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.

Upcoming talk

Edwin Hu (New York University School of Law)
Vestigial Tails: Floor Brokers at the Close in Modern Electronic Markets
with Dermot Murphy (University of Illionis at Chicago)
October 6th, 11 am (EDT)
Paper link

Abstract: Closing auctions determine daily closing prices and trillions of dollars of net asset values. We study closing auction market quality on NYSE and Nasdaq as measured by the accuracy of indicative closing auction prices, volume, and order imbalances. Closing auction market quality is significantly lower on NYSE compared to Nasdaq due to the existence of a second-stage auction period on NYSE which is exclusive to floor brokers. When NYSE closes its floor during the COVID-19 pandemic, we find that NYSE auction quality improves. We use exogenous shocks to impatient liquidity trader volume stemming from end-of-month portfolio rebalancing periods and “triple witching” days to show that closing auction market quality is worse on NYSE because impatient liquidity traders pool their orders in the first-stage auction period. Consistent with this view, NYSE auction quality deteriorates during our 2011-2018 sample period as passive investing overtakes active management.


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.


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Organizing committee


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Past talks


The Microstructure Exchange will host resources, tools, and data for microstructure researchers. Please contact to add your resource to this section.