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

Gideon Saar (Cornell University)
Limit Order Market under Asymmetric Information
with Ayan Bhattacharya (Baruch College)

June 2nd, 11 am (EDT)
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Abstract: We develop a model of dynamic limit order markets under asymmetric information that can be solved in analytical form using a novel recursive formulation. Specifically, we adopt the trader arrival and asymmetric information environment of the Glosten-Milgrom-Easley-O’Hara framework but swap the dealer-based trading core of these models with the dynamic limit order book of Rosu (2009).We find that informed traders tend to “make” liquidity in illiquid markets and “take” liquidity from more liquid markets. Time between arrivals of limit or market orders conveys information to the uninformed traders, resulting in update of beliefs about the asset value and revision of limit order prices in the book. Our model generates the frequent cancellation and resubmission of orders that have become a staple of modern electronic limit order markets.

Video abstract

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.

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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