David Easley

Cornell University - Department of Economics

H Scarborough Professor of Economics

414 Uris Hall

Ithaca, NY 14853-7601

United States

Cornell University - Department of Information Science

402 Bill & Melinda Gates Hall

Ithaca, NY 14853

United States

SCHOLARLY PAPERS

32

DOWNLOADS
Rank 124

SSRN RANKINGS

Top 124

in Total Papers Downloads

79,904

CITATIONS
Rank 1,038

SSRN RANKINGS

Top 1,038

in Total Papers Citations

636

Scholarly Papers (32)

1.

The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading

The Journal of Portfolio Management, Vol. 37, No. 2, pp. 118-128, Winter 2011
Number of pages: 15 Posted: 21 May 2019 Last Revised: 30 May 2019
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 17,829 (141)
Citation 11

Abstract:

Loading...

Flash crash, liquidity, flow toxicity, market microstructure, VPIN

2.

Flow Toxicity and Liquidity in a High Frequency World

Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
Number of pages: 71 Posted: 23 Oct 2010 Last Revised: 15 Apr 2012
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 16,026 (180)
Citation 13

Abstract:

Loading...

Flash crash, liquidity, flow toxicity, volume imbalance, market microstructure, probability of informed trading, VPIN

3.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 Posted: 21 May 2019 Last Revised: 30 May 2019
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 10,230 (415)
Citation 9

Abstract:

Loading...

high frequency trading, volume clock, low frequency trading, market microstructure

4.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011; https://doi.org/10.3905/jot.2011.6.2.008. , Johnson School Research Paper Series No. 10-2011
Number of pages: 12 Posted: 17 Jul 2019
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,601 (921)
Citation 11

Abstract:

Loading...

Liquidity Provision, Flow Toxicity, Market Microstructure, VPIN

5.

Discerning Information from Trade Data

Journal of Financial Economics, 120(2), pp. 269-286. May 2016, Johnson School Research Paper Series No. 8-2012
Number of pages: 56 Posted: 23 Jan 2012 Last Revised: 16 May 2016
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 5,578 (1,223)
Citation 20

Abstract:

Loading...

Trade Classification, Bulk Volume Classification, flow toxicity, volume imbalance, market microstructure

6.
Downloads 3,294 ( 3,078)
Citation 8

Optimal Execution Horizon

Mathematical Finance, 25(3), pp. 640-672. July 2015.
Number of pages: 43 Posted: 12 Apr 2012 Last Revised: 06 Jun 2015
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 3,294 (3,010)
Citation 5

Abstract:

Loading...

liquidity, flow toxicity, broker, VWAP, market microstructure, adverse selection, probability of informed trading, VPIN, OEH

Optimal Execution Horizon

Mathematical Finance, Vol. 25, Issue 3, pp. 640-672, 2015
Number of pages: 33 Posted: 05 Jun 2015
Cornell University - Department of Economics, Harvard University and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 0
  • Add to Cart

Abstract:

Loading...

liquidity, flow toxicity, broker, VWAP, market microstructure, adverse selection, probability of informed trading, VPIN, OEH

7.

Information and the Cost of Capital

EFA 2002 Berlin Meetings Presented Paper; Cornell University Johnson Graduate School of Management Working Paper
Number of pages: 44 Posted: 17 Feb 2002
Maureen O'Hara and David Easley
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Department of Economics
Downloads 3,159 (3,313)
Citation 218

Abstract:

Loading...

8.

VPIN and the Flash Crash: A Comment

Journal of Financial Markets, Forthcoming, Johnson School Research Paper Series No. 25-2012
Number of pages: 8 Posted: 18 May 2012 Last Revised: 29 Sep 2013
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,784 (4,105)
Citation 2

Abstract:

Loading...

Flash crash, liquidity, flow toxicity, market microstructure, probability of informed trading, VPIN

9.

Is Information Risk a Determinant of Asset Returns?

EFA 0101
Number of pages: 51 Posted: 07 Dec 2000
David Easley, Soeren Hvidkjaer and Maureen O'Hara
Cornell University - Department of Economics, Copenhagen Business School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,359 (5,411)
Citation 31

Abstract:

Loading...

10.

Factoring Information into Returns

EFA 2004 Maastricht Meetings Paper No. 4118
Number of pages: 27 Posted: 23 Jun 2004
David Easley, Soeren Hvidkjaer and Maureen O'Hara
Cornell University - Department of Economics, Copenhagen Business School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,207 (6,043)
Citation 28

Abstract:

Loading...

Time-Varying Arrival Rates of Informed and Uninformed Trades

AFA 2002 Atlanta Meetings
Number of pages: 38 Posted: 21 Dec 2001
Cornell University - Department of Economics, City University of New York, CUNY Baruch College - Zicklin School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,644 (9,735)
Citation 24

Abstract:

Loading...

Time-Varying Arrival Rates of Informed and Uninformed Trades

Journal of Financial Econometrics, Vol. 6, Issue 2, pp. 171-207, 2008
Posted: 10 Jul 2008
Cornell University - Department of Economics, New York University - Leonard N. Stern School of Business - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and City University of New York, CUNY Baruch College - Zicklin School of Business

Abstract:

Loading...

C51, C53, G10, G12, G14, Arrival rates, informed trades, uninformed trades, autoregressive process, market depth, liquidity

12.

Levelling the Trading Field

Journal of Financial Markets, Forthcoming
Number of pages: 48 Posted: 05 Feb 2007 Last Revised: 30 Jun 2013
Cornell University - Department of Economics, University of California, Berkeley - Haas School of Business and Imperial College London
Downloads 1,242 (15,516)
Citation 3

Abstract:

Loading...

market structure, stock exchange, trading volume, transparency, information, latency, technology upgrade

13.

Differential Access to Price Information in Financial Markets

Journal of Financial and Quantitative Analysis (JFQA), 2016, 51(4), 1071–1110, Johnson School Research Paper Series No. 11-2011
Number of pages: 59 Posted: 18 Mar 2011 Last Revised: 21 Nov 2017
David Easley, Maureen O'Hara and Liyan Yang
Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Toronto - Rotman School of Management
Downloads 1,110 (18,421)
Citation 7

Abstract:

Loading...

Price Data Selling, Cost of Capital, Liquidity, Volatility, Information Acquisition, Complementarities

14.

From Mining to Markets: The Evolution of Bitcoin Transaction Fees

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 56 Posted: 19 Oct 2017 Last Revised: 01 Mar 2019
David Easley, Maureen O'Hara and Soumya Basu
Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Department of Computer Science
Downloads 1,109 (18,448)
Citation 26

Abstract:

Loading...

Bitcoin, transaction fees, mining revenue, game theory

15.

Liquidity and Valuation in an Uncertain World

Johnson School Research Paper Series No. 13-08
Number of pages: 32 Posted: 12 Oct 2008
David Easley and Maureen O'Hara
Cornell University - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 754 (32,094)
Citation 11

Abstract:

Loading...

liquidity, uncertainty, subprime crisis, fair value accounting

16.

Opaque Trading, Disclosure and Asset Prices: Implications for Hedge Fund Regulation

Review of Financial Studies, 2014, 27(4): 1190-1237, AFA 2013 San Diego Meetings Paper, Rotman School of Management Working Paper No. 1945347, Johnson School Research Paper Series No. 53-2011
Number of pages: 60 Posted: 17 Oct 2011 Last Revised: 26 Feb 2016
David Easley, Maureen O'Hara and Liyan Yang
Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Toronto - Rotman School of Management
Downloads 638 (40,183)
Citation 4

Abstract:

Loading...

Opaque trading, asset prices, welfare, regulation

17.

Firm Characteristics and Informed Trading: Implications for Asset Pricing

Journal of Empirical Finance, Vol. 18, No. 5, 2011
Number of pages: 53 Posted: 29 Jan 2009 Last Revised: 11 Aug 2015
Georgia State University - Department of Finance, Cornell University - Department of Economics, Copenhagen Business School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 557 (48,077)
Citation 53

Abstract:

Loading...

18.

If You're so Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets

Cowles Foundation Discussion Paper No. 1319
Number of pages: 39 Posted: 27 Sep 2001
Lawrence E. Blume and David Easley
Cornell University - Department of Economics and Cornell University - Department of Economics
Downloads 543 (49,572)
Citation 2

Abstract:

Loading...

Market Selection Hypothesis, Subjective Beliefs, General Equilibrium, Incomplete Markets, Complete Markets

19.

Microstructure and Ambiguity

Journal of Finance, Forthcoming, Johnson School Research Paper Series No. 01-2010
Number of pages: 54 Posted: 21 Jan 2010
David Easley and Maureen O'Hara
Cornell University - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 505 (54,347)
Citation 2

Abstract:

Loading...

20.

Loss Aversion, Survival and Asset Prices

Journal of Economic Theory, 2015, 160(12): 494-516
Number of pages: 55 Posted: 14 Mar 2011 Last Revised: 26 Feb 2016
David Easley and Liyan Yang
Cornell University - Department of Economics and University of Toronto - Rotman School of Management
Downloads 487 (56,928)
Citation 3

Abstract:

Loading...

loss aversion; narrow framing; Epstein-Zin preferences; market selection; asset prices

21.

The Active World of Passive Investing

Western Finance Association (WFA) Annual Meeting (2018)
Number of pages: 35 Posted: 27 Jul 2018 Last Revised: 15 Jun 2019
Cornell University - Department of Economics, University of Technology Sydney (UTS) - School of Finance and Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Technology Sydney (UTS)
Downloads 404 (71,558)

Abstract:

Loading...

exchange traded fund, ETF, active share, passive investing, index investing

22.

Microstructure in the Machine Age

Number of pages: 63 Posted: 25 Mar 2019
Cornell University - Department of Economics, Harvard University, Cornell University - Samuel Curtis Johnson Graduate School of Management and New York University (NYU) - NYU Tandon School of Engineering
Downloads 310 (96,760)
Citation 4

Abstract:

Loading...

Market Microstructure, Machine Learning, Features Importance, MDI, MDA, Futures

23.

Towards a Functional Fee Market for Cryptocurrencies

Number of pages: 32 Posted: 30 Jan 2019
Cornell University - Department of Computer Science, Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University
Downloads 258 (117,650)
Citation 4

Abstract:

Loading...

bitcoin, auction, cryptocurrencies, transaction fees

24.

How Much Trading Volume is Too Much?

Number of pages: 18 Posted: 12 Jan 2017
David Easley and Maureen O'Hara
Cornell University - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 118 (234,833)

Abstract:

Loading...

25.

The Economics of Data

Number of pages: 48 Posted: 11 Oct 2018
David Easley, Shiyang Huang, Liyan Yang and Zhuo Zhong
Cornell University - Department of Economics, The University of Hong Kong - Faculty of Business and Economics, University of Toronto - Rotman School of Management and University of Melbourne - Department of Finance
Downloads 101 (262,005)
Citation 1

Abstract:

Loading...

Data, Industry organization, Welfare, Prisoners' dilemma, Ownership

26.

Market Ethics

Number of pages: 43 Posted: 09 Jul 2019
David Easley and Maureen O'Hara
Cornell University - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 57 (363,945)

Abstract:

Loading...

ethics, contagion, regulation, market structure

27.

Heterogeneity, Selection, and Wealth Dynamics

Annual Review of Economics, Vol. 2, pp. 425-450, 2010
Posted: 18 Oct 2010
Lawrence E. Blume and David Easley
Cornell University - Department of Economics and Cornell University - Department of Economics

Abstract:

Loading...

28.

Ambiguity and Nonparticipation: The Role of Regulation

The Review of Financial Studies, Vol. 22, Issue 5, pp. 1817-1843, 2009
Posted: 13 Apr 2009
David Easley and Maureen O'Hara
Cornell University - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management

Abstract:

Loading...

G1, G2, D8

29.

How Stock Splits Affect Trading: A Microstructure Approach

Journal of Financial and Quantitative Analysis, Vol. 36, March 2001
Posted: 25 Apr 2001
David Easley, Maureen O'Hara and Gideon Saar
Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management

Abstract:

Loading...

Stock splits, market microstructure, information asymmetry, optimal tick size, trading range

30.

Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow

Memo 1995-5
Posted: 25 Aug 1998
Cornell University - Department of Economics, Cornell University and Cornell University - Samuel Curtis Johnson Graduate School of Management

Abstract:

Loading...

31.

Option Volume and Stock Prices: Evidence on Where Informed Traders Trade

Journal of Finance, Vol. 53, No. 2, April 1998
Posted: 02 Jul 1998
David Easley, Maureen O'Hara and P. S. Srinivas
Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and World Bank

Abstract:

Loading...

Liquidity, Information, and Infrequently Traded Stocks

J. OF FINANCE, Vol. 51 No. 4, September 1996
Posted: 06 Nov 1996
Cornell University - Department of Economics, Cornell University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University

Abstract:

Loading...

Liquidity, Information, and Infrequently Traded Stocks

Memo 1995-6
Posted: 27 Jul 1995
Cornell University - Department of Economics, Cornell University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University

Abstract:

Loading...