Link : Journal of Finance There are many microstructure models (asymmetric information models, inventory-control models) that use BUY or SELL indicator associated with a trade as a variable for classifying other variables or use it as an exogenous variable for modeling. But the thing is that one needs to infer this variable from the trades and quotes data. The data feed from any exchange contains trades but one never knows whether the trade was in response to BUY order or a SELL order.

Link : Review of Financial Studies This paper builds upon the this paper where the authors introduce a trade process model. What do the authors attempt via this study ? They develop a framework for analyzing the information in a trading process. This is basically Bayesian learning problem where the market market is a Bayesian who updates various probabilities based on the trades that occur through out the day. The first section of the paper talks about a trade price model, a sequential trade model :

I‘m happy the way 2013 turned out to be, for more than a couple of reasons. One of them is that, I‘ve managed to read a decent #(65) of books.

Link : Paper This paper was published in Journal of Finance(1992) by Cornell professors, David Easley and Maureen O’Hara. It is one of the classic papers in market microstructure that shows that timing of the trade is not exogenous to price formation process. In this post, I will briefly go over the contents of the paper. The paper starts off giving some basic history of the models where time dimension of the trade is never explored or does not impact the price process.

The book is a take on how we look at the world and brand something as an advantage and something as a limitation. The things that we attribute as advantages sometimes become limitations and vice-versa. There are three parts to the book and each part has three stories. Part I: The advantages of disadvantages (and the disadvantage of advantages). The three stories mentioned in this part of the book go on to illustrate that we are often mislead about the nature of advantage.