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 spring 2026.
Please submit your paper here. The deadline is December 15, 2025 (11:59 pm PDT).

Upcoming talk

Patrick Chang (Oxford)
Anonymity, Signaling, and Collusion in Limit Order Books
with Álvaro Cartea (Oxford) and Rob Graumans (AFM)
November 25, 11 a.m. (New York time)
Zoom link
Paper link

Abstract: A key feature in the design of a limit order book is the anonymity of limit orders. However, we analyze data with trader identification and find that market makers break the anonymity of limit orders. Market makers use limit orders with large volumes to signal themselves to other market makers to avoid trading with each other and to snipe retail limit orders. We explain the behavior of market makers with a model that considers competitive and collusive equilibria. The model shows that the behavior of market makers is consistent with that in a collusive equilibrium where market makers use signals to avoid sniping each other’s limit orders. Signaling enables market makers to share the profitable benign flow from retail limit orders, and simultaneously limit competition from retail limit orders, which enables market makers to receive additional benign flow from impatient investors who would have otherwise traded with a retail investor’s limit order.

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