Market Microstructure Theory¶
O'Hara, M. (1995). Market Microstructure Theory. Blackwell.
Cited by¶
4 citations across 4 artifacts.
Each citation links to the sentence it supports in the citing article.
Primes¶
- Arbitrage (Finance)
- As O'Hara (1995) systematizes in her treatment of market microstructure theory, models such as Glosten–Milgrom and Kyle formalize how informed traders profit from information advantages before adverse selection narrows spreads, and how venue design (auction vs. dealer, transparency, order types) shapes the speed and quality of price discovery.
This sourceCanonical synthesis of market microstructure: surveys Glosten–Milgrom, Kyle, and related models of asymmetric-information trading, adverse selection, and venue design (auction vs. dealer, transparency, order types), providing the theoretical scaffolding for how informed traders profit before adverse selection narrows spreads.
- As O'Hara (1995) systematizes in her treatment of market microstructure theory, models such as Glosten–Milgrom and Kyle formalize how informed traders profit from information advantages before adverse selection narrows spreads, and how venue design (auction vs. dealer, transparency, order types) shapes the speed and quality of price discovery.
- Efficient Market Hypothesis (EMH)
This sourceCanonical survey of Glosten–Milgrom, Kyle, and asymmetric-information trading models. Bibliography-only (tier C); linked.
- Liquidity
- The distinction clarifies that quantity and convertibility are orthogonal dimensions—a separation O'Hara (1995) develops systematically in Market Microstructure Theory, where convertibility is shown to depend on order-flow architecture, dealer inventories, and information environment rather than on raw asset quantity.
This sourceCanonical synthesis of market microstructure: surveys Glosten–Milgrom, Kyle, and related models of asymmetric-information trading, adverse selection, and venue design, providing the theoretical scaffolding for cross-venue information arbitrage.
- The distinction clarifies that quantity and convertibility are orthogonal dimensions—a separation O'Hara (1995) develops systematically in Market Microstructure Theory, where convertibility is shown to depend on order-flow architecture, dealer inventories, and information environment rather than on raw asset quantity.
- Rate Coding
- Software monitoring — reconstructing an analog load or interest signal by counting discrete events per window (requests/sec, errors/sec, GC pauses/sec), with rate-thresholds rather than amplitude-thresholds. Markets and economics — order-arrival rate as demand intensity, transaction frequency as conviction, quit rates as labor-market tightness, each reading a continuous variable off discrete-event frequency.
This sourceDevelops information-based models in which informed and uninformed orders arrive at distinct rates, so the order-arrival rate proxies demand intensity and the presence of information.
- Software monitoring — reconstructing an analog load or interest signal by counting discrete events per window (requests/sec, errors/sec, GC pauses/sec), with rate-thresholds rather than amplitude-thresholds. Markets and economics — order-arrival rate as demand intensity, transaction frequency as conviction, quit rates as labor-market tightness, each reading a continuous variable off discrete-event frequency.
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