Concepedia

Market Microstructure Models

Market Microstructure Models is a theoretical and empirical framework that characterizes the price formation process, trading mechanisms, and informational inefficiencies in financial markets at high-frequency time scales by explicitly accounting for discrete交易 events, latency, and individual trade-level dynamics.

1.4K

Publications

134.1K

Citations

2.2K

Authors

1.1K

Institutions

Publications per year

2017–2026

241

Parents

Publications

1.4K

The Behavior of Stock-Market Prices

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

, , +12

A Theory of Intraday Patterns: Volume and Price Variability

Anat R. Admati, Paul Pfleiderer · Review of Financial Studies · 1988 · 3.3K citations

, , +8

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

1–5 of 1.4K

Authors

2.2K

  1. MO
    Maureen O’Hara

    Cornell University, United States

    19 publications · 11.1K citations

    17

    h-index

  2. DE
    David Easley

    Cornell University, United States

    15 publications · 10.2K citations

    14

    h-index

  3. DS
    Didier Sornette

    ETH Zurich, Switzerland

    10 publications · 845 citations

    10

    h-index

  4. TL
    Thomas Lux

    Christian-Albrechts-Universität zu Kiel, Germany

    10 publications · 2.8K citations

    10

    h-index

  5. FL
    Fabrizio Lillo

    Scuola Normale Superiore, Italy

    10 publications · 498 citations

    10

    h-index

1–5 of 2.2K

Institutions

1.1K

  1. National Bureau of Economic Research

    Cambridge, United States

    28 h-index

    51 publications

    9.6K citations

  2. New York University

    New York, United States

    25 h-index

    42 publications

    4.2K citations

  3. Cornell University

    Ithaca, United States

    22 h-index

    53 publications

    23.8K citations

  4. University of Chicago

    Chicago, United States

    18 h-index

    26 publications

    4.3K citations

  5. Centre for Economic Policy Research

    London, United Kingdom

    16 h-index

    21 publications

    1.5K citations

  6. Santa Fe Institute

    Santa Fe, United States

    16 h-index

    27 publications

    2.4K citations

  7. London School of Economics and Political Science

    London, United Kingdom

    15 h-index

    22 publications

    3.6K citations

  8. University of California, Los Angeles

    Los Angeles, United States

    15 h-index

    22 publications

    10K citations

1–8 of 1.1K

Venues

  1. SSRN Electronic Journal

    Repository · 223 publications · 9.9K citations

    47

    h-index

  2. The Journal of Finance

    40 publications · 11.3K citations

    33

    h-index

  3. 30

    h-index

  4. Review of Financial Studies

    25 publications · 12.2K citations

    25

    h-index

  5. Journal of Financial Economics

    24 publications · 9.9K citations

    23

    h-index

1–5