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.
Network Structure and Pricing in the FX Market
with Richard Levich (NYU)
February 16th, 11 am (EDT)
Abstract: For a foreign exchange settlement network we construct profit attributions and relate them to centrality. Our sample (from CLS Bank) spans diverse currency pairs, participants, and execution platforms. For each settlement we define the average centrality differential as the return to the more-central counterparty in the trade, and model this as a function of the two counterparties’ centralities. Estimates of this differential are generally positive, implying that the more-central counterparty realizes a higher return. Additionally, the differential generally increases as the counterparties’ centralities diverge. These two results are consistent with a pervasive centrality premium. The estimates are robust to the choice of pre- or post-settlement benchmarks, to inclusion of settlement size interactions, and to weighting the degree centralities by number or value of settlements. Across currency pairs the centrality profit varies considerably, and typically amounts to about one-third of bid-ask half-spread. The centrality premium is consistent with the hypothesis that central agents exercise bargaining power. We also find, however, evidence suggesting that the premium is at least partially offset by losses that central agents incur in supplying liquidity.
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.
- Björn Hagströmer – Stockholm University (website or email)
- Katya Malinova – McMaster University (website or email)
- Andreas Park – University of Toronto (website, twitter, or email)
- Cameron Pfiffer – University of Oregon (website, twitter, or email)
- Andriy Shkilko – Wilfrid Laurier University (website, twitter, or email)
Email email@example.com with comments, questions, and feedback.
- 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)
The Microstructure Exchange will host resources, tools, and data for microstructure researchers. Please contact firstname.lastname@example.org to add your resource to this section.
- Spread statistics from Sunil Wahal. The dataset contains nanosecond precision spreads (using four methodologies) of all common stocks and ETFs with valid data. See Conrad and Wahal (2020) for more information.
- 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.
- The Microstructure Online Seminars Asia Pacific series hosts previous Microstructure Exchange speakers at times that better match the Australia, Hong Kong, and Singapore time zone.
- The Summer School on Market Microstructure, presented by Thierry Foucault and Albert Menkveld, will be hosted on June 7-11, 2021 at Stockholm Business School. It is a one-week intensive course, suitable for PhD students and advanced practitioners.