A New Start: Innovative Introductory AI-Centered Courses at Cornell (2009)
Eric Breck, David Easley, Jon Kleinberg, Lillian Lee, Jennifer Wofford, ...
We describe an array of novel introductory-level courses based on exciting topics in modern artificial intelligence. All present a great deal of often research-level technical content in a rigorous...
Constructive Decision Theory (2009)
Blume, Lawrence, Easley, David, Halpern, Joseph Y.
In most contemporary approaches to decision making, a decision problem is described by a sets of states and set of outcomes, and a rich set of acts, which are functions from states to outcomes over...
1 Keyword-Based Advertising (2009)
David Easley, Jon Kleinberg March
The problem of Web search, as traditionally formulated, has a very “pure ” motivation: it seeks to take the content people produce on the Web and find the pages that are most relevant, useful, or...
Eric Breck, David Easley, Jon Kleinberg, Lillian Lee, Jennifer Wofford, ...
We describe an array of novel introductory-level courses based on exciting topics in modern artificial intelligence. All present a great deal of often research-level technical content in a rigorous...
Ambiguity and Nonparticipation: The Role of Regulation (2009)
Easley, David, OHara, Maureen
We investigate the implications of ambiguity aversion for performance and regulation of markets. In our model, agents’ decision making may incorporate both risk and ambiguity, and we demonstrate...
A New Start: Innovative Introductory AI-Centered Courses at Cornell (2008)
Eric Breck, David Easley, Jon Kleinberg, Lillian Lee, Jennifer Wofford, ...
We describe an array of novel introductory-level courses based on exciting topics in modern artificial intelligence. All present a great deal of often research-level technical content in a rigorous...
Networks: Spring 2007 Matching Buyers and Sellers (2008)
David Easley, Jon Kleinberg February
When we think about markets creating opportunities for interaction between buyers and sellers, there is an implicit network encoding the access between buyers and sellers. In fact, there are several...
RFS Advance Access published January 20, 2006 A Trade-Based Analysis of Momentum (2008)
Soeren Hvidkjaer, Nicholas Barberis, David Easley, Pal Korsvold, Charles Lee, Roni Michaely, ...
the WFA meetings. I am especially grateful to an anonymous referee. Financial support from the Nasdaq Educational Foundation is gratefully acknowledged. Address correspondence to
Abstract Trading Networks with Price-Setting Agents (2008)
Larry Blume, David Easley, Jon Kleinberg, Éva Tardos
In a wide range of markets, individual buyers and sellers often trade through intermediaries, who determine prices through strategic considerations. Typically, not all buyers and sellers have access...
Networks: Spring 2007 Evolutionary Game Theory (2008)
David Easley, Jon Kleinberg April
Evolutionary game theory attempts to explain the behaviors we see in a population using evolutionary forces. The basic idea is that if there is some behavior that is more successful at producing...
Time-Varying Arrival Rates of Informed and Uninformed Trades (2008)
Easley, David, Engle, Robert F., O'Hara, Maureen, Wu, Liuren
We propose a dynamic econometric microstructure model of trading, and we investigate how the dynamics of trades and trade composition interact with the evolution of market liquidity, market depth,...
This paper is organized as follows. The next section develops a rational expectations model including many assets, many sources of uncertainty, and informed and uninformed traders
Lawrence E. Blume, David Easley
I shall not today attempt further to define the kinds of material I understand to be embraced within that shorthand description; and perhaps I could never succeed in intelligibly doing so. But I know...
Market Competition and Selection for the New Palgrave Dictionary of Economics, 2nd ed. (2007)
Realized profits, not maximum profits, are the mark of success and viability. It does not matter through what process of reasoning or motivation such success was achieved. The fact of its...
Time-Varying Arrival Rates of Informed and Uninformed Trades (2002)
EASLEY, DAVID, ENGLE, ROBERT F., O'HARA, MAUREEN, WU, LIUREN
In this paper we extend the model of Easley and O'Hara (1992) to allow the arrival rates of informed and uninformed trades to be time-varying and forecastable. We specify a generalized autoregressive...
On the Fragility of Gains from Trade under Continuously Differentiated Bertrand Competition (2002)
Mario Marazzi, Mario Marazzi, Kaushik Basu, David Easley, Nancy Chau, ...
NOTE: International Finance Discussion Papers are preliminary materials circulated to stimulate discussion and critical comment. References in publications to International Finance Discussion Papers...
Rational Learning in Imperfect Monitoring (2001)
Mario Gilli, Paolo Battigalli, David Canning, Giacomo Costa, David Easley, Bob Evans, ...
preliminary and incomplete- comments welcome
If You're So Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets (2001)
Lawrence Blume, David Easley, Werner Ploberger, Alvaro S, Bill Zame, Seminar Audiences
This paper provides an analysis of the asymptotic properties of consumption allocations in a stochastic general equilibrium model with heterogeneous consumers. In particular we investigate the market...
Lawrence Blume, David Easley, Carsten Krabbe Nielsen, Werner Ploberger, Andrew Postlewaite, ...
support under grants SES 9808690, SES0136307 and the Santa Fe Institute.
We provide an axiomatic foundation for decision making in a complex environment. We do not assume that the decision maker has complete structural knowledge of the environment. Instead the agent knows...
Rational expectations equilibrium: An alternative approach (1984)
Blume, Lawrence E., Easley, David
We study a dynamic market process in which traders condition their beliefs about payoff-relevant parameters on past endogenously generated market data and current exogenous data. We say that a market...
Characterization of optimal plans for stochastic dynamic programs (1982)
Blume, Lawrence E., Easley, David, O'Hara, Maureen
This paper provides general techniques for the characterization of optimal plans resulting from stochastic dynamic programming. We show that under standard assumptions the optimal plans in both...
Introduction to the stability of rational expectations equilibrium (1982)
Blume, Lawrence E., Bray, M. M., Easley, David
This paper surveys the literature which examines the stability of the expectations that agents are assumed to have in a rational expectations equilibrium (REE). This issue is more complex than the...
Learning to be rational (1982)
Blume, Lawrence E., Easley, David
We study the dynamical system of expectations generated by a simple general equilibrium model of an exchange economy in which each agent considers a finite collection of models, each of which...
The Economic Role of the Nonprofit Firm
This article demonstrates that the partitioning of economic activity into for-profit and nonprofit organizations can be at least partially described as the solution to an optimal contracting problem....
If You're So Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
This paper provides an analysis of the asymptotic properties of consumption allocations in a stochastic general equilibrium model with heterogeneous consumers. In particular we investigate the market...
Information, trade and incomplete markets
Lawrence Blume, Tarek Coury, David Easley
Trade, Incomplete markets, Risk sharing, D52, D82,
If You're So Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
This paper provides an analysis of the asymptotic properties of consumption allocations in a stochastic general equilibrium model with heterogeneous consumers. In particular we investigate the market...
Optimality and Natural Selection in Markets
Lawrence E. Blume, David Easley
Evolutionary arguments are often used to justify the fundamental behavioral postulates of competive equilibrium. Economists such as Milton Friedman have argued that natural selection favors profit...
If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
This paper provides an analysis of the asymptotic properties of Pareto optimal consumption allocations in a stochastic general equilibrium model with heterogeneous consumers. In particular, we...
An Equilibrium Analysis of Fiscal Policy with Uncertainty and Incomplete Markets.
Easley, David, Kiefer, Nicholas M, Possen, Uri M
Insurance aspects of tax policies are studied in a simple intertemporal general equilibrium model in which agents are uncertain about both the future wage rates and the rate of return on capital....
Optimal Learning with Endogenous Data.
Easley, David, Kiefer, Nicholas M
This paper is concerned with the need for, and the implications of, $-optimality in learning problems. The authors consider a control problem in which a Bayesian decisionmaker faces a trade-off...
Microstructure and asset pricing
Easley, David, O'Hara, Maureen, G.M. Constantinides, M. Harris, R. M. Stulz
Market microstructure and asset pricing both consider the behavior and formation of prices in asset markets. Yet neither literature explicitly recognizes the importance and role of the factors so...
Option Volume and Stock Prices: Evidence on Where Informed Traders Trade
David Easley, Maureen O'Hara, P.S. Srinivas
This paper investigates the informational role of transactions volume in options markets. We develop an asymmetric information model in which informed traders may trade in option or equity markets....
Is Information Risk a Determinant of Asset Returns?
David Easley, Soeren Hvidkjaer, Maureen O'Hara
We investigate the role of information-based trading in affecting asset returns. We show in a rational expectation example how private information affects equilibrium asset returns. Using a market...
Information and the Cost of Capital
We investigate the role of information in affecting a firm's cost of capital. We show that differences in the composition of information between public and private information affect the cost of...
Order Form and Information in Securities Markets.
Easley, David, O'Hara, Maureen
This paper examines the effects of price-contingent orders on security prices. The authors show that a market maker who knows the type and composition of trades will set larger spreads and adjust...
Time and the Process of Security Price Adjustment.
Easley, David, O'Hara, Maureen
This paper delineates the link between the existence of information, the timing of trades, and the stochastic process of prices. The authors show that time affects prices, with the time between...
Market Statistics and Technical Analysis: The Role of Volume.
Blume, Lawrence, Easley, David, O'Hara, Maureen
The authors investigate the informational role of volume and its applicability for technical analysis. They develop a new equilibrium model in which aggregate supply is fixed and traders receive...
Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow.
Easley, David, Kiefer, Nicholas M, O'Hara, Maureen
Purchased order flow refers to the practice of dealers or trading locales paying brokers for retail order flow. It is alleged that such agreements are used to 'cream skim' uninformed liquidity...
This paper provides an axiomatic foundation for decision making in complex settings in which the decision maker does not have complete structural knowledge of the environment. The agent knows the set...
Controlling a Stochastic Process with Unknown Parameters.
Easley, David, Kiefer, Nicholas M
The problem of controlling a stochastic process, with unknown parameters over an infinite horizon, with discounting is considered. Agents express beliefs about unknown parameters in terms of...
Rational Expectations and Rational Learning
We provide an overview of the methods of analysis and results obtained, and, most important, an assessment of the success of rational learning dynamics in tying down limit beliefs and limit behavior....
Optimality and Natural Selection in Markets
Lawrence E. Blume, David Easley
Evolutionary arguments are often used to justify the fundamental behavioral postulates of competive equilibrium. Economists such as Milton Friedman have argued that natural selection favors profit...
Time-Varying Arrival Rates of Informed and Uninformed Trades
David Easley, Robert F. Engle, Maureen O'Hara, Liuren Wu
In this paper we extend the model of Easley and O'Hara (1992) to allow the arrival rates of informed and uninformed trades to be time-varying and forecastable. We specify a generalized autoregressive...
One Day in the Life of a Very Common Stock.
Easley, David, Kiefer, Nicholas M, O'Hara, Maureen
Using the model structure of Easley and O'Hara, we demonstrate how the parameters of the market-maker's beliefs can be estimated from trade data. We show how to extract information from both trade...
Ambiguity and Nonparticipation: The Role of Regulation
We investigate the implications of ambiguity aversion for performance and regulation of markets. In our model, agents' decision making may incorporate both risk and ambiguity, and we demonstrate that...
Adverse Selection and Large Trade Volume: The Implications for Market Efficiency
Easley, David, O'Hara, Maureen
This paper examines the adverse selection problem that arises from the repeated trades of informed traders. We develop a model of trading that incorporates the interaction of expectations, prices,...
How Stock Splits Affect Trading: A Microstructure Approach
Easley, David, O'Hara, Maureen, Saar, Gideon
Extending an empirical technique developed in Easley, Kiefer, and O'Hara (1996), (1997a), we examine different hypotheses about stock splits. In line with the trading range hypothesis, we find that...
Time-Varying Arrival Rates of Informed and Uninformed Trades
David Easley, Robert F. Engle, Maureen O'Hara, Liuren Wu
We propose a dynamic econometric microstructure model of trading, and we investigate how the dynamics of trades and trade composition interact with the evolution of market liquidity, market depth,...
The market organism: Long-run survival in markets with heterogeneous traders
Blume, Lawrence, Easley, David
The information content of prices is a central problem in the general equilibrium analysis of competitive markets. Rational expectations equilibrium identifies conditioning simultaneously on...
Trading networks with price-setting agents
Blume, Lawrence E., Easley, David, Kleinberg, Jon, Tardos, Éva
In a wide range of markets, individual buyers and sellers trade through intermediaries, who determine prices via strategic considerations. Typically, not all buyers and sellers have access to the...