Market microstructure


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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 ?
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 theory.