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.
Limit Order Market under Asymmetric Information
with Ayan Bhattacharya (Baruch College)
June 2nd, 11 am (EDT)
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.
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.
To receive the Zoom link and the paper for upcoming seminars, please subscribe to our mailing list.
- 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)
Email firstname.lastname@example.org with comments, questions, and feedback.
- 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) – May 5th, 2020. We apologize – the recording is not available due to a technical issue.
- Angelo Ranaldo (recording, slides, video abstract, and paper) – April 28th, 2020.
- Sunil Wahal (recording, slides, video abstract, and paper) – April 21st, 2020
- Thierry Foucault (recording, slides, video abstract, and paper) – April 14th, 2020
The Microstructure Exchange will host resources, tools, and data for microstructure researchers. Please contact email@example.com to add your resource to this section.
- 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.
- The Future of Financial Information conference is on May 27th-29th, and will take place virtually.
- Call for papers for a Journal of Banking & Finance entitled “The Impact of Global Pandemic on Financial Markets and Institutions” (link).