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 fall 2026.
Please submit your paper here. The deadline is June 26, 2026 (11:59 pm PT).

Upcoming talk

Win Monroe (Copenhagen Business School)
Dealers, Information, and Liquidity Crises in Safe Assets
with Robert Czech (Bank of England)
May 12, 11 a.m. (New York time)
Zoom link
Paper link

Abstract: In this paper, we empirically study the role of information in safe asset liquidity crises, using the 2022 UK LDI crisis as a laboratory. Contrary to traditional adverse selection models, which predict higher liquidity costs due to the presence of informed traders, we find that dealers initially reduce trade costs for informed investors, and subsequently raise costs and reduce volumes for the broader market. Importantly, the results are not driven by competition for trading relationships or compensation for client-supplied liquidity. We interpret this as evidence of dealers seeking to learn from informed investors and then restricting liquidity provision as they process this information. We also document that dealers subsequently exploit their informational advantage in anonymous interdealer markets and that similar dynamics are present in other crises. Our findings suggest that dealers’ reallocation of liquidity towards informed clients during crises deepens market-wide liquidity shortages and amplifies the severity of liquidity crises.

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.

Conferences

Data

Past talks