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

  • Cornell University - Department of Economics

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    • Tel: 607-255-6283
    • Fax: 607-255-2818

  • Cornell University - Department of Information Science

SCHOLARLY PAPERS

31

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CITATIONS
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1,075

Scholarly Papers (31)

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1.

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
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 15,933 (175)
Citation 24

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

2.

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
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 5,460 (1,231)
Citation 2

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

3.

Optimal Execution Horizon

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Citation 3

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
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 3,237 (3,021)
Citation 3

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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
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Harvard University and Cornell University - Samuel Curtis Johnson Graduate School of Management
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Citation 3
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liquidity, flow toxicity, broker, VWAP, market microstructure, adverse selection, probability of informed trading, VPIN, OEH

4.

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 3,157 (3,213)
Citation 383

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5.

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
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,758 (4,084)
Citation 1

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

6.

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 2,354 (5,295)
Citation 390

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7.

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 2,200 (5,931)
Citation 56

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8.

Time-Varying Arrival Rates of Informed and Uninformed Trades

Downloads 1,628 ( 9,849)
Citation 48

Time-Varying Arrival Rates of Informed and Uninformed Trades

AFA 2002 Atlanta Meetings
Number of pages: 38 Posted: 21 Dec 2001
David Easley, Liuren Wu, Robert F. Engle and Maureen O'Hara
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 1,628 (9,673)
Citation 48

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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
David Easley, Robert F. Engle, Maureen O'Hara and Liuren Wu
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

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

9.

Levelling the Trading Field

Journal of Financial Markets, Forthcoming
Number of pages: 48 Posted: 05 Feb 2007 Last Revised: 30 Jun 2013
David Easley, Terrence Hendershott and Tarun Ramadorai
Cornell University - Department of Economics, University of California, Berkeley - Haas School of Business and Imperial College London
Downloads 1,240 (15,191)
Citation 4

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

10.

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 1,102 (18,173)
Citation 4

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

11.

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 1,047 (19,663)

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Bitcoin, transaction fees, mining revenue, game theory

12.

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 751 (31,653)
Citation 27

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liquidity, uncertainty, subprime crisis, fair value accounting

13.

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 634 (39,698)
Citation 1

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Opaque trading, asset prices, welfare, regulation

14.

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
Hadiye Aslan, David Easley, Soeren Hvidkjaer and Maureen O'Hara
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 552 (47,646)
Citation 24

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15.

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 541 (48,823)
Citation 61

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

16.

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 501 (53,840)
Citation 21

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17.

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 484 (56,263)

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

18.

The Active World of Passive Investing

31st Australasian Finance and Banking Conference 2018
Number of pages: 35 Posted: 27 Jul 2018 Last Revised: 04 Sep 2018
David Easley, David Michayluk, Maureen O'Hara and Tālis J. Putniņš
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 313 (94,021)

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

19.

Towards a Functional Fee Market for Cryptocurrencies

Number of pages: 32 Posted: 30 Jan 2019
Soumya Basu, David Easley, Maureen O'Hara and Emin Sirer
Cornell University - Department of Computer Science, Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University
Downloads 221 (134,976)

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bitcoin, auction, cryptocurrencies, transaction fees

20.

Microstructure in the Machine Age

Number of pages: 63 Posted: 25 Mar 2019
David Easley, Marcos Lopez de Prado, Maureen O'Hara and Zhibai Zhang
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 219 (137,942)

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

21.

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 116 (233,664)

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22.

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 82 (293,974)

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

23.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) Forthcoming , Johnson School Research Paper Series No. 9-2012, https://doi.org/10.3905/jpm.2012.39.1.019
Posted: 21 May 2019
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management

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

24.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011, Johnson School Research Paper Series No. 10-2011, https://doi.org/10.3905/jot.2011.6.2.008
Posted: 21 May 2019
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management

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Liquidity Provision, Flow Toxicity, Market Microstructure, VPIN

25.

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, https://doi.org/10.3905/jpm.2011.37.2.118
Posted: 21 May 2019
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management

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

26.

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

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27.

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

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G1, G2, D8

28.

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

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

29.

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

Memo 1995-5
Posted: 25 Aug 1998
David Easley, Nicholas M. Kiefer and Maureen O'Hara
Cornell University - Department of Economics, Cornell University and Cornell University - Samuel Curtis Johnson Graduate School of Management

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30.

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

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31.

Liquidity, Information, and Infrequently Traded Stocks

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Liquidity, Information, and Infrequently Traded Stocks

J. OF FINANCE, Vol. 51 No. 4, September 1996
Posted: 06 Nov 1996
David Easley, Nicholas M. Kiefer, Maureen O'Hara and Joseph B. Paperman
Cornell University - Department of Economics, Cornell University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University

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Liquidity, Information, and Infrequently Traded Stocks

Memo 1995-6
Posted: 27 Jul 1995
David Easley, Nicholas M. Kiefer, Maureen O'Hara and Joseph B. Paperman
Cornell University - Department of Economics, Cornell University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University

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