This paper by Hasbrouck is about estimating trading costs from transaction prices. One of the classic models used for estimating trading costs is the Roll model. For a plain version of Roll model where the price increments are modeled in a univariate sense, an estimate for the costs is given by a formula that involves square root of negative auto correlation. In cases where there is a positive autocorrelation between the transaction prices, the formula loses its power.

Here is one of the most cited papers in sociology, that is just 1.5 pages long. Good things come in small packages Choosing models for cross-classifications(Raftery, A.E. (1986)).

This short article by George Casella and Edward George, explains the nuts and bolts of a Gibbs sampler and answers the following questions in simple words : What is a Gibbs sampler ? Why was a there a need for such a sampling algorithm ? When is it used ? Why does it work ? How is it related to Data Augmentation Algorithm ? When does the algorithm fail ?

[youtube https://www.youtube.com/watch?v=DXrs7QVkT-w?rel=0]

Great work results when you stop doing only what you know you can do and instead begin pursuing what you believe you might be able to do with a little focused effort. - Todd Henry