Harris has an extensive background in market microstructure
and regulatory issues.
His research interests and publications are in the areas of financial systems and crises, speculative attacks, contagion, financial market microstructure
, and income inequality.
The company is built on a research driven culture, market microstructure
know-how, and algorithmic engineering expertise.
The NBER's Working Group on Market Microstructure
met in Cambridge on December 2.
The researchers observe that these differences are consistent with market microstructure
theories, such as asymmetric information.
Explaining exchange rate movements: an application of the market microstructure
approach on the Pakistani foreign exchange market, Journal of Developing Areas 44: 255-265.
The results are consistent with those of other studies examining the same market (Martins, Paulo, & Albuquerque, 2013) and market microstructure
theory (Easley et al.
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.
Key words: High Frequency Data; Differencing Interval; Intraday Data; Market Microstructure
Lerner and Wu explain the dependence of price volatility on market frictions based on a market microstructure