Market microstructure
How orders become prices: spreads, market makers, informed flow, HFT, and why execution costs matter.
| Citation | Paper | Access | Difficulty | Score |
|---|---|---|---|---|
| Easley et al. (2012) | Flow Toxicity and Liquidity in a High-frequency World Review of Financial Studies | Free | Technical | 0 |
| Easley et al. (1996) | Liquidity, Information, and Infrequently Traded Stocks Journal of Finance | Paywalled | Technical | 0 |
| Hasbrouck (1991) | Measuring the Information Content of Stock Trades Journal of Finance | Paywalled | Technical | 0 |
| Kyle (1985) | Continuous Auctions and Insider Trading Econometrica | Paywalled | Technical | 0 |
| Glosten & Milgrom (1985) | Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders Journal of Financial Economics | Paywalled | Technical | 0 |