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

Evangelos Benos (Nottingham University)
The Cost of Clearing Fragmentation
with Wenqian Huang (BIS), Albert Menkveld (VU Amsterdam) and Michalis Vasios (ESMA)
December 1st, 11 am (EDT)
Register
Paper link

Abstract: Fragmenting clearing across multiple central counterparties (CCPs) is costly. This is because dealers providing liquidity globally, cannot net trades cleared in different CCPs and this increases their collateral costs. These costs are then passed on to their clients through price distortions which take the form of a price differential (basis) when the same products are cleared in different CCPs. Using proprietary data, we document an economically significant CCP basis for U.S. dollar swap contracts cleared both at the Chicago Mercantile Exchange (CME) and the LCH in London and provide evidence consistent with a collateral cost explanation of this basis.

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.

Registration

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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.

Data

Announcements