{"id":"https://openalex.org/W1536042628","doi":"https://doi.org/10.1016/s0927-0507(05)80056-8","title":"Chapter 12 Market microstructure","display_name":"Chapter 12 Market microstructure","publication_year":1995,"publication_date":"1995-01-01","ids":{"openalex":"https://openalex.org/W1536042628","doi":"https://doi.org/10.1016/s0927-0507(05)80056-8","mag":"1536042628"},"language":"en","primary_location":{"id":"doi:10.1016/s0927-0507(05)80056-8","is_oa":true,"landing_page_url":"https://doi.org/10.1016/s0927-0507(05)80056-8","pdf_url":null,"source":{"id":"https://openalex.org/S4210170083","display_name":"Handbooks in operations research and management science","issn_l":"0927-0507","issn":["0927-0507","2212-1323"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"book series"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Handbooks in Operations Research and Management Science","raw_type":"book-chapter"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.1016/s0927-0507(05)80056-8","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5017669758","display_name":"David Easley","orcid":"https://orcid.org/0000-0002-6405-4134"},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"David Easley","raw_affiliation_strings":["Department of Economics, Cornell University, Ithaca, NY 14853-4201, U.S.A"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, Cornell University, Ithaca, NY 14853-4201, U.S.A","institution_ids":["https://openalex.org/I205783295"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5013070084","display_name":"Maureen O\u2019Hara","orcid":"https://orcid.org/0000-0003-2563-7748"},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Maureen O'Hara","raw_affiliation_strings":["Johnson Graduate School of Management, Malott Hall, Cornell University, Ithaca, NY 14853-4201, U.S.A"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Johnson Graduate School of Management, Malott Hall, Cornell University, Ithaca, NY 14853-4201, U.S.A","institution_ids":["https://openalex.org/I205783295"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I205783295"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":15,"citation_normalized_percentile":{"value":0.10014306,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"357","last_page":"383"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9975000023841858,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.980400025844574,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/market-microstructure","display_name":"Market microstructure","score":0.7984938621520996},{"id":"https://openalex.org/keywords/market-clearing","display_name":"Market clearing","score":0.7497058510780334},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.6612906455993652},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5528094172477722},{"id":"https://openalex.org/keywords/factor-market","display_name":"Factor market","score":0.5067930817604065},{"id":"https://openalex.org/keywords/database-transaction","display_name":"Database transaction","score":0.5051484704017639},{"id":"https://openalex.org/keywords/price-mechanism","display_name":"Price mechanism","score":0.478412002325058},{"id":"https://openalex.org/keywords/market-depth","display_name":"Market depth","score":0.45119309425354004},{"id":"https://openalex.org/keywords/market-price","display_name":"Market price","score":0.45072296261787415},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.4418143630027771},{"id":"https://openalex.org/keywords/point","display_name":"Point (geometry)","score":0.43866613507270813},{"id":"https://openalex.org/keywords/set","display_name":"Set (abstract data type)","score":0.4127689301967621},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.142303466796875},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.08867156505584717}],"concepts":[{"id":"https://openalex.org/C51926234","wikidata":"https://www.wikidata.org/wiki/Q3312426","display_name":"Market microstructure","level":3,"score":0.7984938621520996},{"id":"https://openalex.org/C14981831","wikidata":"https://www.wikidata.org/wiki/Q1713661","display_name":"Market clearing","level":2,"score":0.7497058510780334},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.6612906455993652},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5528094172477722},{"id":"https://openalex.org/C195534400","wikidata":"https://www.wikidata.org/wiki/Q641443","display_name":"Factor market","level":2,"score":0.5067930817604065},{"id":"https://openalex.org/C75949130","wikidata":"https://www.wikidata.org/wiki/Q848010","display_name":"Database transaction","level":2,"score":0.5051484704017639},{"id":"https://openalex.org/C105483948","wikidata":"https://www.wikidata.org/wiki/Q7242621","display_name":"Price mechanism","level":3,"score":0.478412002325058},{"id":"https://openalex.org/C33400823","wikidata":"https://www.wikidata.org/wiki/Q1419119","display_name":"Market depth","level":4,"score":0.45119309425354004},{"id":"https://openalex.org/C64112148","wikidata":"https://www.wikidata.org/wiki/Q160151","display_name":"Market price","level":2,"score":0.45072296261787415},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.4418143630027771},{"id":"https://openalex.org/C28719098","wikidata":"https://www.wikidata.org/wiki/Q44946","display_name":"Point (geometry)","level":2,"score":0.43866613507270813},{"id":"https://openalex.org/C177264268","wikidata":"https://www.wikidata.org/wiki/Q1514741","display_name":"Set (abstract data type)","level":2,"score":0.4127689301967621},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.142303466796875},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.08867156505584717},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1016/s0927-0507(05)80056-8","is_oa":true,"landing_page_url":"https://doi.org/10.1016/s0927-0507(05)80056-8","pdf_url":null,"source":{"id":"https://openalex.org/S4210170083","display_name":"Handbooks in operations research and management science","issn_l":"0927-0507","issn":["0927-0507","2212-1323"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"book series"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Handbooks in Operations Research and Management Science","raw_type":"book-chapter"}],"best_oa_location":{"id":"doi:10.1016/s0927-0507(05)80056-8","is_oa":true,"landing_page_url":"https://doi.org/10.1016/s0927-0507(05)80056-8","pdf_url":null,"source":{"id":"https://openalex.org/S4210170083","display_name":"Handbooks in operations research and management science","issn_l":"0927-0507","issn":["0927-0507","2212-1323"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"book series"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Handbooks in Operations Research and Management Science","raw_type":"book-chapter"},"sustainable_development_goals":[{"score":0.6100000143051147,"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":82,"referenced_works":["https://openalex.org/W133887199","https://openalex.org/W1485872351","https://openalex.org/W1499550068","https://openalex.org/W1534178283","https://openalex.org/W1583892487","https://openalex.org/W1599491685","https://openalex.org/W1765051938","https://openalex.org/W1966179084","https://openalex.org/W1966977762","https://openalex.org/W1968138761","https://openalex.org/W1975372592","https://openalex.org/W1979986072","https://openalex.org/W1985808284","https://openalex.org/W1986096635","https://openalex.org/W1986142095","https://openalex.org/W1988622314","https://openalex.org/W1993981983","https://openalex.org/W1995203962","https://openalex.org/W1997624033","https://openalex.org/W2000633988","https://openalex.org/W2006553348","https://openalex.org/W2009711422","https://openalex.org/W2016843842","https://openalex.org/W2025268472","https://openalex.org/W2030608640","https://openalex.org/W2031087009","https://openalex.org/W2032712062","https://openalex.org/W2033096392","https://openalex.org/W2036703111","https://openalex.org/W2047196615","https://openalex.org/W2050031929","https://openalex.org/W2057450957","https://openalex.org/W2058672407","https://openalex.org/W2059850901","https://openalex.org/W2062885512","https://openalex.org/W2071226470","https://openalex.org/W2071309967","https://openalex.org/W2074616142","https://openalex.org/W2075366185","https://openalex.org/W2075795176","https://openalex.org/W2086872180","https://openalex.org/W2087798591","https://openalex.org/W2093695665","https://openalex.org/W2094721071","https://openalex.org/W2095131952","https://openalex.org/W2113551185","https://openalex.org/W2119643020","https://openalex.org/W2125531201","https://openalex.org/W2131368387","https://openalex.org/W2131603693","https://openalex.org/W2134720785","https://openalex.org/W2139080644","https://openalex.org/W2144844788","https://openalex.org/W2155583491","https://openalex.org/W2156109180","https://openalex.org/W2157495061","https://openalex.org/W2158145505","https://openalex.org/W2160781897","https://openalex.org/W2167759315","https://openalex.org/W2170402452","https://openalex.org/W2784638674","https://openalex.org/W2970180846","https://openalex.org/W3122597312","https://openalex.org/W3122898452","https://openalex.org/W3123376915","https://openalex.org/W3123598380","https://openalex.org/W3125169406","https://openalex.org/W3125381173","https://openalex.org/W3125769591","https://openalex.org/W4244077793","https://openalex.org/W4250013831","https://openalex.org/W4253913674","https://openalex.org/W4256445132","https://openalex.org/W6605461371","https://openalex.org/W6630127388","https://openalex.org/W6648822051","https://openalex.org/W6652715958","https://openalex.org/W6656779286","https://openalex.org/W6677184902","https://openalex.org/W6684753170","https://openalex.org/W6748037140","https://openalex.org/W6835792847"],"related_works":["https://openalex.org/W2128697224","https://openalex.org/W2161378157","https://openalex.org/W2162044346","https://openalex.org/W2366696331","https://openalex.org/W150489754","https://openalex.org/W3122473327","https://openalex.org/W2387596213","https://openalex.org/W2528118199","https://openalex.org/W2776977164","https://openalex.org/W2045336159"],"abstract_inverted_index":{"This":[0],"chapter":[1],"discusses":[2],"important":[3],"aspects":[4],"of":[5,17,25,41,49,118,127],"the":[6,11,15,23,39,116,134,148,154,163],"market":[7,31,36,61,113,122,132],"microstructure":[8],"literature":[9],"and":[10,20,67,107,115,162],"theoretical":[12],"approaches":[13],"to":[14,33,80,105],"behavior":[16,37],"security":[18,35],"prices":[19,104],"markets":[21,68],"in":[22,38,73,136],"presence":[24,40],"differential":[26,42],"information.":[27],"The":[28],"Walrasian":[29],"(batch)":[30],"approach":[32,87],"modeling":[34,86],"information":[43],"is":[44,52,77,88,130,150,165],"described.":[45],"From":[46,124],"this":[47,75,95,125],"point":[48,126],"view":[50,128],"there":[51,129],"a":[53,101,112,158,166,169],"single":[54],"market-clearing":[55],"price":[56,135],"set":[57],"by":[58,111],"some":[59],"specified":[60],"intermediary.":[62],"Because":[63],"trades":[64,97],"are":[65,109],"aggregated":[66],"operate":[69],"at":[70,100],"specific":[71],"points":[72],"time,":[74,102],"framework":[76],"closely":[78],"related":[79],"rational":[81],"expectations":[82],"models.":[83],"An":[84],"alternative":[85],"also":[89],"presented\u2013":[90],"sequential":[91],"trade":[92,149],"model.":[93],"In":[94],"model":[96],"occur":[98],"one":[99],"different":[103],"buy":[106],"sell":[108],"quoted":[110],"specialist,":[114],"sequence":[117],"orders":[119],"may":[120],"affect":[121],"behavior.":[123],"no":[131],"price;":[133],"any":[137],"transaction":[138],"will":[139],"differ":[140],"depending":[141],"upon":[142],"myriad":[143],"factors":[144],"such":[145],"as":[146],"whether":[147],"large":[151],"or":[152,160,168],"small,":[153],"order":[155,164],"arose":[156],"from":[157],"buyer":[159],"seller,":[161],"limit":[167],"market.":[170]},"counts_by_year":[{"year":2026,"cited_by_count":5},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2018,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1}],"updated_date":"2026-01-29T23:13:10.619473","created_date":"2025-10-10T00:00:00"}