D Easley… - Journal of Financial economics, 1987 - Elsevier
Abstract This paper investigates the effect of trade size on security prices. We show that
trade size introduces an adverse selection problem into security trading because, given that
they wish to trade, informed traders perfer to trade larger amounts at any given price. As a ...
D Easley… - The journal of finance, 2004 - Wiley Online Library
We investigate the role of information in affecting a firm's cost of capital. We show that
differences in the composition of information between public and private information affect
the cost of capital, with investors demanding a higher return to hold stocks with greater ...
D Easley, S Hvidkjaer… - The Journal of Finance, 2002 - Wiley Online Library
We investigate the role of information–based trading in affecting asset returns. We show in a
rational expectation example how private information affects equilibrium asset returns. Using
a market microstructure model, we derive a measure of the probability of information– ...
D Easley… - Journal of Finance, 1992 - JSTOR
This paper delineates the link between the existence of information, the timing of trades, and
the stochastic process of prices. We show that time affects prices, with the time between
trades affecting spreads. Because the absence of trades is correlated with volume, our ...
D Easley, NM Kiefer, M O'hara… - Journal of Finance, 1996 - JSTOR
This article investigates whether differences in information-based trading can explain
observed differences in spreads for active and infrequently traded stocks. Using a new
empirical technique, we estimate the risk of information-based trading for a sample of New ...
L Blume, D Easley… - Journal of Finance, 1994 - JSTOR
We investigate the informational role of volume and its applicability for technical analysis.
We develop a new equilibrium model in which aggregate supply is fixed and traders receive
signals with differing quality. We show that volume provides information on information ...
D Easley, NM Kiefer… - Review of Financial …, 1997 - Soc Financial Studies
Abstract Using the model structure of Easley and O'Hara (Journal of Finance, 47, 577-604),
we demonstrate how the parameters of the market-maker's beliefs can be estimated from
trade data. We show how to extract information from both trade and no-trade intervals, and ...
D Easley, M O'hara… - The Journal of Finance, 1998 - Wiley Online Library
This paper investigates the informational role of transactions volume in options markets. We
develop an asymmetric information model in which informed traders may trade in option or
equity markets. We show conditions under which informed traders trade options, and we ...
D Easley, NM Kiefer… - Journal of Finance, 1996 - JSTOR
Purchased order flow refers to the practice of dealers or trading locales paying brokers for
retail order flow. It is alleged that such agreements are used to" cream skim" uninformed
liquidity trades, leaving the information-based trades to established markets. We develop ...
L Blume… - Journal of Economic Theory, 1992 - Elsevier
Abstract In a conventional asset market model we study the evolutionary process generated
by wealth flows between investors. Asymptotic behavior of our model is completely
determined by the investors' expected growth rates of wealth share. Investment rules are ...
D Easley, NM Kiefer… - Journal of Empirical Finance, 1997 - Elsevier
The trade process is a stochastic process of transactions interspersed with periods of
inactivity. The realizations of this process are a source of information to market participants.
They cause prices to move as they affect the market maker's beliefs about the value of the ...
D Easley… - 2010 - Cambridge Univ Press
“The field of information networks is an emerging discipline of immense importance that
combines graph theory, probability and statistics, microeconomics and facets of the social
sciences. Easley and Kleinberg present a panoramic view of this field, from basic graph ...
D Easley… - Econometrica: Journal of the Econometric Society, 1988 - JSTOR
The problem of controlling a stochastic process with unknown parameters over an infinite
horizon with discounting is considered. The possibility of sacrificing current period expected
reward for information leading to possible increases in future reward is examined. Agents ...
D Easley, M O'Hara… - Journal of Financial Markets, 1998 - Elsevier
In this research, we investigate the informational role of financial analysts. Using a trade-
based empirical technique, we estimate the probability of information-based trading for a
sample of NYSE stocks that differ in analyst coverage. We determine how this probability ...
L Blume… - Econometrica, 2006 - Wiley Online Library
This paper provides an analysis of the asymptotic properties of Pareto optimal consumption
allocations in a stochastic general equilibrium model with heterogeneous consumers. In
particular, we investigate the market selection hypothesis that markets favor traders with ...
D Easley… - The Bell Journal of Economics, 1983 - JSTOR
This article demonstrates that the partitioning of economic activity into for-profit and nonprofit
organizations can be at least partially described as the solution to an optimal contracting
problem. We show that nonprofit firms may be superior to for-profit firms if the output ...
D Easley, M O'hara… - Journal of Financial and …, 2001 - Cambridge Univ Press
Abstract Extending an empirical technique developed in Easley, Kiefer, and O'Hara
(1996),(1997a), we examine different hypotheses about stock splits. In line with the trading
range hypothesis, we find that stock splits attract uninformed traders. However, we also ...
LE Blume… - Journal of Economic Theory, 1982 - Elsevier
Abstract We study the dynamical system of expectations generated by a simple general
equilibrium model of an exchange economy in which each agent considers a finite collection
of models, each of which specifies a relationship between payoff-relevant information and ...
D Easley… - Working Papers, 1993 - econpapers.repec.org
Published in The Double Auction Market: Institutions, Theories and Evidence, edited by D.
Friedman, J. Geankoplos, D. Lane, and J. Rust, Santa Fe Institute Studies in the Sciences of
Complexity, Proceedings Volume XV., Addison-Wesley 1992. ... Related works: This item ...
D Easley, S Hvidkjaer… - Journal of Financial and …, 2010 - Cambridge Univ Press
Abstract We examine the potential profits of trading on a measure of private information
(PIN) in a stock. A zero-investment portfolio which is size neutral, but long in high PIN stocks
and short in low PIN stocks earns a significant abnormal return. The Fama-French, ...
D Easley, RF Engle, M O'hara… - Journal of Financial …, 2008 - Oxford Univ Press
Abstract We propose a dynamic econometric microstructure model of trading, and we
investigate how the dynamics of trades and trade composition interact with the evolution of
market liquidity, market depth, and order flow. We estimate a bivariate generalized ...
LE Blume, MM Bray… - Journal of Economic Theory, 1982 - Elsevier
Abstract This paper surveys the literature which examines the stability of the expectations
that agents are assumed to have in a rational expectations equilibrium (REE). This issue is
more complex than the usual statistical estimation problem because the relationship ...
D Easley… - Journal of Financial and Quantitative …, 1992 - Cambridge Univ Press
Abstract This paper examines the adverse selection problem that arises from the repeated
trades of informed traders. We develop a model of trading that incorporates the interaction of
expectations, prices, and volume. We then examine how trading volume affects the speed ...
D Easley… - Journal of Finance, 1991 - JSTOR
This paper examines the effects of price-contingent orders on security prices. We show that
a market maker who knows the type and composition of trades will set larger spreads and
adjust prices faster than if price-contingent orders were not allowed. Because traders have ...
L Blume, D Easley… - Journal of Economic Theory, 1982 - Elsevier
Abstract This paper provides general techniques for the characterization of optimal plans
resulting from stochastic dynamic programming. We show that under standard assumptions
the optimal plans in both finite and infinite horizon problems can be obtained by an ...
LE Blume… - … : Essays in economic analysis: A tribute to …, 1998 - books.google.com
The issue of expectation formation arises naturally in economies with a sequence of spot
and incomplete futures markets. In such economies, individuals use forecasts of future
prices in order to make decisions about current consumption and investment. Equilibria in ...
D Easley… - Review of Financial Studies, 2009 - Soc Financial Studies
Abstract We investigate the implications of ambiguity aversion for performance and
regulation of markets. In our model, agents' decision making may incorporate both risk and
ambiguity, and we demonstrate that nonparticipation arises from the rational decision by ...
D Easley… - Econometrica, 1999 - Wiley Online Library
We provide an axiomatic foundation for decision making in a complex environment. We do
not assume that the decision maker has complete structural knowledge of the environment.
Instead the agent knows the set of actions he can take, he formulates preferences directly ...
LE Blume… - Journal of Economic Theory, 1984 - Elsevier
Abstract We study a dynamic market process in which traders condition their beliefs about
payoff-relevant parameters on past endogenously generated market data and current
exogenous data. We say that a market process is informative if the beliefs of traders who ...
L Blume… - Journal of Economic Theory, 1990 - Elsevier
Abstract In an exchange economy with differentially informed traders, Non-exclusivity of
information (NEI) is the condition that each trader's private information be perfectly
predictable by an outside observer who has observed the private information of all other ...
H Aslan, D Easley, S Hvidkjaer… - Unpublished Working …, 2007 - papers.ssrn.com
Abstract: This paper investigates the linkage of microstructure, accounting, and asset pricing.
We determine the relationship between firm characteristics as captured by accounting and
market data and a firm's probability of private information-based trade (PIN) as estimated ...
D Easley… - Journal of Financial Economics, 2010 - Elsevier
During the 2007–2009 financial crisis there was little or no trading in a variety of financial
assets, even though bid and ask prices existed for many of these assets. We develop a
model in which this illiquidity arises from uncertainty, and we argue that this new form of ...
D Easley… - Handbook of the Economics of Finance, 2003 - Elsevier
Abstract Market microstructure and asset pricing both consider the behavior and formation of
prices in asset markets. Yet neither literature explicitly recognizes the importance and role of
the factors so crucial to the other approach. This survey seeks to join the two literatures by ...
[CITATION] Optimal nonprofit firms
D Easley, M O'Hara - The …, 1986 - Oxford University Press: Oxford, UK
D Easley, RT Masson… - The Journal of Industrial Economics, 1985 - JSTOR
THE RECENT antitrust policy literature which seeks to define predatory pricing contains a
flood of proposals which have" pervasively transformed an entire body of law". 1 One theme
of this literature is that a readily anticipatable standard should be established, so that firms ...
LE Blume… - Journal of Economic Theory, 2002 - Elsevier
We ask if natural selection in markets favors profit-maximizing firms and, if so, is there a
difference between the predictions of models which assume all firms are profit maximizers
and the predictions of models which explicitly take account of population dynamics in the ...
[CITATION] What has the rational learning literature taught us
L Blume… - Learning and Rationality in Economics, Oxford …, 1995
D Easley, M López de Prado… - 2010 - papers.ssrn.com
Abstract: The 'flash crash'of May 6th 2010 was the second largest point swing (1,010.14
points) and the biggest one-day point decline (998.5 points) in the history of the Dow Jones
Industrial Average. For a few minutes, $1 trillion in market value vanished. In this paper, ...
D Easley… - Johnson GSM, Cornell University, working …, 2005 - econ.upf.edu
Abstract In this paper we examine the role of regulation of financial markets in an economy
with both expected utility maximizing and ambiguity averse traders. Both types of traders are
rational, but ambiguity averse traders do not have enough information about asset ...
LE Blume, D Easley, J Kleinberg… - Games and Economic …, 2009 - Elsevier
In a wide range of markets, individual buyers and sellers trade through intermediaries, who
determine prices via strategic considerations. Typically, not all buyers and sellers have
access to the same intermediaries, and they trade at correspondingly different prices that ...
D Easley… - The Journal of Finance, 2010 - Wiley Online Library
A goal for stock exchanges is to increase participation by firms and investors. We show how
specific features of the microstructure can reduce perceived ambiguity, and induce
participation by both investors and issuers. We develop a model with sophisticated traders ...
D Easley… - Journal of Economic Behavior & Organization, 1988 - Elsevier
Abstract This paper extends the Coase notation of firms as intermediaries between
consumers and input owners to incorporate asymmetric information. We show that in some
cases it is optimal for consumers to pay a fixed price for a product and to ignore how the ...
D Easley… - International Economic Review, 1981 - JSTOR
There has been intensive discussion in the literature on macroplanning and growth about
the appropriate time horizon for the economic decision-maker. The infinite planning horizon
approach has served as a convenient standard of optimality, although the planner may be ...
D Easley, NM Kiefer… - The Quarterly Journal of …, 1985 - qje.oxfordjournals.org
Abstract A two-person, two-period general equilibrium model with uncertainty about second-
period labor productivity is developed. The model is used to consider potential welfare
(Pareto) gains from both a stylized unemployment insurance system and from a negative ...
L Blume… - Economics Letters, 1993 - econpapers.repec.org
By Lawrence Blume and David Easley; Economic natural selection.
M O'Hara… - The Journal of Economic History, 1979 - Cambridge Univ Press
Abstract This paper examines the behavior of the postal savings system in the Depression. It
is shown that because the system was created with an inflexible structure it was unable to
carry out its prescribed function when economic conditions changed in the Depression. ...
D Easley… - International Economic Review, 1989 - JSTOR
This paper is concerned with the need for and the implications of ε-optimality in learning
problems. We consider a control problem in which a Bayesian decision maker faces a
tradeoff between expected current reward and accumulation of information. An example ...
L Blume, T Coury… - Economic Theory, 2006 - Springer
Abstract The no-trade result of Milgrom and Stokey, J Econ Theory 26: 17–27 (1982), states
that if rational traders begin with an ex-ante Pareto optimal allocation then the arrival of
information cannot generate trade. This paper allows traders to trade before and after the ...
D Easley… - … in Operations Research and Management Science, 1995 - Elsevier
... Chapter 12 Market microstructure. David Easley, Maureen O'Hara. Department of Economics,
Cornell University, Ithaca, NY 14853-4201, USA. Johnson Graduate School of Management,
Malott Hall, Cornell University, Ithaca, NY 14853-4201, USA. Available online 2 March 2005 ...
H Aslan, D Easley, S Hvidkjaer… - 2006 - bschool.nus.edu.sg
Microstructure research has increasingly focused on the important real effects of
microstructure variables. While traditionally such research delineated the influence of
microstructure on market variables, more recent research has shown that microstructure ...
D Easley… - J Finance, 2006 - nber.org
A general goal for stock exchanges is to increase participation by firms and investors. There
is a direct reason for doing so as exchanges make money off of trade executions and listing
fees, and both of these are increased by greater participation. 1 But there is also an ...
L Blume, D Easley… - 1998 - 129.3.20.41
Abstract Evolutionary arguments are often used to justify the fundamental behavioral
postulates of competive equilibrium. Economists such as Milton Friedman have argued that
natural selection favors profit maximizing firms over firms engaging in other behaviors. ...
L Blume… - … Markets: Dynamics and Evolution, ed. by …, 2009 - books.google.com
Abstract This chapter surveys asset pricing in dynamic economies with heterogeneous,
rational traders. By rational we mean traders whose decisions can be described by
preference maximization, where preferences are restricted to those that have an ...
L Blume… - Journal of Economic Dynamics and Control, 2009 - Elsevier
The information content of prices is a central problem in the general equilibrium analysis of
competitive markets. Rational expectations equilibrium identifies conditioning
simultaneously on contemporaneous prices and private information as the mechanism by ...
M O'Hara… - EFA 2002 Berlin Meetings Presented Paper; …, 2001 - papers.ssrn.com
Abstract: We investigate the role of information in affecting a firm's cost of capital. Using a
multi-asset rational expectations model, we show that differences in the composition of
information between public and private information affect the cost of capital, with investors ...
[CITATION] On the Game-Theoretic Foundations of Market Equilibrium with Asymmetric Information”
L Blume… - DP CREST C-55, University of Michigan, 1983
D Easley, NM Kiefer… - International Economic Review, 1993 - JSTOR
Insurance aspects of tax policies are studied in a simple intertemporal general equilibrium
model in which agents are uncertain about both the future wage rates and the rate of return
on capital. Taxation and lump-sum subsidy policies generally reduce employment, output ...
D Easley, J Ledyard - 1981 - execed.kellogg.northwestern.edu
One of the main justifications for the use of equilibrium models in economics is the argument
that there are forces at work in any economy which tend to drive the agents and their
decisions towards an equilibrium, if they are not at one already. Equilibrium models have ...
[CITATION] Rationality
L Blume… - The New Palgrave Dictionary of Economics. Palgrave …, 2008
[CITATION] Liquidity, information and infrequently traded stocks
E David, N Kiefer, M O'hara… - Journal of Finance, 1996
[CITATION] What has the learning literature taught us
LE Blume… - Learning and Rationality in Economics. Blackwell, …, 1993
[CITATION] Evolution and Rationality in Competitive Markets
L Blume… - 1995), Learning and Rationality in Economics. Oxford/- …, 1995
[CITATION] A dynamic analysis of predatory pricing with rational expectations
D Easley - 1981 - Cornell University Press
D Easley… - Journal of Economic Theory, 2005 - Elsevier
In this paper, we extend the analysis of our earlier work on boundedly rational learning in an
iid setting [Easley and Rustichini, Econometrica 67 (1999) 1157–1184] to complex decision
problems. We show that the axioms from our earlier analysis can be applied in this more ...
[CITATION] One Day in the Life of a Very Common Stock
E David, N Kiefer… - Revie of Financial Studies, 1997
L Blume… - Economics, 2010 - annualreviews.org
The market selection hypothesis states that, among expected utility maximizers, competitive
markets select for agents with correct beliefs. In some economies this hypothesis holds,
whereas in others it fails. It holds in complete-markets economies with a common discount ...
L Blume… - The New Palgrave Dictionary of Economics, 2008 - tuvalu.santafe.edu
Realized profits, not maximum profits, are the mark of success and viability. It does not
matter through what process of reasoning or motivation such success was achieved. The
fact of its accomplishment is sufficient. This is the criterion by which the economic system ...
D Easley, T Hendershott… - 2009 - papers.ssrn.com
Abstract: We examine the impact on stock prices of a major upgrade to the New York Stock
Exchange's trading environment. The upgrade increased competition among traders by
reducing the execution latency experienced by traders off the floor of the exchange, ...
[CITATION] 'Hara, 2003, Microstructure and asset pricing
D Easley… - Handbook of the Economics of Finance
D Easley… - Journal of Finance, 1983 - JSTOR
This paper presents an analysis of the concept of consensus beliefs and its relation to
market efficiency. We show that unless traders have rational expectations, the two published
interpretations of consensus beliefs are not useful for considerations of market efficiency. ...
L Blume… - 1999 - tuvalu.santafe.edu
It is conventional to assume that traders in asset markets have rational expectations about
asset returns, and choose savings rates and portfolios as if they maximize expected utility
using these beliefs. As the hypothesis that traders are expected utility maximizers places ...
D Easley, M O'Hara… - work paper, Cornell University, 2010 - papers.ssrn.com
Abstract: Recently exchanges have been supplementing their tape revenue by directly
selling trade and quote data to some traders. We analyze how this practice affects the cost of
capital, market liquidity and welfare by studying a two-period economy in which rational ...
[CITATION] M. O'Hara, 2007, Firm characteristics and informed trading: Implications for asset pricing
H Aslan, D Easley, S Hvidkjaer… - Working Paper
[CITATION] Notes on a Theory of Price Formation and Exchange in Oral Auctions
D Easley… - Northwestern University, November, 1980
D Easley, M López de Prado… - 2010 - papers.ssrn.com
Abstract: Order flow is regarded as toxic when it adversely selects market makers, who may
be unaware that they are providing liquidity at a loss. Flow toxicity can be measured by the
Probability of Informed Trading (PIN). We present a new procedure to estimate PIN based ...
DB Easley - 2005 - en.scientificcommons.org
[CITATION] Maureen (1988) Contracts and asymmetric information in the theory of the firm
DOH EASLEY - JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZ
[CITATION] O'Hara, 1994,“
E Blume, D EASLEY… - Market statistics and technical analysis: Role of
[CITATION] O'Hara Maureen and Paperman Joseph, 1996, Liquidity, information and infrequently traded stocks
E David… - Journal of Finance
[CITATION] «Factoring information in to returns»
D Easley, S Hvidkjaer… - 2004 - Working Paper, RH Smith Scholl of …
[CITATION] Factoring information into returns
S Hvidkjaer, D Easley… - 2004 - working paper, Cornell University …
[CITATION] Maureen O‟ Hara, 1992, Time and the process of security price adjustment
D Easley - Journal of Finance
[CITATION] Economic Natural Selection and Adaptive Behavior
L Blume, D Easley… - 1991 - Stanford Institute for Theoretical …
L Blume… - 2002 - books.google.com
In this chapter we ask a simple question: What does rational behavior on the part of asset
market participants imply about equilibrium asset prices?" Rationality" has a variety of
meanings in economic thought, so to answer this question we must first be clear about ...
[CITATION] Theories of price formation in double oral auctions
D Easley… - The Double Auction Market: Institutions, Theories and …
[CITATION] Microstructure and Asset Pricing, in the Handbook of Financial Economics, ed. by G. Constantinides, M. Harris, and R. Stulz
D Easley… - 2003 - Elsevier-North Holland
D Easley, M O'Hara… - 2011 - papers.ssrn.com
Abstract: We construct a rational expectations equilibrium model to investigate the effect of
ambiguity about hedge fund strategies on market efficiency and aggregate welfare. In our
model, some traders (mutual funds) view the equilibrium trading strategies of other traders ...
[CITATION] Hara, 2002
D Easley, S Hvidkjaer… - Is information risk a determinant of asset returns
DL Easley, DL Wright, WN Warnick… - 1969 - DTIC Document
... Dr. Donald Haggard is the present Director. Dr. David Easley was the Work Unit Leader under
whom this research was conducted. Military support for the NIGHTSIGHTS I research was
provided by the US Army Armor Human Research Unit, Fort Knox. ...
H Aslan, D Easley, S Hvidkjaer… - Journal of Empirical Finance, 2011 - Elsevier
This paper investigates the linkage of microstructure, accounting, and asset pricing. We
determine the relationship between firm characteristics as captured by accounting and
market data and a firm's probability of private information-based trade (PIN) as estimated ...
[CITATION] Market Efficiency with Differential Information
D Easley… - 1982 - Graduate School of Business and …
D Easley, DF Spulber… - Discussion Papers, 1978 - kellogg.northwestern.edu
Introduction The class of stock adjustment problems known as inventory control has found wide
application in economics and operations research (see Arrow, Karlin and Scarf [2], Arrow, Karlin
and Suppes [3], and Scarf, Gilford and Shelly [20]). Specific applications and extensions ...
T Coury… - 2006 - people.exeter.ac.uk
Abstract Excessive trade volume in asset markets is often associated with the presence of
noise or liquidity traders and used to justify assumptions in economic models which depart
from those of the No Trade theorem. We show that under no trade-type assumptions, it is ...
J Hasbrouck, D Easley, M O'Hara, S Hvidkjaer… - business.utah.edu
Abstract This study examines various measures of trading costs estimated from
highfrequency (TAQ) data and the extent to which these measures can be estimated from
daily data (CRSP). The high-frequency measures tend to be positively correlated. Posted ...
D Easley, M López de Prado… - 2012 - papers.ssrn.com
Abstract: We introduce the OEH model, which determines the optimal trading horizon for an
order, contingent on volatility and toxicity in the market, trading range, order size and risk
aversion. The optimal trading horizon is an input required by many optimal execution ...
DB Easley - 2011 - diginole.lib.fsu.edu
Despite being the focus of studies in fields such as ethnomusicology, cultural studies, philosophy,
and history, punk rock—and American hardcore punk rock in particular—has yet to fall under
the analytical gaze of music theorists. In this dissertation I aim to fill this gap by examining ...
[CITATION] Can the Market Provide Optimal Quality in the Presence of Asymmetric Information?
JW Begun, D Easley… - 1982 - Graduate School of Business and …
[CITATION] A CONTRACTUAL APPROACH TO ECONOMIC INSTITUTIONS
D EASLEY… - The Economics of nonprofit …, 1986 - Oxford University Press, USA
KH Chung, J Elder, JC Kim, D Easley… - Corporate …, 2010 - Cambridge Univ Press
... V OL. 45, NO . 2, APRIL 2010 Corporate Governance and Liquidity Kee H. Chung, John Elder,
and Jang-Chul Kim Factoring Information into Returns David Easley, Soeren Hvidkjaer, and
Maureen O'Hara ... 293 David Easley, Soeren Hvidkjaer, and Maureen O'Hara ...
T Coury… - 2006 - eea-esem.com
Abstract This paper explores the implications of rationality (SEU maximization and
agreement on the correct information generating process) in a simple three period economy
where traders trade assets before and after information arrival. We show that SEU ...
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