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
Navigating the Murky World of Hidden Liquidity
with Robert P. Bartlett (Stanford)
Oct 29, 11 a.m. (New York time)
Zoom link
Paper link
Abstract: This paper investigates hidden liquidity on U.S. equity exchanges and how to find it. Despite the National Market System’s (NMS) goal of transparent trading, we show that orders hidden from the NMS provide liquidity for 40% of the trading volume in our sample, rising to 75% of the dollar volume traded for high priced stocks. We demonstrate how price improvement on exchanges depends on interacting with hidden liquidity, especially with non-displayed orders. Leveraging big data and machine learning, we develop an algorithm that dynamically predicts where price-improving non-displayed orders are likely to appear, illustrating how AI-driven models can allow broker-dealers to more effectively meet their best execution obligations.
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
To receive updates about upcoming seminars, please subscribe to our mailing list.
Organizing committee
- Björn Hagströmer – Stockholm University (website, twitter, or email)
- Katya Malinova – McMaster University (website or email)
- Josh Mollner – Northwestern University (website or email)
- Andreas Park – University of Toronto (website, twitter, or email)
- Cameron Pfiffer – Stanford University (website, twitter, or email)
- Andriy Shkilko – Wilfrid Laurier University (website, twitter, or email)
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:
- 2024, Measuring Public and Private Information using Quote and Trade Races, by James Brugler and Terry Hendershott
- 2023, Would Order-By-Order Auctions Be Competitive?, by Thomas Ernst, Chester S. Spatt, and Jian Sun.
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.
Courses
- Market Microstructure Summer School, June 16-20, 2025, at University of Edinburgh. A one-week full-time intensive PhD level course taught by Thierry Foucault (HEC Paris) and Albert Menkveld (VU Amsterdam). Graduate students, faculty members, and advanced practitioners are invited to apply. Application deadline: December 1, 2024.
Conferences
- NYSE Microstructure Meets AI Conference, Nov 11, 2024, at the NYSE, New York. Calling all academics with papers on U.S. Equity Market Microstructure as well as microstructure’s intersection with AI/ML along with individuals interested in microstructure and the application of AI in the equities markets. Application deadline: August 30, 2024.
Data
- Level 2 order book data trials from WRDS. WRDS is inviting faculty to trial the NYSE and ARCA level 2 order book data (TAQ Integrated Feed) and collecting interest in subscribing. WRDS is receiving academic feedback for this candidate database. We hope to make these data available to the microstructure research community soon. To join the subscription wish list or seek additional information, please contact WRDS. Data manual. For papers using these data, please see Battalio et al. (2021) and Holden et al. (2023).
- Quote-to-trade ratios from the paper Quoting activity and the cost of capital by Ioanid Rosu, Elvira Sojli, and Wing Wah Tham. Wharton Research Data Services (WRDS) data was used in preparing this output.
Past talks
- Stefan Scharnowski: A Tale of Two Cities – Inter-Market Latency and Fast-Trader Competition (recording, paper)
- Dmitriy Muravyev: An Anatomy of Retail Option Trading (recording, paper)
- Joel Hasbrouck: An Economic Model of a Decentralized Exchange with Concentrated Liquidity (recording, paper)
- Xian Wu: Dynamic Market Choice (paper, no recording available)
- Chester Spatt: What Does Best Execution Look Like? (recording, paper)
- Kumar Venkataraman: Receiving Investors in the Block Market for Corporate Bonds (recording, paper)
- Karamfil Todorov: ETFs, Illiquid Assets, and Fire Sales (recording, paper)
- Yunus Topbas: When Exchanges Are Not Exchanges: Evidence From Two Types of Dark Trading (recording, paper)
- Jun Wu: In the Blink of an Eye: Exchange-to-SIP Latency and Trade Classification Accuracy (recording, paper, slides)
- Terry Hendershott: Measuring Public and Private Information using Quote and Trade Races (paper, no recording available)
- Carole Comerton-Forde: Identifying High Frequency Trading Activity without Proprietary Data (recording, paper)
- Markus Bak-Hansen: Customers, Dealers and Salespeople: Managing Relationships in Over-the-Counter Markets (recording, paper)
- Mehmet Sağlam: Democratizing or Demoralizing: The Impact of Robinhood on Trading Costs and Volatility (recording, paper)
- Bart Yueshen: Anticompetitive Price Referencing (recording, paper)
- Taisiya Sikorskaya: Institutional Investors, Securities Lending, and Short-selling Constraints (no recording available)
- Neil Pearson: A Simple Role for Complex Options (recording, paper)
- Shihao Yu: HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading (recording, paper)
- Vincent Glode: Arms Sales in Financial Markets (recording, paper)
- Christian Westheide (recording, paper)
- Karamfil Todorov (recording, paper)
- Maren Vairo (recording, paper)
- Marius Zoican (recording, slides, and paper)
- Maureen O’Hara (recording, paper)
- Basil Williams (recording, paper)
- Chester Spatt (recording, paper)
- Robert Battalio (recording, paper1, and paper2)
- Sander Schwenk-Nebbe (recording, slides, and paper)
- Jiaheng Yu (recording and paper)
- Vincent van Kervel (recording, paper, and slides)
- Dermot Murphy (recording and paper)
- Markus Baldauf (recording and paper)
- Chris Schwarz (recording and paper)
- Jean-Edouard Colliard (recording)
- Taisiya Sikorskaya (recording and paper)
- Mina Lee (recording and paper)
- James Brugler (recording, slides, and paper)
- Tom Ernst (recording and paper)
- Christine Parlour (recording not available)
- Yashar Baradehi (recording and paper)
- Fatemeh Aramian (recording and paper)
- Anna Dreber & Albert Menkveld, #fincap (recording part 1, presentation, recording part 2, discussion, Anna Dreber slides, Albert Menkveld slides, Amit Goyal slides, Eric Uhlmann slides, and paper)
- Shihao Yu (recording, slides, and paper)
- Joshua Mollner (recording and paper)
- Tom Ernst (recording and paper)
- Jay Kahn (recording and paper)
- Richard Philip (recording and paper)
- Mao Ye (recording and paper)
- Matt Ringgenberg (recording and paper)
- Carole Comerton-Forde (recording)
- Greg Eaton (recording, paper, and slides)
- Milena Wittwer (paper)
- Zhaogang Song (recording and paper)
- Darrell Duffie (recording, paper, and slides)
- Joel Hasbrouck (recording, paper, and slides)
- Evangelos Benos (recording, paper, slides)
- Pete Kyle (recording, paper, and slides)
- Hans Degryse (recording, paper, and slides)
- Haoxiang Zhu (recording, paper, and slides)
- Edwin Hu (recording, paper, and slides)
- Yan Xiong (recording, paper, and slides)
- Terry Hendershott (recording, paper, and (slides)
- Mina Lee (recording)
- Chaojun Wang (recording and paper)
- Thomas Marta (recording and paper).
- Thomas Ernst (recording and paper).
- Alexey Ivashchenko (recording, paper, and slides)
- Anthony Lee Zhang (recording and paper)
- Marius Zoican (recording, paper, slides, and video abstract)
- Mao Ye (recording, slides, paper, and video abstract)
- Eric Budish (recording, paper, and video abstract)
- Chester Spatt (recording, paper, slides, video abstract)
- Gideon Saar (recording, slides, and video abstract)
- Dmitriy Muravyev (recording, paper, and video abstract)
- Albert Menkveld (recording, paper, slides, and video abstract)
- Sophie Moinas (recording, paper, and slides).
- Maureen O’Hara (video abstract and paper). We apologize – the recording is not available due to a technical issue.
- Angelo Ranaldo (recording, slides, video abstract, and paper)
- Sunil Wahal (recording, slides, video abstract, and paper)
- Thierry Foucault (recording, slides, video abstract, and paper)