & Simonsen, Ola, 2003. "Discretized Time and Conditional Duration Modelling for Stock Transaction Data," UmeÃ¥ Economic Studies 610, Umeå University, Department of Economics.
    57. BAUWENS, Luc & VEREDAS, David, 1999. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," CORE Discussion Papers 1999058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    58. Carsten Detken & Philipp Hartmann, 2000. "The Euro and International Capital Markets," EUI-RSCAS Working Papers 27, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS). [Downloadable!]
      Other versions:
    59. Esther Brio & Javier Perote, 2007. "What Enhances Insider Trading Profitability?," Atlantic Economic Journal, International Atlantic Economic Society, vol. 35(2), pages 173-188, June. [Downloadable!] (restricted)
    60. Frank Westerhoff & Sebastiano Manzan, 2004. "Does liquidity in the FX market depend on volatility?," Economics Bulletin, Economics Bulletin, vol. 6(10), pages 1-8. [Downloadable!]
    61. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    62. Flood, M.D. & Koedijk, C.G. & Dijk, M.A. van & Leeuwen, I.W. van, 2002. "Dividing the Pie," Research Paper ERS-2002-101-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    63. John M. Griffin & Federico Nardari & Rene M. Stulz, 2004. "Stock Market Trading and Market Conditions," NBER Working Papers 10719, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    64. Helmut Herwartz, 2006. "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 89-104, March. [Downloadable!] (restricted)
    65. Clive G. Bowsher, 2003. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2003-W03, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    66. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    67. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2004. "Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure," Working Papers 09-2004, Singapore Management University, School of Economics. [Downloadable!]
    68. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York. [Downloadable!]
    69. Nikolaus Hautsch, 2005. "The latent factor VAR model: Testing for a common component in the intraday trading process," FRU Working Papers 2005/03, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
    70. Kathryn M. Dominguez, 1999. "The Market Microstructure of Central Bank Intervention," NBER Working Papers 7337, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    71. Marwan Izzeldin, 2007. "Trading volume and the number of trades: a comparative study using high frequency data," Working Papers 004798, Lancaster University Management School, Economics Department. [Downloadable!]
    72. Min-Hsien Chiang & Cheng-Hsiang Wang, 2004. "Intradaily relationship between information revelation and trading duration under market trends: the evidence of MSCI Taiwan stock index futures," Applied Economics Letters, Taylor and Francis Journals, vol. 11(8), pages 495-501, June. [Downloadable!] (restricted)
    73. Haiwei Chen & Honghui Chen & Nicholas Valerio, 2003. "The effects of trading halts on price discovery for NYSE stocks," Applied Economics, Taylor and Francis Journals, vol. 35(1), pages 91-97, January. [Downloadable!] (restricted)
    74. Doug Steigerwald & Richard Vagnoni, 2001. "Option Market Microstructure and Stochastic Volatility," University of California at Santa Barbara, Economics Working Paper Series 17-01, Department of Economics, UC Santa Barbara. [Downloadable!]
    75. Bernhard Eckwert & Andreas Szczutkowski, 2006. "Rationally mispriced assets in equilibrium," Spanish Economic Review, Springer, vol. 8(4), pages 285-299, December. [Downloadable!] (restricted)
    76. Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper 01-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    77. Anthony Tay & Christopher Ting, 2006. "Intraday stock prices, volume, and duration: a nonparametric conditional density analysis," Empirical Economics, Springer, vol. 30(4), pages 827-842, January. [Downloadable!] (restricted)
    78. Quoreshi, Shahiduzzaman, 2006. "A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data," UmeÃ¥ Economic Studies 674, Umeå University, Department of Economics. [Downloadable!]
    79. Nikolaus Hautsch, 2006. "Testing the Conditional Mean Function of Autoregressive Conditional Duration Models," FRU Working Papers 2006/06, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
    80. Griffin, John M. & Nardari, Federico & Stulz, Rene M., 2004. "Stock Market Trading and Market Conditions," Working Paper Series 2004-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    81. Spierdijk, L. & Nijman, T.E. & Soest, A.H.O., 2002. "The price impact of trades in illiquid stocks in periods of high and low market activity," Discussion Paper 29, Tilburg University, Center for Economic Research. [Downloadable!]
    82. Ingrid Lo & Stephen G. Sapp, 2005. "Order Submission: The Choice between Limit and Market Orders," Working Papers 05-42, Bank of Canada. [Downloadable!]
    83. François-Éric Racicot & Raymond Théoret & Alain Coën, 2008. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," International Advances in Economic Research, Springer, vol. 14(1), pages 112-124, February. [Downloadable!] (restricted)
      Other versions:
    84. BAUWENS, Luc & GIOT, Pierre, 1998. "Asymmetric ACD models: introducing price information in ACD models with a two state transition model," CORE Discussion Papers 1998044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    85. Roberto Pascual & Bartolomé Pascual-Fuste & Francisco Climent, 2001. "Cross-listing, Price Discovery and the Informativeness of the Trading Process," Business Economics Working Papers wb014511, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
      Other versions:
    86. Matos, Joao Amaro de & Fernandes, Marcelo, 2004. "Testing the Markov property with ultra-high frequency financial data," FEUNL Working Paper Series wp462, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
      Other versions:
    87. Michael Melvin & Christian Saborowski & Michael Sager & Mark P. Taylor, 2009. "Bank of England Interest Rate Announcements and the Foreign Exchange Market," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    88. Richard K. Lyons, 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Working Papers 4984, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    89. Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise in Theory and Practice," PIER Working Paper Archive 08-038, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    90. FERNANDES, Marcelo & GRAMMIG, Joachim, 2001. "A family of autoregressive conditional duration models," CORE Discussion Papers 2001036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    91. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO. [Downloadable!]
    92. Cartea, Álvaro & Meyer-Brandis, Thilo, 2009. "How Duration Between Trades of Underlying Securities Affects Option Prices," MPRA Paper 16179, University Library of Munich, Germany. [Downloadable!]
    93. Chris D'Souza & Charles Gaa, 2004. "The Effects of Economic News on Bond Market Liquidity," Working Papers 04-16, Bank of Canada. [Downloadable!]
    94. Simone Manganelli, 2002. "Duration: volume and volatility impact of trades," Working Paper Series 125, European Central Bank. [Downloadable!]
      Other versions:
    95. David G. McMillan & Alan E. H. Speight, 2006. "Heterogeneous information flows and intra-day volatility dynamics: evidence from the UK FTSE-100 stock index futures market," Applied Financial Economics, Taylor and Francis Journals, vol. 16(13), pages 959-972, September. [Downloadable!] (restricted)
    96. Simonsen, Ola, 2005. "An Empirical Model for Durations in Stocks," UmeÃ¥ Economic Studies 657, Umeå University, Department of Economics. [Downloadable!]
    97. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Working Papers 13-2007, Singapore Management University, School of Economics. [Downloadable!]
    98. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, EconWPA. [Downloadable!]
      Other versions:
    99. Craig Furfine, 2003. "When is inter-transaction time informative?," Working Paper Series WP-03-04, Federal Reserve Bank of Chicago. [Downloadable!]
    100. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York. [Downloadable!]
    101. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

  17. Blume, Lawrence & Easley, David, 1992. "Evolution and market behavior," Journal of Economic Theory, Elsevier, vol. 58(1), pages 9-40, October. [Downloadable!] (restricted)

    Cited by:

    1. Serge Hayward, 2005. "The Role of Heterogeneous Agents’ Past and Forward Time Horizons in Formulating Computational Models," Computational Economics, Springer, vol. 25(1), pages 25-40, February. [Downloadable!] (restricted)
    2. Stefan Reimann, . "On the distribution of stock-market returns - Implications of Evolutionary Finance," IEW - Working Papers iewwp232, Institute for Empirical Research in Economics - IEW. [Downloadable!]
    3. W. Brian Arthur & John H. Holland & Blake LeBaron & Richard Palmer & Paul Taylor, 1996. "Asset Pricing Under Endogenous Expectation in an Artificial Stock Market," Working Papers 96-12-093, Santa Fe Institute.
    4. Markus Pasche, 1998. "An Approach to Robust Decision Making: The Rationality of Heuristic Behavior," Working Paper Series B 1998-10, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultïät. [Downloadable!]
    5. Shwu-Jane Shieh, 2006. "Evolution of momentum and popularity," Journal of Evolutionary Economics, Springer, vol. 16(4), pages 419-433, October. [Downloadable!] (restricted)
    6. Lensberg, Terje & Schenk-Hoppé, Klaus Reiner, 2006. "On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach," Discussion Papers 2006/23, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
      Other versions:
    7. Thorsten Hens & Klaus Reiner Schenk-Hoppé, . "Markets Do Not Select For a Liquidity Preference as Behavior Towards Risk," IEW - Working Papers iewwp139, Institute for Empirical Research in Economics - IEW. [Downloadable!]
      Other versions:
    8. Pablo F. Beker & Subir Chattopadhyay, 2006. "Economic Survival When Markets Are Incomplete," Working Papers. Serie AD 2006-19, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
      Other versions:
    9. Francesca Chiaromonte & Giovanni Dosi, 1999. "Modeling a Decentralized Asset Market: An Introduction to the Financial "Toy-Room"," LEM Papers Series 1999/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    10. Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2004. "Survival of the Fittest on Wall Street," Discussion Papers 04-03, University of Copenhagen. Department of Economics. [Downloadable!]
    11. Manfred Nermuth, 2008. "The Structure of Equilibrium in an Asset Market with Variable Supply," Vienna Economics Papers 0804, University of Vienna, Department of Economics. [Downloadable!]
    12. David Laibson & Leeat Yariv, 2007. "Safety in Markets: An Impossibility Theorem for Dutch Books," Levine's Bibliography 122247000000001746, UCLA Department of Economics. [Downloadable!]
      Other versions:
    13. William Brock & Cars Hommes & Florian Wagener, 2006. "More Hedging Instruments may destablize Markets," Tinbergen Institute Discussion Papers 06-080/1, Tinbergen Institute, revised 30 Apr 2008. [Downloadable!]
      Other versions:
    14. David Johnstone, 2007. "Economic Darwinism: Who has the Best Probabilities?," Theory and Decision, Springer, vol. 62(1), pages 47-96, February. [Downloadable!] (restricted)
    15. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2002. "Evolutionary dynamics in markets with many trader types," CeNDEF Working Papers 02-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    16. Enrico De Giorgi, . "Evolutionary Portfolio Selection with Liquidity Shocks," IEW - Working Papers iewwp185, Institute for Empirical Research in Economics - IEW. [Downloadable!]
      Other versions:
    17. Carlos Alós-Ferrer & Ana B. Ania, 2003. "The Asset Market Game," Vienna Economics Papers 0320, University of Vienna, Department of Economics. [Downloadable!]
      Other versions:
    18. Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2003. "Evolutionary Stability of Portfolio Rules in Incomplete Markets," Discussion Papers 03-03, University of Copenhagen. Department of Economics. [Downloadable!]
      Other versions:
    19. Larry Blume & David Easley, 2001. "If You're So Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets," Cowles Foundation Discussion Papers 1319, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    20. Luca Anderlini & Hamid Sabourian, 1995. "The Evolution of Algorithmic Learning Rules: A Global Stability Result," Game Theory and Information 9510001, EconWPA. [Downloadable!]
      Other versions:
    21. Igor V. Evstigneev & Klaus Rainer Schenk-Hoppé, . "From Rags to Riches: On Constant Proportions Investment Strategies," IEW - Working Papers iewwp089, Institute for Empirical Research in Economics - IEW. [Downloadable!]
    22. Mikhail Anufriev & Giulio Bottazzi, 2006. "Behavioral Consistent Market Equilibria under Procedural Rationality," Computing in Economics and Finance 2006 225, Society for Computational Economics. [Downloadable!]
    23. S. Reimann & A. Tupak, 2007. "Prices are macro-observables! Stylized facts from evolutionary finance," Computational Economics, Springer, vol. 29(3), pages 313-331, May. [Downloadable!] (restricted)
    24. Sciubba, E., 1999. "Asymmetric Information and Survival in Financial Markets," Cambridge Working Papers in Economics 9908, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    25. Alexander Matros, 2006. "Altruistic Versus Rational Behavior in a Public Good Game," Working Papers 309, University of Pittsburgh, Department of Economics, revised Sep 2008. [Downloadable!]
    26. Rabah Amir & Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2002. "Market Selection and Survival of Investment Strategies," Discussion Papers 02-16, University of Copenhagen. Department of Economics. [Downloadable!]
      Other versions:
    27. Miller, Edward M., 1999. "Equilibrium with divergence of opinion," Working Papers 1999-17, University of New Orleans, Department of Economics and Finance. [Downloadable!]
    28. Weibull, Jörgen W., 1997. "What have we learned from Evolutionary Game Theory so far?," Working Paper Series 487, Research Institute of Industrial Economics, revised 26 Oct 1998. [Downloadable!]
      Other versions:
    29. Dmitriy Cherkashin & J. Doyne Farmer & Seth Lloyd, 2009. "The Reality Game," Quantitative Finance Papers 0902.0100, arXiv.org, revised Feb 2009. [Downloadable!]
    30. Tarek Coury & Emanuela Sciubba, 2006. "Belief Heterogeneity and Survival in Incomplete Markets," Birkbeck Working Papers in Economics and Finance 0613, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
    31. Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings 477, Econometric Society. [Downloadable!]
    32. Thomas Schuster, 2003. "Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media," Finance 0307014, EconWPA. [Downloadable!]
    33. Adelina Gschwandtner, 2004. "Profit Persistence in the "Very" Long Run: Evidence from Survivors and Exiters," Vienna Economics Papers 0401, University of Vienna, Department of Economics. [Downloadable!]
    34. S. Huck & J. Oechssler, . "The Indirect Evolutionary Approach To Explaining Fair Allocations," Sonderforschungsbereich 373 1996-13, Humboldt Universitaet Berlin.
      Other versions:
    35. Patarick Leoni, 2006. "Market Power, Survival and Accuracy of Predictions in Financial Markets," Economics, Finance and Accounting Department Working Paper Series n1701106, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
    36. Thorsten Hens & Klaus Reiner Schenk-Hoppé & Martin Stalder, 2002. "An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(IV), pages 465-487, December. [Downloadable!]
      Other versions:
    37. Leeat Yariv, 2004. "Safety in Markets: An Impossibility Theorem for Dutch Books," Theory workshop papers 658612000000000072, UCLA Department of Economics. [Downloadable!]
    38. Carl Chiarella & Roberto Dieci & Laura Gardini, 2003. "A Dynamic Analysis of Speculation Across Two Markets," Research Paper Series 89, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    39. Patrick Leoni, . "Market Power, Survival and Accuracy of Predictions in Financial Markets," IEW - Working Papers iewwp216, Institute for Empirical Research in Economics - IEW. [Downloadable!]
    40. Serge Hayward, 2004. "Heterogeneous Agents Past and Forward Time Horizons in Setting Up a Computational Model," Computing in Economics and Finance 2004 241, Society for Computational Economics. [Downloadable!]
    41. Guido Caldarelli & M. Piccioni & E. Sciubba, 2000. "A Numerical Study On The Evolution Of Portfolio Rules," Computing in Economics and Finance 2000 334, Society for Computational Economics. [Downloadable!]
    42. Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppé, Klaus Reiner, 2005. "Globally Evolutionarily Stable Portfolio Rules," Discussion Papers 2005/17, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
      Other versions:
    43. Sciubba, E., 1999. "The Evolution of Portfolio Rules and the Capital Asset Pricing Model," Cambridge Working Papers in Economics 9909, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    44. F. Chiaromonte & G. Dosi, 1998. "Modeling a Decentralized Asset Market: An Introduction the Financial "Toy Room"," Working Papers ir98115, International Institute for Applied Systems Analysis. [Downloadable!]
    45. Asplund, Björn Marcus, 2007. "A Test of Profit Maximization," CEPR Discussion Papers 6177, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    46. Scott Condie, 2008. "Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity," Economic Theory, Springer, vol. 36(1), pages 81-108, July. [Downloadable!] (restricted)
    47. Leonid Kogan & Stephen Ross & Jiang Wang & Mark M. Westerfield, 2009. "Market Selection," NBER Working Papers 15189, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  18. Easley, David & O'Hara, Maureen, 1991. " Order Form and Information in Securities Markets," Journal of Finance, American Finance Association, vol. 46(3), pages 905-27, July. [Downloadable!] (restricted)

    Cited by:

    1. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    2. Juan Raposo, 2003. "Les stratégies de placement d'ordres : le cas des ordres à quantité cachée," Post-Print halshs-00163255_v1, HAL. [Downloadable!]
    3. Andrew W. Lo & A. Craig MacKinlay & June Zhang, 1997. "Econometric Models of Limit-Order Executions," NBER Working Papers 6257, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Nikolaus Hautsch, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Paper 02-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    5. Tanseli Savaser, 2007. "Exchange Rate Response to Macro News: Through the Lens of Microstructure," Department of Economics Working Papers 2007-2, Department of Economics, Williams College. [Downloadable!]
    6. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York. [Downloadable!]

  19. Blume, Lawrence & Easley, David, 1990. "Implementation of Walrasian expectations equilibria," Journal of Economic Theory, Elsevier, vol. 51(1), pages 207-227, June. [Downloadable!] (restricted)

    Cited by:

    1. BOCHET, Olivier, 2005. "Switching from complete to incomplete information," CORE Discussion Papers 2005063, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    2. Lawrence Blume & Tarek Coury & David Easley, 2006. "Information, trade and incomplete markets," Economic Theory, Springer, vol. 29(2), pages 379-394, October. [Downloadable!] (restricted)
    3. Alessandro, CITANNA & Archishman, CHAKRABORTY, 1999. "Moral Hazard, Aggregate Risk and Nominal Linear Financial Contracts," Les Cahiers de Recherche 683, HEC Paris. [Downloadable!]
    4. Luis Corchon & Ignacio Ortuño-Ortin, 1994. "Robust implementation under alternative information structures," Review of Economic Design, Springer, vol. 1(1), pages 159-171, December. [Downloadable!] (restricted)
      Other versions:
    5. Matthew O. Jackson & Ilan Kremer, 2003. "Envy-Freeness and Implementation in Large Economies," Microeconomics 0303008, EconWPA. [Downloadable!]
      Other versions:
    6. Xavier Vives, 2000. "Allocative and Productive Efficiency in REE with Asymetric Information," UFAE and IAE Working Papers 473.00, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
      Other versions:
    7. Beth Allen, 1996. "Implementation theory with incomplete information," Staff Report 226, Federal Reserve Bank of Minneapolis. [Downloadable!]

  20. Easley, David & Kiefer, Nicholas M, 1989. "Optimal Learning with Endogenous Data," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(4), pages 963-78, November. [Downloadable!] (restricted)

    Cited by:

    1. Christos Koulovatianos & Leonard J. Mirman & Marc Santugini, 2006. "Investment in a Monopoly with Bayesian Learning," Vienna Economics Papers 0603, University of Vienna, Department of Economics. [Downloadable!]
    2. Christos Koulovatianos & Leonard J. Mirman & Marc Santugini, 2007. "Optimal Growth and Uncertainty: Learning," Cahiers de recherche 07-05, HEC Montréal, Institut d'économie appliquée, revised Feb 2008. [Downloadable!]
      Other versions:

  21. Easley, David & Kiefer, Nicholas M, 1988. "Controlling a Stochastic Process with Unknown Parameters," Econometrica, Econometric Society, vol. 56(5), pages 1045-64, September. [Downloadable!] (restricted)

    Cited by:

    1. Daniel Krähmer, 2005. "Equilibrium Learning in Simple Contests," Discussion Papers 73, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]

  22. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September. [Downloadable!] (restricted)

    Cited by:

    1. Degryse, H. & Jong, F. de & Ravenswaaij, M. van & Wuyts, G., 2002. "Aggressive orders and the resiliency of a limit order market," Discussion Paper 80, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    2. Geir Hoidal Bjonnes & Dagfinn Rime, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," Working Paper 2003/10, Norges Bank. [Downloadable!]
      Other versions:
    3. Michael R. King & Maksym Padalko, 2005. "Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?," Working Papers 05-3, Bank of Canada. [Downloadable!]
    4. Roger Huang & H. Weingartner, 2000. "Do Market Makers Suffer from Splitting Headaches?," Journal of Financial Services Research, Springer, vol. 17(2), pages 105-126, August. [Downloadable!] (restricted)
    5. BELTRAN, Helena & DURRE, Alain & GIOT, Pierre, 2005. "Volatility regimes and the provision of liquidity in order book markets," CORE Discussion Papers 2005012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    6. Jerry A. Hausman & Andrew W. Lo & A. Craig MacKinlay, 1991. "An Ordered Probit Analysis of Transaction Stock Prices," NBER Working Papers 3888, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    7. Andreas Park, 2008. "Bid-Ask Spreads and Volume:The Role of Trade Timing," Working Papers tecipa-309, University of Toronto, Department of Economics. [Downloadable!]
    8. Stefano Benati & M. Tavernini, 1998. "A new lagrangean heuristic for the generalized assignment problem," Quaderni DISA 014, Department of Computer and Management Sciences, University of Trento, Italy.
    9. Erik Theissen, 2002. "Trader Anonymity, Price Formation and Liquidity," Bonn Econ Discussion Papers bgse20_2002, University of Bonn, Germany. [Downloadable!]
    10. Joachim Grammig & Erik Theissen, 2003. "Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?," University of St. Gallen Department of Economics working paper series 2003 2003-01, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    11. Kolodyazhny Georgy & Medvedev Alexey, 2003. "Russian stock market: participants and their strategies," EERC Working Paper Series 01-060e, EERC Research Network, Russia and CIS. [Downloadable!]
    12. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-331, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    13. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    14. Sugato Chakravarty & Asani Sarkar, 1999. "Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets," Staff Reports 73, Federal Reserve Bank of New York. [Downloadable!]
    15. Lance E. Davis & Larry Neal & Eugene N. White, 2005. "The Highest Price Ever: The Great NYSE Seat Sale of 1928-1929 and Capacity Constraints," NBER Working Papers 11556, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    16. Reitz, Stefan & Schmidt, Markus A. & Taylor, Mark P., 2009. "Financial intermediation and the role of price discrimination in a two-tier market," Discussion Paper Series 1: Economic Studies 2009,13, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    17. Victoria Saporta, . "Which Inter-dealer Market Prevails? An analysis of inter-dealer trading in opaque markets," Bank of England working papers 59, Bank of England. [Downloadable!]
    18. Juan Raposo, 2003. "Les stratégies de placement d'ordres : le cas des ordres à quantité cachée," Post-Print halshs-00163255_v1, HAL. [Downloadable!]
    19. Helena Beltran & Alain Durré & Pierre Giot, 2004. "How does liquidity react to stress periods in a limit order market?," Research series 200405-5, National Bank of Belgium. [Downloadable!]
    20. Katsuhiko Muramiya & Kazuhisa Otogawa & Tomomi Takada, 2008. "Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan," Discussion Paper Series 233, Research Institute for Economics & Business Administration, Kobe University. [Downloadable!]
    21. Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance 9904002, EconWPA. [Downloadable!]
      Other versions:
    22. Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2005-W26, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    23. Alfonso Dufour & Robert Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 1999-15, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    24. Robert Engle & Asger Lunde, 1998. "Trades and Quotes: A Bivariate Point Process," University of California at San Diego, Economics Working Paper Series 1998-07, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    25. Niemeyer, Jonas & Sandås, Patrik, 1995. "An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange," Working Paper Series in Economics and Finance 44, Stockholm School of Economics. [Downloadable!]
    26. Simon Gervais & Ron Kaniel & Dan Mingelgrin, . "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 01-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
      Other versions:
    27. Paiardini, Paola, 2009. "Informed Trading in Parallel Bond Markets," Economics & Statistics Discussion Papers esdp09053, University of Molise, Dept. SEGeS. [Downloadable!]
    28. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," FRU Working Papers 2004/03, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
      Other versions:
    29. Serge Darolles & Christian Gourieroux & Gaëlle Le Fol, 2000. "Intraday Transaction Price Dynamics," Annales d'Economie et de Statistique, ADRES, issue 60, pages 10, Octobre-D. [Downloadable!]
    30. Miguel Angel Martinez & Gonzalo Rubio & Mikel Tapia, 2003. "Understanding the ex-Ante cost of liquidity in the limit order book: A note," DFAEII Working Papers 200203, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
    31. Bekaert, Geert & Harvey, Campbell & Lundblad, Christian T., 2006. "Liquidity and Expected Returns: Lessons from Emerging Markets," CEPR Discussion Papers 5946, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    32. Menkhoff, Lukas & Schmeling, Maik, 2009. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-415, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    33. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
      Other versions:
    34. Avanidhar Subrahmanyam, 1989. "Price Volatility, International Market Links and their Implications for Regulatory Policies," University of California at Los Angeles, Anderson Graduate School of Management 1188, Anderson Graduate School of Management, UCLA. [Downloadable!]
    35. Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-357, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    36. Esther Brio & Javier Perote, 2007. "What Enhances Insider Trading Profitability?," Atlantic Economic Journal, International Atlantic Economic Society, vol. 35(2), pages 173-188, June. [Downloadable!] (restricted)
    37. Ewa Majerowska, . "Disequilibrium Trading and Market Constraints, Theoretical Foundations: The Case of the Warsaw Stock Exchange," Discussion Papers in European Economics 99/2, Department of Economics, University of Leicester. [Downloadable!]
    38. Matos, João Manuel Gonçalves Amaro de & Fernandes, Marcelo, 2001. "Testing The Markov Property with Ultra High Frequency Financial Data," Economics Working Papers (Ensaios Economicos da EPGE) 414, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    39. Dimitri Vayanos & Jiang Wang, 2009. "Liquidity and Asset Prices: A Unified Framework," NBER Working Papers 15215, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    40. Juan Cruces & Enrique Kawamura, 2005. "Transacciones basadas en información privilegiada y conducción empresarial en América Latina," RES Working Papers 3207, Inter-American Development Bank, Research Department. [Downloadable!]
    41. Shino Takayama & Han Ozsoylev, 2005. "A Dynamic Analysis of Bid-Ask Spreads with Multiple Trade Sizes," Finance 0509007, EconWPA. [Downloadable!]
    42. Juan Cruces & Enrique Kawamura, 2005. "Insider Trading and Corporate Governance in Latin America," RES Working Papers 3206, Inter-American Development Bank, Research Department. [Downloadable!]
    43. Sigridur Benediktsdottir, 2006. "An empirical analysis of specialist trading behavior at the New York Stock Exchange," International Finance Discussion Papers 876, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    44. Aditya Goenka, 2000. "Informed Trading and the "Leakage" of Information," Economics Discussion Papers 528, University of Essex, Department of Economics. [Downloadable!]
      Other versions:
    45. Jón Daníelsson & Ryan Love, 2006. "Feedback trading

      This paper is also available at www.riskresearch.org

      ," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 35-53. [Downloadable!]
    46. Georg Nöldeke & Thomas Tröger, 2004. "On the Existence of Linear Equilibria in the Rochet-Vila Model of Market Making," Bonn Econ Discussion Papers bgse19_2004, University of Bonn, Germany. [Downloadable!]
    47. Doug Steigerwald & Richard Vagnoni, 2001. "Option Market Microstructure and Stochastic Volatility," University of California at Santa Barbara, Economics Working Paper Series 17-01, Department of Economics, UC Santa Barbara. [Downloadable!]
    48. Pu Shen & Ross M. Starr, 2000. "Market makers' supply and pricing of financial market liquidity," Research Working Paper RWP 00-03, Federal Reserve Bank of Kansas City. [Downloadable!]
    49. Matos, Joao Amaro de & Rosario, Joao Sobral do, 2000. "The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic financial Market," FEUNL Working Paper Series wp389, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
    50. Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise in Theory and Practice," PIER Working Paper Archive 08-038, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    51. Antonio Guarino & Marco Cipriani, 2008. "Herd Behavior in Financial Markets: An Experiment with Financial Market Professionals," IMF Working Papers 08/141, International Monetary Fund. [Downloadable!]
      Other versions:
    52. Matos, Joao Amaro de & Antao, Paula, 2000. "Market Illiquidity and the Bid-Ask Spread of Derivatives," FEUNL Working Paper Series wp386, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
    53. Katya Malinova & Andreas Park, 2009. "Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading," Working Papers tecipa-358, University of Toronto, Department of Economics. [Downloadable!]
    54. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
    55. Pu Shen & Ross Starr, 2000. "Market Makers' Supply and Pricing of Financial Market Liquidity," University of California at San Diego, Economics Working Paper Series 2000-28, Department of Economics, UC San Diego. [Downloadable!]
    56. Saffi, Pedro, 2008. "Expected returns and liquidity risk: Does entrepreneurial income matter?," IESE Research Papers D/749, IESE Business School. [Downloadable!]
    57. Rafael Romeu, 2003. "An Intraday Pricing Model of Foreign Exchange Markets," IMF Working Papers 03/115, International Monetary Fund. [Downloadable!]
    58. David Porter & Yusif Simaan & Daniel Weaver & David Whitcomb, 2006. "Effect of the Actual Size Rule Under Market Stress," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 87-103, March. [Downloadable!] (restricted)
    59. PASCUAL, Roberto & VEREDAS, David, 2006. "Does the open limit order book matter in explaining long run volatility ?," CORE Discussion Papers 2006110, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    60. Guillaume Rocheteau, 2009. "Information and liquidity: a discussion," Working Paper 0902, Federal Reserve Bank of Cleveland. [Downloadable!]
    61. Timotheos Angelidis & Alexandros Benos, . "The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange," Working Papers 0615, University of Crete, Department of Economics. [Downloadable!]
      Other versions:
    62. Giancarlo Corsetti & Paolo Pesenti & Nouriel Roubini, 2001. "The Role of Large Players in Currency Crises," NBER Working Papers 8303, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    63. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

  23. Easley, David & Kiefer, Nicholas M & Possen, Uri, 1985. "An Equilibrium Analysis of Optimal Unemployment Insurance and Taxation," The Quarterly Journal of Economics, MIT Press, vol. 100(5), pages 989-1010, Supp.. [Downloadable!] (restricted)

    Cited by:

    1. Gary D. Hansen & Ayse Imrohoroglu, 1990. "The Role of Unemployment Insurance in an Economy with Liquidity Constraints and Moral Hazard," UCLA Economics Working Papers 583, UCLA Department of Economics. [Downloadable!]
      Other versions:
    2. Ortigueira, Salvador, 2001. "Unemployment Benefits and the Persistence of European Unemployment," Working Papers 01-16, Cornell University, Center for Analytic Economics. [Downloadable!]
      Other versions:
    3. Christian Arnsperger & David Croix, 1996. "Envy-minimizing unemployment benefits," Review of Economic Design, Springer, vol. 2(1), pages 119-146, December. [Downloadable!] (restricted)
      Other versions:
    4. Christian Schluter, 1997. "On the Performance of Social Benefit Systems," STICERD - Distributional Analysis Research Programme Papers 28, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]

  24. Blume, Lawrence E. & Easley, David, 1984. "Rational expectations equilibrium: An alternative approach," Journal of Economic Theory, Elsevier, vol. 34(1), pages 116-129, October. [Downloadable!] (restricted)

    Cited by:

    1. David Goldbaum, 2000. "Profitability And Market Stability: Fundamentals And Technical Trading Rules," Computing in Economics and Finance 2000 85, Society for Computational Economics. [Downloadable!]
    2. Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    3. El-Gamal, Mahmoud A. & Sundaram, Rangarajan K., 1989. "Bayesian Economist ... Bayesian Agents I: An Alternative Approach to Optimal Learning," Working Papers 705, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
    4. Nyarko, Yaw, 1990. "On The Convergence Of Bayesian Posterior Processes In Linear Economic Models: Counting Equations And Unknowns," Working Papers 90-01, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]

  25. David Easley & Maureen O'Hara, 1983. "The Economic Role of the Nonprofit Firm," Bell Journal of Economics, The RAND Corporation, vol. 14(2), pages 531-538, Autumn. [Downloadable!] (restricted)

    Cited by:

    1. Edward L. Glaeser & Andrei Shleifer, 1998. "Not-For-Profit Entrepreneurs," NBER Working Papers 6810, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Grout, Paul & Schnedler, Wendelin, 2008. "Non-Profit Organizations in a Bureaucratic Environment," Sonderforschungsbereich 504 Publications 08-17, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
      Other versions:
    3. Bernard Enjolras, 2004. "Individual action, institutions and social change : an approach in terms of convention," Cahiers de la Maison des Sciences Economiques r04052, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
    4. Al Slivinski, 1999. "Team Incentives and Organizational Form," UWO Department of Economics Working Papers 9916, University of Western Ontario, Department of Economics. [Downloadable!]
      Other versions:
    5. Ginger Zhe Jin & Alex Whalley, 2007. "The Power of Attention: Do Rankings Affeect the Financial Resources of Public Colleges?," NBER Working Papers 12941, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Haruko Noguchi & Satoshi Shimizutani, 2005. "Nonprofit and For-profit Providers in Japan's At-home Care Industry: Evidence on Quality of Service and Household Choice," Hi-Stat Discussion Paper Series d04-73, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
      Other versions:
    7. M. Shahid Ebrahim, 2008. "Can an Islamic Model of Housing Finance Cooperative Elevate the Economic Status of the Underprivileged?," Papers on Economics of Religion 08/04, Department of Economic Theory and Economic History of the University of Granada.. [Downloadable!]
    8. Anup Malani & Tomas Philipson & Guy David, 2003. "Theories of Firm Behavior in the Nonprofit Sector. A Synthesis and Empirical Evaluation," NBER Chapters, in: The Governance of Not-for-Profit Organizations, pages 181-216 National Bureau of Economic Research, Inc. [Downloadable!]
    9. Jed DeVaro & Dana Samuelson, 2005. "Why Are Promotions Less Likely in Nonprofit Firms?," Labor and Demography 0501010, EconWPA. [Downloadable!]
    10. Bruno Bises, 2000. "Exemption or Taxation for Profits of Non-Profits? An Answer from a Model Incorporating Managerial Discretion," Public Choice, Springer, vol. 104(1), pages 19-39, July. [Downloadable!] (restricted)
    11. Mersland, Roy, 2007. "The cost of ownership in microfinance organization," MPRA Paper 2061, University Library of Munich, Germany. [Downloadable!]
    12. Edward Schumacher, 2009. "Does Public or Not-for-Profit Status Affect the Earnings of Hospital Workers?," Journal of Labor Research, Springer, vol. 30(1), pages 9-34, March. [Downloadable!] (restricted)
    13. Chumacero, Romulo & Paredes, Ricardo, 2008. "Should for-profit schools be banned?," MPRA Paper 15099, University Library of Munich, Germany. [Downloadable!]

  26. Blume, L. E. & Bray, M. M. & Easley, D., 1982. "Introduction to the stability of rational expectations equilibrium," Journal of Economic Theory, Elsevier, vol. 26(2), pages 313-317, April. [Downloadable!] (restricted)

    Cited by:

    1. Holden, Tom, 2008. "Rational macroeconomic learning in linear expectational models," MPRA Paper 10872, University Library of Munich, Germany. [Downloadable!]
    2. Ricardo Grinspun, 1995. "Learning rational expectations in an asset market," Journal of Economics, Springer, vol. 61(3), pages 215-243, October. [Downloadable!] (restricted)
    3. Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    4. Ehud Kalai & Ehud Lehrer, 1990. "Rational Learning Leads to Nash Equilibrium," Discussion Papers 925, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
      Other versions:
    5. Larry Blume & David Easley, 2001. "If You're So Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets," Cowles Foundation Discussion Papers 1319, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    6. James Dow & Gary Gorton, 2006. "Noise Traders," NBER Working Papers 12256, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    7. Sciubba, E., 1999. "Asymmetric Information and Survival in Financial Markets," Cambridge Working Papers in Economics 9908, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    8. Rajiv Sethi, 1992. "Dynamics of learning and the financial instability hypothesis," Journal of Economics, Springer, vol. 56(1), pages 39-70, February. [Downloadable!] (restricted)
    9. Harrison Hong & Jeremy C. Stein, 2003. "Simple Forecasts and Paradigm Shifts," NBER Working Papers 10013, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    10. El-Gamal, Mahmoud A. & Sundaram, Rangarajan K., 1989. "Bayesian Economist ... Bayesian Agents I: An Alternative Approach to Optimal Learning," Working Papers 705, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
    11. Huberto M. Ennis & Todd Keister, 2003. "Government Policy and the Probability of Coordination Failures," Working Papers 0301, Centro de Investigacion Economica, ITAM. [Downloadable!]
      Other versions:
    12. John H. Boyd & Michael Dotsey, 1990. "Interest rate rules and nominal determinacy," Working Paper 90-01, Federal Reserve Bank of Richmond. [Downloadable!]
      Other versions:

  27. Blume, Lawrence E. & Easley, David, 1982. "Learning to be rational," Journal of Economic Theory, Elsevier, vol. 26(2), pages 340-351, April. [Downloadable!] (restricted)

    Cited by:

    1. Lawrence E. Blume & David Easley, 1997. "Optimality and Natural Selection in Markets," GE, Growth, Math methods 9712003, EconWPA, revised 09 Jul 1998. [Downloadable!]
      Other versions:
    2. Pradeep Dubey & John Geanakoplos & Martin Shubik, 1982. "Revelation of Information in Strategic Market Games: A Critique of Rational Expectations," Cowles Foundation Discussion Papers 634R, Cowles Foundation, Yale University, revised Nov 1985. [Downloadable!]
    3. W. Brian Arthur & John H. Holland & Blake LeBaron & Richard Palmer & Paul Taylor, 1996. "Asset Pricing Under Endogenous Expectation in an Artificial Stock Market," Working Papers 96-12-093, Santa Fe Institute.
    4. Markus Pasche, 1998. "An Approach to Robust Decision Making: The Rationality of Heuristic Behavior," Working Paper Series B 1998-10, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultïät. [Downloadable!]
    5. Ricardo Grinspun, 1995. "Learning rational expectations in an asset market," Journal of Economics, Springer, vol. 61(3), pages 215-243, October. [Downloadable!] (restricted)
    6. Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    7. Sciubba, E., 1999. "Asymmetric Information and Survival in Financial Markets," Cambridge Working Papers in Economics 9908, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    8. Athanasios Orphanides & John C. Williams, 2002. "Imperfect knowledge, inflation expectations, and monetary policy," Working Papers in Applied Economic Theory 2002-04, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    9. William C. Gruben, 1992. "On the future erosion of the North American Free Trade Agreement," Research Paper 9208, Federal Reserve Bank of Dallas. [Downloadable!]
    10. Jie-Shin Lin & Chris Birchenhall, 2000. "Learning And Adaptive Artificial Agents: An Analysis Of Evolutionary Economic Models," Computing in Economics and Finance 2000 327, Society for Computational Economics. [Downloadable!]

  28. Blume, Lawrence & Easley, David & O'Hara, Maureen, 1982. "Characterization of optimal plans for stochastic dynamic programs," Journal of Economic Theory, Elsevier, vol. 28(2), pages 221-234, December. [Downloadable!] (restricted)

    Cited by:

    1. Tsur, Yacov & Graham-Tomasi, Theodore, 1990. "The Buffer Value Of Groundwater With Stochastic Surface Water Supplies," Staff Papers 14148, University of Minnesota, Department of Applied Economics. [Downloadable!]
    2. Timothy J. Kehoe & David K. Levine & Paul M. Romer, 1989. "Determinacy of equilibria in dynamic models with finitely many consumers," Staff Report 118, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    3. Graham-Tomasi, Theodore, 1985. "Uncertainty, Information, And Irreversible Investments," Staff Papers 14047, University of Minnesota, Department of Applied Economics. [Downloadable!]
    4. Mitra, Tapan & Privileggi, Fabio, 2003. "Cantor Type Invariant Distributions in the Theory of Optimal Growth under Uncertainty," Working Papers 03-09, Cornell University, Center for Analytic Economics. [Downloadable!]
    5. Aliprantis, C.D. & Camera, G. & Ruscitti, F., 2007. "Monetary Equilibrium and the Differentiability of the Value Function," Purdue University Economics Working Papers 1199, Purdue University, Department of Economics. [Downloadable!]
      Other versions:
    6. Kazuo Nishimura & Ryszard Rudnicki & John Stachurski, 2004. "Stochastic Growth With Nonconvexities:The Optimal Case," Department of Economics - Working Papers Series 897, The University of Melbourne. [Downloadable!]
    7. Benhabib, Jess & Jovanovic, Boyan, 1989. "Growth Accounting And Externalities," Working Papers 89-10, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
    8. Noah Williams, 2003. "Small Noise Asymptotics for a Stochastic Growth Model," NBER Working Papers 10194, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. Timothy J. Kehoe & David K. Levine & Paul Romer, 1989. "Steady States and Determinacy in Economies with Infinitely Lived Agents," Levine's Working Paper Archive 52, David K. Levine. [Downloadable!]
    10. Fabio Privileggi, 1995. "A characterization for solutions of stochastic discrete time optimization models," Decisions in Economics and Finance, Springer, vol. 18(2), pages 165-180, September. [Downloadable!] (restricted)
    11. Olson, Lars & Roy, Santanu, 2005. "Theory of Stochastic Optimal Economic Growth," Working Papers 28601, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
    12. DAKHLAOUI Ahlem & MOREAUX Michel, 2007. "Trade-off between Hydro and Thermal Power Generation under Uncertainty," Working Papers 07.13.234, LERNA, University of Toulouse. [Downloadable!]
    13. Jess Benhabib & Boyan Jovanovic, 1989. "Externalities and Growth Accounting," NBER Working Papers 3190, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    14. DAKHLAOUI Ahlem, 2007. "Dynamic games in the wholesale electricity market," Working Papers 07.21.242, LERNA, University of Toulouse. [Downloadable!]
    15. Travis D. Nesmith, 2005. "Solving stochastic money-in-the-utility-function models," Finance and Economics Discussion Series 2005-52, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  29. Easley, David & Spulber, Daniel F, 1981. "Stochastic Equilibrium and Optimality with Rolling Plans," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 79-103, February. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

Chapters

  1. Easley, David & O'Hara, Maureen, 2003. "Microstructure and asset pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 17, pages 1021-1051 Elsevier. [Downloadable!] (restricted)

    Cited by:

    1. James Dow & Gary Gorton, 2006. "Noise Traders," NBER Working Papers 12256, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

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