Concepedia

Market Microstructure Analysis

Market Microstructure Analysis is a systematic analytical framework within algorithmic trading analytics that investigates the mechanisms, dynamics, and outcomes of financial market trading processes at the most granular level, distinguishing itself by focusing on the structural determinants of price formation, liquidity, and execution efficiency.

800

Publications

71.5K

Citations

1.3K

Authors

755

Institutions

Publications per year

2017–2026

139

Parents

Publications

800

Information and the Cost of Capital

David Easley, Maureen O’Hara · The Journal of Finance · 2004 · 3.1K citations · Full text

, , +17

Price, trade size, and information in securities markets

David Easley, Maureen O’Hara · Journal of Financial Economics · 1987 · 2.3K citations

, , +14

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

Robert F. Engle, Jeffrey R. Russell · Econometrica · 1998 · 1.9K citations

, , +17

Is Information Risk a Determinant of Asset Returns?

David Easley, Soeren Hvidkjaer, Maureen O’Hara · The Journal of Finance · 2002 · 1.8K citations · Full text

, , +16

Commonality in liquidity

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam · Journal of Financial Economics · 2000 · 1.7K citations

, , +17

1–5 of 800

Authors

1.3K

  1. MO
    Maureen O’Hara

    Cornell University, United States

    22 publications · 12.9K citations

    19

    h-index

  2. DE
    David Easley

    Cornell University, United States

    14 publications · 10.6K citations

    13

    h-index

  3. AS
    Albert S. Kyle

    University of Maryland, College Park, United States

    12 publications · 609 citations

    11

    h-index

  4. RA
    Robert A. Van Ness

    University of Mississippi, United States

    11 publications · 627 citations

    11

    h-index

  5. AA
    Anna A. Obizhaeva

    New Economic School, Russia

    11 publications · 418 citations

    10

    h-index

1–5 of 1.3K

Institutions

755

  1. Cornell University

    Ithaca, United States

    22 h-index

    44 publications

    23.5K citations

  2. National Bureau of Economic Research

    Cambridge, United States

    15 h-index

    19 publications

    1.5K citations

  3. New York University

    New York, United States

    15 h-index

    17 publications

    1.6K citations

  4. University of Pennsylvania

    Philadelphia, United States

    15 h-index

    18 publications

    3.6K citations

  5. Centre for Economic Policy Research

    London, United Kingdom

    12 h-index

    15 publications

    958 citations

  6. University of Chicago

    Chicago, United States

    12 h-index

    15 publications

    2.3K citations

  7. The University of Sydney

    Sydney, Australia

    11 h-index

    22 publications

    1.6K citations

  8. UNSW Sydney

    Sydney, Australia

    10 h-index

    14 publications

    773 citations

1–8 of 755

Venues

  1. SSRN Electronic Journal

    Repository · 148 publications · 6.9K citations

    36

    h-index

  2. The Journal of Finance

    35 publications · 12.1K citations

    32

    h-index

  3. 25

    h-index

  4. Journal of Financial Economics

    18 publications · 9.9K citations

    17

    h-index

  5. Journal of Financial and Quantitative Analysis

    JFQA · 17 publications · 1.8K citations

    17

    h-index

1–5