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

Mao Ye (UIUC and NBER)
The Tradeoff between Discrete Pricing and Discrete Quantities: Evidence from U.S.-listed Firms
with Sida Li (UIUC)
September 21st, 11 am (EDT)
Paper link

Abstract: Economists usually assume that price and quantity are continuous variables, while most market designs, in reality, impose discrete tick and lot sizes. We study a firm’s trade-off between these two discretenesses in U.S. stock exchanges, which mandate a one-cent minimum tick size and a 100-share minimum lot size. A uniform tick size favors high prices because the bid–ask spread cannot be lower than one cent. A uniform lot size favors low prices because low prices reduce adverse selection costs for market makers when they have to display at least 100 shares. We predict that a firm achieves its optimal price when its bid–ask spread is two ticks wide, when the marginal contribution from discrete prices equals that from discrete lots. Empirically, we find that stock splits improve liquidity when they move the bid–ask spread towards two ticks; otherwise, they reduce liquidity. Liquidity improvements contribute 95 bps to the average total return on a split announcement of 272 bps. Optimal pricing can increase the median U.S. stock value by 69 bps and total U.S. market capitalization by $54.9 billion.


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.