Market microstructure


Also found in: Wikipedia.

Market microstructure

The functional setup of a market.

Market Microstructure

The way a market or exchange functions under a given set of rules. The study of market microstructure deals with how well or poorly an exchange's rules encourage efficient trading. For example, one who studies market microstructure might conduct research into the similarities and differences in exchanges that have open outcry trading and those that are exclusively electronic.
References in periodicals archive ?
Hollifield has taught financial economics at the undergraduate, master's and doctorate levels at the Tepper School since 1998, specializing in market microstructure, asset pricing, financial intermediation, and empirical methods.
KOR's quantitative researchers, and developers, utilize the platform for market microstructure research, order-flow impact and multi-dimension venue Transaction Cost Analysis in conjunction with KOR Group's proprietary analytics.
The NBER's Working Group on Market Microstructure held a meeting, supported by the NASDAQ-OMX Foundation, in Cambridge on December 12, 2014.
The opening chapters explain the use of trading algorithms, market microstructure research, and transaction cost analysis in the current electronic market system, helping retail investors, professional traders, and financial industry executives better understand the complex forces disrupting stock markets.
In terms of the market microstructure, the bid-ask spread is interpreted as an investor's transaction costs.
A total of 288 new hedge funds launched in 2Q13, a slight decline from the 297 funds launched in 1Q13 but representing a year over year increase from the 245 funds launched in 2Q12, according to the latest HFR Market Microstructure Industry Report, released today by HFR.
com)-- Session "Exploiting Market Microstructure With High-Frequency Trading" will be part of the second day at High-Frequency Trading Experts Workshop 2010 (http://www.
A full analysis of 2008 hedge fund launches and liquidations is included in the HFR Market Microstructure Industry Report: Year End 2008.
Trading and Exchanges: Market Microstructure for Practitioners
The market microstructure literature studies how the actual transaction process--i.
Our findings confirm that market microstructure is an important factor that contributes to the observed Canadian ex-day price behavior.
David Whitcomb joined the faculty of New Jersey's Rutgers University in 1975, pioneering the study of market microstructure and tinkering around with financial models on the side.