Concepedia

Market Microstructure

Market Microstructure is the academic study of the processes, mechanisms, and institutional arrangements that govern the determination of prices and the execution of trades within financial markets, distinguishing it from broader asset pricing and financial economics by focusing on the granular dynamics of trading systems, liquidity provision, information asymmetry, and order flow.

4K

Publications

382K

Citations

4.9K

Authors

1.8K

Institutions

Publications per year

2017–2026

690

Parents

Children

Publications

4K

The Behavior of Stock-Market Prices

Eugene F. Fama · The Journal of Business · 1965 · 8.7K citations

, , +12

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Lawrence R. Glosten, Paul Milgrom · Journal of Financial Economics · 1985 · 6.4K citations

, , +7

Asset pricing and the bid-ask spread

Yakov Amihud, Haim Mendelson · Journal of Financial Economics · 1986 · 5.3K citations

, , +17

Market Liquidity and Funding Liquidity

Markus K. Brunnermeier, Lasse Heje Pedersen · Review of Financial Studies · 2008 · 4.9K citations

, , +14

INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION

Richard A. Brealey, Hayne E. Leland, David H. Pyle · The Journal of Finance · 1977 · 4.1K citations · Full text

, , +16

1–5 of 4K

Authors

4.9K

  1. MO
    Maureen O’Hara

    Cornell University, United States

    58 publications · 17.7K citations

    42

    h-index

  2. DE
    David Easley

    Cornell University, United States

    34 publications · 12.6K citations

    25

    h-index

  3. AS
    Avanidhar Subrahmanyam

    University of California, Los Angeles, United States

    30 publications · 8.4K citations

    24

    h-index

  4. JH
    Joel Hasbrouck

    New York University, United States

    21 publications · 4K citations

    21

    h-index

  5. FL
    Fabrizio Lillo

    Scuola Normale Superiore, Italy

    26 publications · 2.4K citations

    20

    h-index

1–5 of 4.9K

Institutions

1.8K

  1. Cornell University

    Ithaca, United States

    66 h-index

    173 publications

    41.2K citations

  2. National Bureau of Economic Research

    Cambridge, United States

    49 h-index

    206 publications

    19.1K citations

  3. New York University

    New York, United States

    43 h-index

    95 publications

    18.8K citations

  4. University of Chicago

    Chicago, United States

    36 h-index

    70 publications

    17.5K citations

  5. University of California, Los Angeles

    Los Angeles, United States

    34 h-index

    87 publications

    19.4K citations

  6. University of California, Berkeley

    Berkeley, United States

    34 h-index

    64 publications

    7.7K citations

  7. Centre for Economic Policy Research

    London, United Kingdom

    34 h-index

    91 publications

    5.7K citations

  8. Stanford University

    Stanford, United States

    31 h-index

    65 publications

    15.9K citations

1–8 of 1.8K

Venues

  1. The Journal of Finance

    227 publications · 67.3K citations

    118

    h-index

  2. SSRN Electronic Journal

    Repository · 736 publications · 31.2K citations

    84

    h-index

  3. Journal of Financial Economics

    96 publications · 41K citations

    73

    h-index

  4. Review of Financial Studies

    93 publications · 31.2K citations

    66

    h-index

  5. Journal of Financial and Quantitative Analysis

    JFQA · 90 publications · 12.3K citations

    54

    h-index

1–5