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

Milena Wittwer (Stanford)
Centralizing Over-The-Counter Markets?
with Jason Allen (Bank of Canada)
April 13th, 11 am (EDT)
Paper link

Abstract: In traditional over-the-counter (OTC) markets investors trade bilaterally through intermediaries, called dealers. An important regulatory question is whether to centralize OTC markets by shifting trades onto centralized platforms. We address this question in the context of the Canadian government bond market, which is liquid and price-transparent. We document that, even in this market, dealers charge substantial markups when trading with investors, and show that there is a price gap between large investors who have access to a centralized platform and small investors who do not. We specify a model to quantify how much of this price gap is due to platform access, and assess welfare effects. The model predicts that not all investors would use the platform, even if platform access were universal. Nevertheless, the price gap between small and large investors would close by 35-52%. Further, welfare would increase by 9-30% because more trades go via dealers who have high values to trade, for instance, because they seek to sell their inventory.


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.