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

Mina Lee (Washington University)
Passive Investing and Price Efficiency
Discussant: Gideon Saar (Cornell University)
August 11th, 11 am (EDT)

Abstract: The growth of index funds and ETFs has raised concerns that the increased participation of uninformed investors may harm price efficiency. Modeling passive investment strategies as optimal strategies without private information, this paper studies the question in a theoretical framework, in which investors optimally decide whether to participate in the financial market and whether to choose informed or uninformed managers. There are two main results. First, the decrease in the passive management fees, which increases the share of passive investments in equilibrium, in fact makes prices more efficient when informed managers trade strategically. Second, when asset fundamentals are correlated via a factor structure, the factor portfolio can be the most liquid and the least efficient portfolio, making it the most valuable for both active and passive managements.


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.


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Organizing committee


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Past talks


The Microstructure Exchange will host resources, tools, and data for microstructure researchers. Please contact to add your resource to this section.