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
Does Floor Trading Matter?
with Jonathan Brogaard (Utah) and Dominik Rösch (SUNY Buffalo)
June 22nd, 11 am (EDT)
Register
Paper link
Abstract: While algorithmic trading now dominates financial markets, some exchanges continue to use human floor traders. On March 23, 2020 the NYSE suspended floor trading because of COVID-19. Using a difference-in-differences analysis, we find that floor traders are important contributors to market quality. The suspension of floor trading leads to higher effective and quoted spreads and larger pricing errors for treated stocks, relative to control stocks. Moreover, consistent with theoretical predictions about automation, the effects are strongest around the opening and closing auctions when complexity is highest. Our findings suggest that human expertise can complement algorithms in complex situations.
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.
Registration
To receive the Zoom link and the paper for 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
- Carole Comerton-Forde (recording)
- Greg Eaton (recording, paper, and slides)
- Milena Wittwer (recording and 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.
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.
Announcements
- The 2021 Conference and JEDC Special Issue on Markets and Economies with Information Frictions call for papers is available. The conference will be held on August 30th-31st, 2021.
- The Eighth Annual Conference on Financial Market Regulation will be held on May 13-14, 2021 at the SEC headquarters in Washington, DC.
- 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.