{"paper":{"title":"Information thermodynamics of financial markets: the Glosten-Milgrom model","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["econ.TH","q-fin.TR"],"primary_cat":"cond-mat.stat-mech","authors_text":"Don Zagier, L\\'eo Touzo, Matteo Marsili","submitted_at":"2020-10-05T10:36:07Z","abstract_excerpt":"The Glosten-Milgrom model describes a single asset market, where informed traders interact with a market maker, in the presence of noise traders. We derive an analogy between this financial model and a Szil\\'ard information engine by {\\em i)} showing that the optimal work extraction protocol in the latter coincides with the pricing strategy of the market maker in the former and {\\em ii)} defining a market analogue of the physical temperature from the analysis of the distribution of market orders. Then we show that the expected gain of informed traders is bounded above by the product of this ma"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2010.01905","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2010.01905/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}