High frequency market microstructure

Maureen O'Hara · 2015 · Journal of Financial Economics

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Argues classic microstructure must be rethought for HFT: orders, not trades, now carry the information.

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At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: HFT
Data needed: None to read it; no dataset required Set what data you have
Themes: Microstructure HFT & market design
Assets: Equities
Market: Global

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Cite

@article{ohara2015high,
  author = {O'Hara, Maureen},
  title = {{High frequency market microstructure}},
  journal = {Journal of Financial Economics},
  year = {2015},
  doi = {10.1016/j.jfineco.2015.01.003}
}

O'Hara, M. (2015). High frequency market microstructure. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2015.01.003