The microstructure literature is very large. However, here are the reading list for Cornell’s qualifying exam in finance 2015.
O’Hara, M., 2003, Presidential Address: Liquidity and Price Discovery, Journal of Finance, 58, 1335-1354.
Hasbrouck, J., 1991, The Summary Informativeness of Stock Trades; An econometric analysis, Review of Financial Studies, 4, 571-595.
Hasbrouck, J., 1993, Assessing the quality of a security market: A new approach to transaction —cost measurement, Review of Financial Studies, 6, 191-212.
Ho, T., and H. Stoll, 1981, Optimal Dealer Pricing Under Transactions and Return Uncertainty, Journal of Financial Economics, 9, 47-13.
Grossman, S. and M. Miller, 1987, Liquidity and Market Structure, Journal of Finance, 43, 617-633.
Madhavan, A., and G. Sofianos, 1998, An Empirical Analysis of NYSE Specialist Trading, Journal of Financial Economics, 48, 189-210.
Back, K. and S. Baruch, 2004, Information in Securities Markets: Kyle Meets Glosten and Milgrom, Econometrica, 72(2), 433-465.
Easley, D., and M. O’Hara, 1987, Price, Trade Size, and Information in Securities Markets, Journal of Financial Economics, 19, 69-90.
Easley, D., and M. O’Hara, 1992, Time and the Process of Security Price Adjustment, Journal of Finance, 47,576-605.
Glosten, L., and P. Milgrom, 1985, Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders, Journal of Financial Economics, 14, 71-100.
Kyle, A., 1985, Continuous Auctions and Insider Trading, Econometrica, 53, 1315-1335.
Admati, A., and P. Pfleiderer, 1988, A Theory of Intraday Patterns: Volume and Price Variability, Review of Financial Studies, 1, 3-40.
Blume, L., Easley, D., and M. O’Hara, 1994, Market Statistics and Technical Analysis: The Role of Volume, Journal of Finance, 49, 153-182.
Campbell, J., S. Grossman, and J. Wang, 1993, Trading Volume and Serial Correlation in Stock Returns, Quarterly Journal of Economics, 108, 905-939503-522.
Llorente, G., R. Michaely, G. Saar, and Jiang Wang, 2002, Dynamic Volume-Return Relation of Individual Stocks” Review of Financial Studies 15, 1005-1047.
Pagano, M., 1989, Trading Volume and Asset Liquidity, Quarterly Journal of Economics, 104, 255-274.
Huang, R., and H. Stoll, 1996, Dealer Versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and the NYSE, Journal of Financial Economics, 41, 313-357.
Madhavan, A., Richardson, M., and M. Roomans, 1997, Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks, Review of Financial Studies, 6, 345-374.
Roll, R., 1984, A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market, Journal of Finance, 39, 1127-1139.
Amihud, Y., and H. Mendelson, 1986, Asset Pricing and the Bid-Ask Spread, Journal of Financial Economics, 17,223-249.
Easley, D., S. Hvidkjaer, and M. O’Hara, 2002, Is Information Risk a Determinant of Asset Prices? , Journal of Finance.
Pastor, L. and R. Stambaugh, 2004, Liquidity Risk and Expected Stock Returns, Journal of Finance.
Chordia, Tarun, Richard Roll and Avanidhar Subrahmanyam, 2000, Commonality in Liquidity, Journal of Financial Economics, 56, 3-28.
Glosten, L., 1994, Is the Electronic Open Limit Order Book Inevitable?, Journal of Finance, 49, 1127-1161.
Foucault, T., 1999, Order Flow Composition and Trading Costs in a Dynamic Limit Order Market, Journal of Financial Markets, 2, 99-134.
Parlour, C., 1998, Price Dynamics in a Limit Order Market, Review of Financial Studies, 11, 789-816.
Bloomfield, R., M. O’Hara and G. Saar, 2005, The “make or take” decision in an electronic market: Evidence on the evolution of liquidity, Journal of Financial Economics 75, 1 , 165-199
Christie, W., and P. Schultz, 1994, Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?, Journal of Finance, 49, 1813-1840.
Christie, W., Harris, J., and P. Schultz, 1994, Why Did NASDAQ Market Makers Stop Avoiding Odd-Eighth Quotes?, Journal of Finance, 49, 1841-1860.
Easley, D. and M. O’Hara, 2004, Information and the Cost of Capital, Journal of Finance