Author Page for David Easley

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: 22 Oct 2010 Last Revised: 31 Jan 2011

David Easley, Marcos Lopez de Prado and Maureen O'Hara

Cornell University - Department of Economics, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 16,974 (131)

Citation 15

Abstract:

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

David Easley, Marcos Lopez de Prado and Maureen O'Hara

Cornell University - Department of Economics, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 15,038 (165)

Citation 22

Abstract:

3.

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

Number of pages: 23 Posted: 05 Apr 2012 Last Revised: 20 Aug 2012

David Easley, Marcos Lopez de Prado and Maureen O'Hara

Cornell University - Department of Economics, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 6,878 (465)

Citation 5

Abstract:

4.

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

Number of pages: 12 Posted: 27 Jan 2011 Last Revised: 27 Feb 2012

David Easley, Marcos Lopez de Prado and Maureen O'Hara

Cornell University - Department of Economics, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 6,310 (828)

Citation 5

Abstract:

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

David Easley, Marcos Lopez de Prado and Maureen O'Hara

Cornell University - Department of Economics, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 3,135 (1,329)

Citation 1

Abstract:

6.

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, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 2,989 (3,132)

Citation 2

Abstract:

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 2

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Abstract:

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 2,938 (2,995)

Citation 384

Abstract:

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

David Easley, Marcos Lopez de Prado and Maureen O'Hara

Cornell University - Department of Economics, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 2,643 (3,930)

Citation 1

Abstract:

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 2,123 (4,918)

Citation 390

Abstract:

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 1,988 (5,457)

Citation 55

Abstract:

11.

Time-Varying Arrival Rates of Informed and Uninformed Trades

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Citation 48

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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 1,598 (9,043)

Citation 48

Abstract:

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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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 1,179 (14,038)

Citation 4

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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 1,044 (17,993)

Citation 4

Abstract:

14.

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 710 (29,436)

Citation 27

Abstract:

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 510 (45,457)

Citation 60

Abstract:

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 474 (39,128)

Citation 1

Abstract:

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

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 469 (45,880)

Citation 25

Abstract:

18.

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 417 (51,189)

Citation 21

Abstract:

19.

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 316 (54,740)

Abstract:

20.

From Mining to Markets: The Evolution of Bitcoin Transaction Fees

Number of pages: 48 Posted: 19 Oct 2017 Last Revised: 04 Jan 2018

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

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Abstract:

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 0 (236,610)

Abstract:

22.

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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23.

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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24.

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:

25.

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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26.

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:

27.

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

Abstract:

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

David Easley

Cornell University - Department of Economics

H Scarborough Professor of Economics

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Scholarly Papers (27)

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