The Microstructure Exchange is a virtual academic market structure research seminar series of indefinite length, intended to continue the sharing of ideas between researchers.

Speakers are invited to present their work over Zoom. Seminars last for about an hour, consisting of a 45-minute presentation followed by a 15-minute Q&A. Questions can also be asked during the presentation, at designated break points or on the fly, depending on the speaker’s preference.

The Microstructure Exchange is accepting submissions for the Winter 2025.
Please submit your paper here. The deadline is December 15, 2024 (11:59 pm PDT).

Upcoming talk

Amber Anand (Syracuse)
Do auctions impact quote competition?
with Dmitriy Muravyev (UIUC)
Nov 26, 11 a.m. (New York time)
Zoom link
Paper link

Abstract: Auctions in options markets provide price improvement for retail traders, but they also allow market makers to trade without competing on displayed bid and ask prices. We study the effects of auctions on quote competition and bid-ask spreads. When an auction exchange is not at the best quote, it is significantly more likely to trade in auctions, and these trades are less likely to receive price improvement. These results are consistent with the use of auctions to match the best price on another exchange. Auction exchanges are less likely to quote at the best prices, particularly to improve the best quoted price. When auction use is restricted due to an exogenous rule change, quoted spreads decline, while the impact on effective spreads is more muted. Overall, we show that auctions reduce quote competition.

Calendar

Seminars take place on Tuesdays at 11:00.000000 a.m., NYSE time (or, if you are at IEX, at 11:00.000350 a.m.).

The calendar is available as a Google calendar or in iCal format.

The Zoom link for this season is here. You do not need to register ahead of the seminars.

Mailing list

To receive updates about upcoming seminars, please subscribe to our mailing list.

Organizing committee

Contact

Email contact@microstructure.exchange with comments, questions, and feedback.

The WRDS-TME Best Paper Award

WRDS is sponsoring the TME best paper award. Every academic year, all papers presented at TME will be candidates for this award. A selected group of reviewers will vote on the best paper of the year. The winning paper authors will receive a monetary reward of $3,000 and a beautiful award trophy. See the past winning papers below:

Resources

The Microstructure Exchange will host resources, tools, and data for microstructure researchers. Please contact contact@microstructure.exchange to add your resource to this section.

Courses

Conferences

Data

Past talks