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

Tom Ernst (Maryland)
The Value of Off-Exchange Data
with Jonathan Sokobin (FINRA) and Chester Spatt (Carnegie Mellon)
October 26th, 11 am (EDT)
Paper link

Abstract: Exploiting the structure of geographic latencies, we study the effect of trade reporting of off-exchange equity transactions and contrast that with reporting of exchange trading. Publication of off-exchange transactions by the Securities Information Processor (SIP), leads to a sharp burst in trading and quoting activity, suggesting that market participants learn from those reports, with their unique information content lingering throughout the lengthy reporting process. In contrast, there is no spike in response to SIP publication of exchange trading, but instead an earlier spike that reflects the response to the near-immediate reporting from proprietary feeds. Due to the varied locations of the off-exchange trade reporting facilities (TRFs), SIPs and exchanges, we use distinct geographical latencies to pinpoint the patterns. We document that realized spreads for the TRF-response trades are negative, consistent with these orders being informationally-motivated. An interesting puzzle concerns why market participants do not react to publication of off-exchange trades in proprietary data feeds, despite the value of its information.


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.


To receive the Zoom link and the paper for upcoming seminars, please subscribe to our mailing list.

Organizing committee


Email with comments, questions, and feedback.

Past talks


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