Market microstructure studies the process by which investors' latent demands are ultimately
translated into prices and volumes. This paper reviews the theoretical, empirical and …

This paper surveys the literature on the geography of financial activity in order to assess the
role of financial centres. While there is widespread concern that rapid technological progess …

We present a model of the effects of legal protection of minority shareholders and of cash‐
flow ownership by a controlling shareholder on the valuation of firms. We then test this …

This paper characterizes the trading strategy of a large high frequency trader (HFT). The
HFT incurs a loss on its inventory but earns a profit on the bid–ask spread. Sharpe ratio …

We analyze a model of imperfect price competition between intermediation service
providers. We insist on features that are relevant for informational intermediation via the …

This Chapter provides a survey of the economics literature on multi-sided platforms with
particular focus on competition policy issues, including market definition, mergers …

Page 1 Γ Γ ггггг JJ J Market Microstructure Theory MAUREEN O'HARA WILEY Blackwell Page 2
Written by one of the leading authorities in market microstructure research, this book provides a …

We study how intermediation and asset prices in over‐the‐counter markets are affected by
illiquidity associated with search and bargaining. We compute explicitly the prices at which …

The way in which securities are traded is very different from the idealized picture of a
frictionless and self-equilibrating market offered by the typical finance textbook. Market …

Emerging markets are characterized by volatile, but substantial returns that can easily
exceed 75% per annum. Balancing these lofty returns are liquidity costs that, using the bid …