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

Speakers will be invited to present their work over Zoom. Seminars will last 45 minutes with questions asked at designated break points during the talk and a 15 minute Q&A session at the end of the session that will be organized by a moderator.


Attention The Microstructure Exchange is accepting submissions for Fall 2022. Please submit your paper.

Upcoming talk

Jean-Edouard Colliard (HEC)
Algorithmic Pricing and Liquidity in Securities Markets
with Thierry Foucault (HEC), Stefano Lovo (HEC)
June 7th, 11am (EDT)
Zoom link

Abstract: We run experiments in which machine-learning algorithms play a standard market-making game under adverse selection. We study how the outcome of these experiments differs from standard equilibrium predictions. We find that a monopolist market-maker charges a price lower than the standard monopoly price. In contrast, competing market-makers charge a price at a mark-up above the competitive price. We run comparative statics exercises that deliver new empirical predictions. In particular, the mark-up decreases in the amount of adverse selection. Beyond the case of market-making, our framework is a step towards developing novel predictions on the impact of algorithmic trading in financial markets.

Calendar

Seminars will take place on Tuesdays. Times may vary to accomodate a broader global audience and to meet the speaker’s schedule.

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

Mailing list

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Organizing committee

Contact

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

Past talks

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.

Events

Data