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
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.
Mailing list
To receive updates about upcoming seminars, please subscribe to our mailing list.
Organizing committee
- 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)
Contact
Email contact@microstructure.exchange with comments, questions, and feedback.
Past talks
- 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)
- Fatemah 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)
- 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)
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.
Events
- The Transparency and Market Structure Conference will take place in Amsterdam on Friday, June 10th.
Data
- 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.