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

Mark Kerßenfischer (Deutsche Bundesbank)
Outages in sovereign bond markets
with Caspar Helmus (Deutsche Bundesbank)
Nov 13, 11 a.m. (New York time)
Zoom link
Paper link

Abstract: We use outages as natural experiments to study sovereign bond market functioning. When the euro area futures market goes down, trading activity on the cash market declines, liquidity evaporates, and transaction prices deviate from fundamental values. Tracing back this macrolevel market breakdown to the micro-level, we show that particularly dealers withdraw from the cash market during outages. While most of their remaining trades remain fairly priced, dealer’s capacity to intermediate trades on the cash market is reduced, forcing more clients to trade directly with each other, leading to substantial mispricing. Lastly, outages on cash trading venues barely affect the futures market, suggesting that price formation and liquidity provision is a one-way street, and outages on the US and euro area futures market barely affect each other, in stark contrast to the significant price spillovers. Our results reveal the trade-offs between a (de)centralized market structure, they support cross-asset learning models to explain the link between liquidity and arbitrage, and they demonstrate how financial intermediaries can impose important limits to arbitrage.

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.

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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.

Courses

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Data

Past talks