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.

Upcoming talk

Albert Menkveld (VU Amsterdam)
Pricing Variance in a Model with Fire Sales
Mar 4, 11 a.m. (New York time)
Zoom link
Paper link

Abstract: A Grossman-Stiglitz type model is proposed to solve two variance premium/VIX puzzles: Why do investors pay to hold realized variance risk, instead of earn a premium? And, why do they pay more in post-crisis months? The model consists of three periods. Agents are identical initially, then become heterogenous due to nontraded risk shocks and trade to hedge, and finally consume payoffs. The equilibrium provides a novel perspective on the time series of VIX, S&P500 returns, and SPY trading. The long time series, 1993 through 2024, includes several crises. These crises share a common pattern, which the model can generate endogenously.

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

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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.

Data

Past talks