One Day in the Life of a Very Common Stock
利用Easley和O'Hara的模型结构，从交易数据中估计做市商信念参数，提取交易和非交易间隔的信息，并检验模型设定，为测试微观结构模型和提取交易过程信息提供框架。
Using the model structure of Easley and O'Hara (Journal of Finance, 47, 577–604), 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 and no-trade intervals, and how intraday and interday data provide information. We derive and evaluate tests of model specification and estimate the information content of differential trade sizes. Our work provides a framework for testing extant microstructure models, shows how to extract the information contained in the trading process, and demonstrates the empirical importance of symmetric information models for asset prices.