{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,6]],"date-time":"2026-07-06T17:55:29Z","timestamp":1783360529787,"version":"3.54.6"},"reference-count":81,"publisher":"Elsevier","isbn-type":[{"value":"9780444890849","type":"print"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[1995]]},"DOI":"10.1016\/s0927-0507(05)80056-8","type":"book-chapter","created":{"date-parts":[[2005,4,18]],"date-time":"2005-04-18T19:58:53Z","timestamp":1113854333000},"page":"357-383","source":"Crossref","is-referenced-by-count":13,"title":["Chapter 12 Market microstructure"],"prefix":"10.1016","author":[{"given":"David","family":"Easley","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Maureen","family":"O'Hara","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"10.1016\/S0927-0507(05)80056-8_bib1","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1093\/rfs\/1.1.3","article-title":"A Theory of intraday patterns: Volume and price variability","volume":"1","author":"Admati","year":"1988","journal-title":"Rev. Financ. Studies"},{"key":"10.1016\/S0927-0507(05)80056-8_bib2","doi-asserted-by":"crossref","first-page":"189","DOI":"10.1093\/rfs\/2.2.189","article-title":"Divide and conquer: A theory of intraday and day-of-the-week mean effects","volume":"2","author":"Admati","year":"1989","journal-title":"Rev. Financ. Studies"},{"issue":"3","key":"10.1016\/S0927-0507(05)80056-8_bib3","doi-asserted-by":"crossref","first-page":"443","DOI":"10.1093\/rfs\/4.3.443","article-title":"Sunshine trading and financial market equilibrium","volume":"4","author":"Admati","year":"1991","journal-title":"Rev. Financ. Studies"},{"key":"10.1016\/S0927-0507(05)80056-8_bib4","doi-asserted-by":"crossref","first-page":"488","DOI":"10.2307\/1879431","article-title":"The market for lemons: Qualitative uncertainty and the market mechanism","volume":"89","author":"Akerlof","year":"1970","journal-title":"Q. J. Econ."},{"key":"10.1016\/S0927-0507(05)80056-8_bib5","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1016\/0304-405X(80)90020-3","article-title":"Dealership market: Market making with inventory","volume":"8","author":"Amihud","year":"1980","journal-title":"J. Financ. Econ."},{"key":"10.1016\/S0927-0507(05)80056-8_bib6_1","doi-asserted-by":"crossref","first-page":"12","DOI":"10.2469\/faj.v27.n2.12","article-title":"The only game in town","volume":"27","author":"Bagehot","year":"1971","journal-title":"Financ. Anal. J."},{"key":"10.1016\/S0927-0507(05)80056-8_bib6_2","doi-asserted-by":"crossref","first-page":"22","DOI":"10.2469\/faj.v27.n2.12","article-title":"The only game in town","volume":"27","author":"Bagehot","year":"1971","journal-title":"Financ. Anal. J."},{"issue":"3","key":"10.1016\/S0927-0507(05)80056-8_bib7","doi-asserted-by":"crossref","first-page":"387","DOI":"10.1093\/rfs\/5.3.387","article-title":"Insider trading in continuous time","volume":"5","author":"Back","year":"1992","journal-title":"Rev. Financ. Studies"},{"key":"10.1016\/S0927-0507(05)80056-8_bib8","doi-asserted-by":"crossref","first-page":"255","DOI":"10.1093\/rfs\/4.2.255","article-title":"Insiders, outsiders, and market breakdowns","volume":"4","author":"Bhattacharya","year":"1991","journal-title":"Rev. Financ. Studies"},{"key":"10.1016\/S0927-0507(05)80056-8_bib9","doi-asserted-by":"crossref","first-page":"313","DOI":"10.1016\/0022-0531(82)90006-0","article-title":"Introduction to the stability of rational expectations equilibria","volume":"26","author":"Blume","year":"1982","journal-title":"J. Econ. Theory"},{"key":"10.1016\/S0927-0507(05)80056-8_bib10","doi-asserted-by":"crossref","first-page":"207","DOI":"10.1016\/0022-0531(90)90059-S","article-title":"Implementation of Walrasian expectations equilibria","volume":"51","author":"Blume","year":"1990","journal-title":"J. Econ. Theory"},{"key":"10.1016\/S0927-0507(05)80056-8_bib11","series-title":"Essays in Learning and Rationality in Economics","article-title":"What has the rational learning literature taught us?","author":"Blume","year":"1992"},{"key":"10.1016\/S0927-0507(05)80056-8_bib12","series-title":"Market statistics and technical analysis: The role of volume","author":"Blume","year":"1993"},{"key":"10.1016\/S0927-0507(05)80056-8_bib13","doi-asserted-by":"crossref","first-page":"193","DOI":"10.1016\/0378-4266(87)90049-5","article-title":"Building blocks: An introduction to block trading","volume":"11","author":"Burdett","year":"1987","journal-title":"J. Banking Finance"},{"key":"10.1016\/S0927-0507(05)80056-8_bib14","series-title":"Working Paper","article-title":"The performance and market impact of dual trading: Re CME Rule 552","author":"Chang","year":"1992"},{"issue":"3","key":"10.1016\/S0927-0507(05)80056-8_bib15","doi-asserted-by":"crossref","first-page":"483","DOI":"10.1093\/rfs\/4.3.483","article-title":"Multi-market trading and market liquidity","volume":"4","author":"Chowdry","year":"1991","journal-title":"Rev. Financ. Studies"},{"key":"10.1016\/S0927-0507(05)80056-8_bib16","doi-asserted-by":"crossref","first-page":"287","DOI":"10.1086\/260966","article-title":"Transaction costs, order placement strategy, and existence of the bid-ask spread","volume":"89","author":"Cohen","year":"1981","journal-title":"J. Polit. Econ."},{"key":"10.1016\/S0927-0507(05)80056-8_bib17","doi-asserted-by":"crossref","first-page":"1457","DOI":"10.1111\/j.1540-6261.1983.tb03834.x","article-title":"Information effects and the bid-ask spread","volume":"38","author":"Copeland","year":"1983","journal-title":"J. Finance"},{"key":"10.1016\/S0927-0507(05)80056-8_bib18","doi-asserted-by":"crossref","first-page":"33","DOI":"10.2307\/1882244","article-title":"The cost of transacting","volume":"82","author":"Demsetz","year":"1968","journal-title":"Q. J. Econ."},{"key":"10.1016\/S0927-0507(05)80056-8_bib19","doi-asserted-by":"crossref","first-page":"277","DOI":"10.1016\/0304-405X(87)90042-0","article-title":"Constraints on short-selling and asset price adjustments to private information","volume":"18","author":"Diamond","year":"1987","journal-title":"J. Financ. Econ."},{"key":"10.1016\/S0927-0507(05)80056-8_bib20","doi-asserted-by":"crossref","first-page":"167","DOI":"10.1016\/1042-9573(90)90004-Y","article-title":"The mechanics of automated trade execution","volume":"1","author":"Domowitz","year":"1990","journal-title":"J. Financ. Intermed."},{"key":"10.1016\/S0927-0507(05)80056-8_bib21","doi-asserted-by":"crossref","first-page":"69","DOI":"10.1016\/0304-405X(87)90029-8","article-title":"Price, trade size, and information in securities markets","volume":"19","author":"Easley","year":"1987","journal-title":"J. Financ. Econ."},{"key":"10.1016\/S0927-0507(05)80056-8_bib22","doi-asserted-by":"crossref","first-page":"905","DOI":"10.1111\/j.1540-6261.1991.tb03771.x","article-title":"Order form and information in securities markets","volume":"46","author":"Easley","year":"1991","journal-title":"J. Finance"},{"issue":"2","key":"10.1016\/S0927-0507(05)80056-8_bib23","doi-asserted-by":"crossref","first-page":"577","DOI":"10.1111\/j.1540-6261.1992.tb04402.x","article-title":"Time and the process of security price adjustment","volume":"47","author":"Easley","year":"1992","journal-title":"J. Finance"},{"key":"10.1016\/S0927-0507(05)80056-8_bib24","doi-asserted-by":"crossref","first-page":"185","DOI":"10.2307\/2331367","article-title":"Adverse selection and large trade volume: The implications for market efficiency","volume":"27","author":"Easley","year":"1992","journal-title":"J. Financ. Quant. Anal."},{"issue":"2","key":"10.1016\/S0927-0507(05)80056-8_bib25","doi-asserted-by":"crossref","first-page":"643","DOI":"10.1111\/j.1540-6261.1992.tb04404.x","article-title":"Dual trading in futures markets","volume":"47","author":"Fishman","year":"1992","journal-title":"J. Finance"},{"issue":"2","key":"10.1016\/S0927-0507(05)80056-8_bib26","doi-asserted-by":"crossref","first-page":"168","DOI":"10.1016\/1042-9573(92)90007-Z","article-title":"Anonymity in securities markets","volume":"2","author":"Forster","year":"1992","journal-title":"J. Financ. Intermed."},{"key":"10.1016\/S0927-0507(05)80056-8_bib27","doi-asserted-by":"crossref","DOI":"10.1093\/rfs\/3.4.593","article-title":"A theory of the intraday variations in volume, variance and trading costs in securities markets","volume":"3","author":"Foster","year":"1990","journal-title":"Rev. Financ. Studies"},{"issue":"1","key":"10.1016\/S0927-0507(05)80056-8_bib28","doi-asserted-by":"crossref","first-page":"23","DOI":"10.1093\/rfs\/6.1.23","article-title":"The effect of public information and competition on trading volume and volatility","volume":"6","author":"Foster","year":"1993","journal-title":"Rev. Financ. Studies"},{"key":"10.1016\/S0927-0507(05)80056-8_bib29","doi-asserted-by":"crossref","first-page":"5","DOI":"10.1016\/0304-405X(86)90004-8","article-title":"Stock return variances: The arrival of information and the reaction of traders","volume":"17","author":"French","year":"1986","journal-title":"J. Financ. Econ."},{"issue":"2","key":"10.1016\/S0927-0507(05)80056-8_bib30","doi-asserted-by":"crossref","first-page":"199","DOI":"10.1093\/rfs\/5.2.199","article-title":"Stock prices and volume","volume":"5","author":"Gallant","year":"1992","journal-title":"Rev. Financ. Studies"},{"key":"10.1016\/S0927-0507(05)80056-8_bib31","series-title":"Working Paper 90-010","article-title":"The organization of financial markets: Competitive versus cooperative market mechanisms","author":"Gammill","year":"1989"},{"key":"10.1016\/S0927-0507(05)80056-8_bib32","doi-asserted-by":"crossref","first-page":"257","DOI":"10.1016\/0304-405X(76)90006-4","article-title":"Market microstructure","volume":"3","author":"Garman","year":"1976","journal-title":"J. Financ. Econ."},{"key":"10.1016\/S0927-0507(05)80056-8_bib33","first-page":"999","article-title":"Market liquidity, hedges and crashes","volume":"80","author":"Gennotte","year":"1990","journal-title":"Am. Econ. Rev."},{"key":"10.1016\/S0927-0507(05)80056-8_bib34","doi-asserted-by":"crossref","first-page":"211","DOI":"10.1086\/296460","article-title":"Insider trading, liquidity, and the role of the monopolist specialist","volume":"62","author":"Glosten","year":"1989","journal-title":"J. Bus."},{"key":"10.1016\/S0927-0507(05)80056-8_bib35","series-title":"Working Paper","article-title":"Asymmetric information, the third market and investor welfare","author":"Glosten","year":"1991"},{"key":"10.1016\/S0927-0507(05)80056-8_bib36","series-title":"Working Paper","article-title":"The inevitability and resilience of an electronic open limit order book","author":"Glosten","year":"1991"},{"key":"10.1016\/S0927-0507(05)80056-8_bib37","doi-asserted-by":"crossref","first-page":"71","DOI":"10.1016\/0304-405X(85)90044-3","article-title":"Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders","volume":"13","author":"Glosten","year":"1985","journal-title":"J. Financ. Econ."},{"key":"10.1016\/S0927-0507(05)80056-8_bib38","doi-asserted-by":"crossref","first-page":"275","DOI":"10.1086\/296433","article-title":"An analysis of the implications for stock and futures: Price volatility of program trading and dynamic hedging strategies","volume":"61","author":"Grossman","year":"1988","journal-title":"J. Bus."},{"key":"10.1016\/S0927-0507(05)80056-8_bib39","series-title":"Working Paper","article-title":"The informational content of upstairs and downstairs trading","author":"Grossman","year":"1991"},{"key":"10.1016\/S0927-0507(05)80056-8_bib40","doi-asserted-by":"crossref","first-page":"617","DOI":"10.1111\/j.1540-6261.1988.tb04594.x","article-title":"Liquidity and market structure","volume":"43","author":"Grossman","year":"1988","journal-title":"J. Finance"},{"key":"10.1016\/S0927-0507(05)80056-8_bib41","first-page":"393","article-title":"On the impossibility of informationally efficient markets","volume":"70","author":"Grossman","year":"1980","journal-title":"Am. Econ. Rev."},{"key":"10.1016\/S0927-0507(05)80056-8_bib42","series-title":"Working Paper","article-title":"The trades of market-makers: An analysis of NYSE specialists","author":"Hasbrouck","year":"1992"},{"key":"10.1016\/S0927-0507(05)80056-8_bib43","series-title":"Working Paper","article-title":"An equilibrium model of futures markets dynamics","author":"Hindy","year":"1991"},{"key":"10.1016\/S0927-0507(05)80056-8_bib44","doi-asserted-by":"crossref","first-page":"47","DOI":"10.1016\/0304-405X(81)90020-9","article-title":"Optimal dealer pricing under transactions and return uncertainty","volume":"9","author":"Ho","year":"1981","journal-title":"J. Financ. Econ."},{"key":"10.1016\/S0927-0507(05)80056-8_bib45","series-title":"Working Paper","article-title":"Toward a general theory of market making","author":"Holden","year":"1992"},{"key":"10.1016\/S0927-0507(05)80056-8_bib46","doi-asserted-by":"crossref","first-page":"247","DOI":"10.1111\/j.1540-6261.1992.tb03985.x","article-title":"Long-lived private information and imperfect competition","volume":"47","author":"Holden","year":"1992","journal-title":"J. Finance"},{"key":"10.1016\/S0927-0507(05)80056-8_bib47","doi-asserted-by":"crossref","first-page":"35","DOI":"10.1093\/rfs\/5.1.35","article-title":"Underestimation of portfolio insurance and the crash of October 1987","volume":"5","author":"Jacklin","year":"1992","journal-title":"Rev. Financ. Studies"},{"key":"10.1016\/S0927-0507(05)80056-8_bib48","doi-asserted-by":"crossref","first-page":"269","DOI":"10.2307\/2331067","article-title":"The dependence between hourly prices and trading volume","volume":"23","author":"Jain","year":"1988","journal-title":"J. Financ. Quant. Anal."},{"key":"10.1016\/S0927-0507(05)80056-8_bib49","doi-asserted-by":"crossref","first-page":"224","DOI":"10.1016\/0022-0531(82)90002-3","article-title":"The generic existence of rational expectations equilibria in the higher dimensional case","volume":"26","author":"Jordan","year":"1982","journal-title":"J. Econ. Theory"},{"key":"10.1016\/S0927-0507(05)80056-8_bib50","doi-asserted-by":"crossref","first-page":"201","DOI":"10.1016\/0022-0531(82)90001-1","article-title":"Rational expectations in microeconomic models: An overview","volume":"26","author":"Jordan","year":"1982","journal-title":"J. Econ. Theory"},{"key":"10.1016\/S0927-0507(05)80056-8_bib51","series-title":"Working Paper","article-title":"The upstairs market for large block transactions: Analysis and measurement of price effects","author":"Keim","year":"1993"},{"key":"10.1016\/S0927-0507(05)80056-8_bib52","series-title":"Working Paper","article-title":"Trading volume and price reactions to public announcements","author":"Kim","year":"1990"},{"key":"10.1016\/S0927-0507(05)80056-8_bib53","first-page":"465","article-title":"Stock market crashes","volume":"Vol. 9","author":"Kleidon","year":"1995"},{"key":"10.1016\/S0927-0507(05)80056-8_bib54","series-title":"Working Paper","article-title":"Information and index arbitrage","author":"Kumar","year":"1990"},{"key":"10.1016\/S0927-0507(05)80056-8_bib55","series-title":"International Agricultural Trade: Advanced Readings in Price Formation, Market Structure, and Price Instability","article-title":"Market structure, information, futures markets, and price formation","author":"Kyle","year":"1984"},{"key":"10.1016\/S0927-0507(05)80056-8_bib56","doi-asserted-by":"crossref","first-page":"1315","DOI":"10.2307\/1913210","article-title":"Continuous auctions and insider trading","volume":"53","author":"Kyle","year":"1985","journal-title":"Econometrica"},{"key":"10.1016\/S0927-0507(05)80056-8_bib57","doi-asserted-by":"crossref","first-page":"317","DOI":"10.2307\/2297551","article-title":"Informed speculation with imperfect competition","volume":"56","author":"Kyle","year":"1989","journal-title":"Rev. Econ. Studies"},{"issue":"2","key":"10.1016\/S0927-0507(05)80056-8_bib58","doi-asserted-by":"crossref","first-page":"375","DOI":"10.1093\/rfs\/6.2.375","article-title":"Price experimentation and security market structure","volume":"6","author":"Leach","year":"1993","journal-title":"Rev. Financ. Studies"},{"issue":"3","key":"10.1016\/S0927-0507(05)80056-8_bib59","doi-asserted-by":"crossref","first-page":"1009","DOI":"10.1111\/j.1540-6261.1993.tb04028.x","article-title":"Market integration and price execution for NYSE-listed securities","volume":"48","author":"Lee","year":"1993","journal-title":"J. Finance"},{"key":"10.1016\/S0927-0507(05)80056-8_bib60","series-title":"Working Paper","article-title":"Volume, volatility and NYSE trading halts","author":"Lee","year":"1992"},{"key":"10.1016\/S0927-0507(05)80056-8_bib61","series-title":"Working Paper","article-title":"Market makers, asymmetric information and price formation","author":"Lindsay","year":"1990"},{"key":"10.1016\/S0927-0507(05)80056-8_bib62","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1093\/rfs\/1.1.41","article-title":"Stock market prices do not follow random walks: Evidence from a simple specification test","volume":"1","author":"Lo","year":"1988","journal-title":"Rev. Financ. Studies"},{"issue":"2","key":"10.1016\/S0927-0507(05)80056-8_bib63","doi-asserted-by":"crossref","first-page":"607","DOI":"10.1111\/j.1540-6261.1992.tb04403.x","article-title":"Trading mechanisms in security markets","volume":"47","author":"Madhavan","year":"1992","journal-title":"J. Finance"},{"key":"10.1016\/S0927-0507(05)80056-8_bib64","doi-asserted-by":"crossref","first-page":"99","DOI":"10.1016\/0304-405X(91)90039-M","article-title":"A Bayesian model of intraday specialist pricing","volume":"30","author":"Madhaven","year":"1991","journal-title":"J. Financ. Econ."},{"key":"10.1016\/S0927-0507(05)80056-8_bib65","series-title":"Working Paper","article-title":"An analysis of daily changes in specialists inventories and quotations","author":"Madhaven","year":"1992"},{"key":"10.1016\/S0927-0507(05)80056-8_bib66","series-title":"Working Paper","article-title":"Price discovery, volume, and regional\/third market trading","author":"McInish","year":"1992"},{"key":"10.1016\/S0927-0507(05)80056-8_bib67","doi-asserted-by":"crossref","first-page":"17","DOI":"10.1016\/0022-0531(82)90046-1","article-title":"Information, trade, and common knowledge","volume":"26","author":"Milgrom","year":"1982","journal-title":"J. Econ. Theory"},{"key":"10.1016\/S0927-0507(05)80056-8_bib68","doi-asserted-by":"crossref","first-page":"361","DOI":"10.2307\/2330686","article-title":"The microeconomics of market making","author":"O'Hara","year":"1986","journal-title":"J. Financ. Quant. Anal."},{"key":"10.1016\/S0927-0507(05)80056-8_bib69","doi-asserted-by":"crossref","first-page":"255","DOI":"10.2307\/2937847","article-title":"Trading volume and asset liquidity","author":"Pagano","year":"1989","journal-title":"Q. J. Econ."},{"key":"10.1016\/S0927-0507(05)80056-8_bib70","article-title":"Transparency and liquidity: A comparison of auction and dealer markets with informed trading","author":"Pagano","year":"1992","journal-title":"LSE Financial Markets Group Discussion paper No. 150"},{"key":"10.1016\/S0927-0507(05)80056-8_bib71","doi-asserted-by":"crossref","first-page":"655","DOI":"10.2307\/1910413","article-title":"Rational expectations equilibrium: Generic existence and the information revealed by price","volume":"47","author":"Radner","year":"1979","journal-title":"Econometrica"},{"key":"10.1016\/S0927-0507(05)80056-8_bib72","doi-asserted-by":"crossref","first-page":"105","DOI":"10.1016\/1042-9573(90)90001-V","article-title":"Dual-capacity trading and the quality of the market","volume":"1","author":"Roell","year":"1990","journal-title":"J. Financ. Intermed."},{"key":"10.1016\/S0927-0507(05)80056-8_bib73","article-title":"The specialist's order book","author":"Rock","year":"1991","journal-title":"Rev. Financ. Studies."},{"key":"10.1016\/S0927-0507(05)80056-8_bib74","doi-asserted-by":"crossref","first-page":"73","DOI":"10.1111\/j.1540-6261.1990.tb05081.x","article-title":"Equilibrium block trading and asymmetric information","volume":"45","author":"Seppi","year":"1990","journal-title":"J. Finance"},{"issue":"2","key":"10.1016\/S0927-0507(05)80056-8_bib75","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1093\/rfs\/5.2.307","article-title":"Informed speculation and hedging in a non competitive securities market","volume":"5","author":"Spiegel","year":"1992","journal-title":"Rev. Financ. Studies"},{"key":"10.1016\/S0927-0507(05)80056-8_bib76","doi-asserted-by":"crossref","first-page":"1133","DOI":"10.1111\/j.1540-6261.1978.tb02053.x","article-title":"The supply of dealer services in securities markets","volume":"33","author":"Stoll","year":"1978","journal-title":"J. Finance"},{"key":"10.1016\/S0927-0507(05)80056-8_bib77","series-title":"Working Paper 90-31","article-title":"Principles of trading market structure","author":"Stoll","year":"1990"},{"key":"10.1016\/S0927-0507(05)80056-8_bib78","doi-asserted-by":"crossref","first-page":"17","DOI":"10.1093\/rfs\/4.1.17","article-title":"A theory of trading in stock index futures","volume":"4","author":"Subrahmanyam","year":"1991","journal-title":"Rev. Financ. Studies"},{"issue":"3","key":"10.1016\/S0927-0507(05)80056-8_bib79","doi-asserted-by":"crossref","first-page":"417","DOI":"10.1093\/rfs\/4.3.417","article-title":"Risk aversion, market liquidity, and price efficiency","volume":"4","author":"Subrahmanyam","year":"1991","journal-title":"Rev. Financ. Studies"},{"key":"10.1016\/S0927-0507(05)80056-8_bib80","first-page":"314","article-title":"Futures trading and hedging","volume":"43","author":"Working","year":"1953","journal-title":"Am. Econ. Rev."}],"container-title":["Handbooks in Operations Research and Management Science","Finance"],"original-title":[],"language":"en","deposited":{"date-parts":[[2019,2,14]],"date-time":"2019-02-14T04:09:30Z","timestamp":1550117370000},"score":1,"resource":{"primary":{"URL":"https:\/\/linkinghub.elsevier.com\/retrieve\/pii\/S0927050705800568"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1995]]},"ISBN":["9780444890849"],"references-count":81,"URL":"https:\/\/doi.org\/10.1016\/s0927-0507(05)80056-8","relation":{},"ISSN":["0927-0507"],"issn-type":[{"value":"0927-0507","type":"print"}],"subject":[],"published":{"date-parts":[[1995]]}}}