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

Ryan Riordan (LMU Munich)
The European Best Bid and Offer (EBBO): From Fragmented Feeds to a Consolidated Tape
with Lisa Kaminski (LMU) and Ralf Laschinger (LMU)
March 17, 11 a.m. (New York time)
Zoom link
Paper link

Abstract: We construct the first nanosecond-level European Best Bid and Offer (EBBO) by consolidating direct-feed quotes from ten major venues for Eurostoxx50 constituents between 2020 and 2024. The EBBO reveals that consolidation halves quoted spreads and nearly triples displayed depth, yet only 79–86% of marketable orders execute at the best available price. Geographic latency, routing frictions, and incomplete connectivity generate welfare losses of more than €50 million per year. These results quantify some of the costs of fragmentation and demonstrate how a consolidated European benchmark could enhance execution quality, transparency, and competition—directly informing the design of the Markets in Financial Instruments Directive III’s (MiFID III) Consolidated Tape.

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