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Relevant bibliographies by topics / Market microstructure

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Academic literature on the topic 'Market microstructure'

Author: Grafiati

Published: 4 June 2021

Last updated: 28 September 2024

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Journal articles on the topic "Market microstructure"

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Steeley, Patricia Chelley, and Brian Lucey. "Microstructure of the Irish Stock Market." Multinational Finance Journal 12, no. 3/4 (December 1, 2008): 279–311. http://dx.doi.org/10.17578/12-3/4-6.

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Yalamova, Rossitsa. "Fractal Measures in Market Microstructure Research." Multinational Finance Journal 16, no. 1/2 (June 1, 2012): 137–54. http://dx.doi.org/10.17578/16-1/2-6.

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Harris, Lawrence E. "Market Microstructure and the Regulation of Markets." AIMR Conference Proceedings 2003, no. 7 (July 31, 2003): 60–66. http://dx.doi.org/10.2469/cp.v2003.n7.3353.

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Mann, Steven C., and Maureen O'Hara. "Market Microstructure Theory." Journal of Finance 51, no. 2 (June 1996): 770. http://dx.doi.org/10.2307/2329383.

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Ding, David K., and Charlie Charoenwong. "Asian market microstructure." International Review of Financial Analysis 15, no. 4-5 (January 2006): 288–90. http://dx.doi.org/10.1016/j.irfa.2006.04.002.

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Zhao, Chang Song, Jun Yong Wu, Fan Zhong Chu, Kai Rui Zhao, and Lei Yu. "Study on Preparation of Microstructured Optical Membrane." Key Engineering Materials 861 (September 2020): 159–64. http://dx.doi.org/10.4028/www.scientific.net/kem.861.159.

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Micro-structured optical film is one of the micro-optical elements and has a great market demand. This article studies the microstructured optical film formed by UV imprinting: The influence of embossing pressure on microstructure replication accuracy was explored. The larger the pressure, the better the material filling. When the pressure is 5N, the microstructure replication is complete; The relationship between the radiation intensity and warpage deformation was explored, and the decrease in the intensity of the UV light source can effectively reduce the warpage deformation; The influence of the material formula on the optical properties of the product was explored. When the oligomer content was 55%, the film had a high light transmittance. At the same time, the prepared film was subjected to an apparent inspection with good microstructure replication accuracy.Microstructured optical elements are widely used in optical fields such as semiconductors, lasers, beam shaping [1-2] and solar energy [3-5] due to their unique advantages such as small size and high performance. As a key component in many industries, it has a high market demand rate. However, the microstructure forming process is complicated, the manufacturing cost is high, and the accuracy is difficult to guarantee, which has restricted its development. With the advancement of science and technology and the increase in market demand, more and more researchers and enterprises have put their eyes on the research of preparing micro-structured optical elements.At present, the commonly used microstructures are mainly icrolens array [6-8], and the processing methods include micro-imprinting [9-10], etching [11], electron beam direct writing, and micro-injection [12], etc. This article studies the UV-curing embossing process in micro-embossing. This processing method has the advantages of fast molding, high efficiency, and environmental protection. And this process is conducive to mass production and has a broad market application prospect.In this paper, the forming process and material formulation of microstructured optical film prepared by light-cured micro-imprinting were investigated, and the microstructure morphology of the preparation was analyzed apparently.

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AYI, OS, Valentine Igbinedion, AG ABI, and Ishaku Irom. "Financial Markets Performance and Market Microstructure in Nigeria." International Journal of Economics and Management Studies 6, no. 11 (November 25, 2019): 123–33. http://dx.doi.org/10.14445/23939125/ijems-v6i11p115.

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Ignatius, Roger. "Making Market Microstructure Matter." CFA Digest 30, no. 2 (May 2000): 81–82. http://dx.doi.org/10.2469/dig.v30.n2.681.

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O'Hara, Maureen. "Making Market Microstructure Matter." Financial Management 28, no. 2 (1999): 83. http://dx.doi.org/10.2307/3666197.

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Madhavan, Ananth. "Market microstructure: A survey." Journal of Financial Markets 3, no. 3 (August 2000): 205–58. http://dx.doi.org/10.1016/s1386-4181(00)00007-0.

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Dissertations / Theses on the topic "Market microstructure"

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Stork, Christopher Oliver. "Microstructure of option markets without market makers." Thesis, London Metropolitan University, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.343195.

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Tse, Jonathan. "Market microstructure modelling." Thesis, University of Oxford, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.540272.

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Hoffmann, Peter. "Essays in Market Microstructure." Doctoral thesis, Universitat Pompeu Fabra, 2011. http://hdl.handle.net/10803/38703.

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This thesis covers three topics in Market Microstructure. Chapter 1 demonstrates that market access frictions may play a significant role in the competition between trading platforms. Analyzing a recent dataset of the trading activity in French and German stocks, we provide evidence that the incumbent markets dominate because the sole market entrant exposes liquidity providers to an excessive adverse selection risk due to a lack of noise traders. Chapter 2 presents a theoretical model of price formation in a dynamic limit order market with slow human traders and fast algorithmic traders. We show that in most cases, algorithmic trading has a detrimental effect on human traders’ welfare. Finally, Chapter 3 empirically analyzes the role of pre-trade transparency in call auctions. Comparing the trading mechanisms in place on the French and German stock exchanges, we find that transparency is associated with higher trading volume, greater liquidity, and better price discovery.
Esta tesis estudia tres temas diferentes de la microestructura de los mercados financieros. El capítulo 1 demuestra que fricciones en el acceso al mercado pueden desempeñar un papel significativo en la competencia entre plataformas de negociación de activos. El análisis de un conjunto de datos recientes de la actividad en acciones francesas y alemanas demuestra que los mercados primarios dominan debido a que el único mercado satélite expone los proveedores de liquidez a un riesgo excesivo de selección adversa, causado por una falta de noise traders. El capítulo 2 presenta un modelo teórico de formación de precios en un mercado dinámico con limit order book poblado por agentes humanos lentos y agentes algorítmicos rápidos. Se demuestra que, en la mayoría de los casos, la negociación algorítmica tiene un efecto negativo sobre el bienestar de agentes humanos. Por último, el capítulo 3 analiza empíricamente el papel de la transparencia pre-negociación en las subastas de apertura y de cierre. Comparando los mecanismos en las bolsas francesas y alemanas, encontramos que la transparencia está asociada con un volumen mayor, una liquidez mayor y un mejor price discovery.

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Lew, Sean. "Essays on market microstructure." Thesis, London School of Economics and Political Science (University of London), 2012. http://etheses.lse.ac.uk/703/.

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This thesis contains three essays on market microstructure. Chapter 1 studies how endogenous information acquisition affects financial markets by modelling potentially informed traders who optimally acquire variable information at increasing cost. Prices affect the informed trading by providing incentives for acquiring information. Endogenous information acquisition explains the stylised facts that informed trading and transaction volume spike after informational events and fall over time. My model also tells a cautionary tale for interpreting measures of informed trading. Three common empirical proxies derived under the exogenous assumption (spreads, Easley O'Hara's PIN and blockholder interest) do not agree with each other in my setup. Chapter 2 develops a more general framework with endogenous information acquisition which I use to examine the behaviour of an optimal monopolistic market maker. Unlike a competitive market maker, he sets prices to increase information revelation which is valuable to him. I characterise market information structure by whether narrower or wider spreads increase the information revealed by trades. An optimal monopolistic market maker may behave differently from the standard exogenous information benchmark. He may set narrower spreads in early periods. On average, spreads may widen over time. The different results arise from the interaction of a monopolistic market maker with endogenous information acquisition. Chapter 3 studies the impact of confidential treatment requests made by institutional investors to the Securities and Exchange Commission (SEC) to delay disclosure of their holdings. The SEC requires the manager to present a coherent on-going trading program in his request for confidential treatment. If granted, he is restricted to trade in a manner consistent with his reported forecast in the subsequent period. Under the restriction, the manager earns higher expected profits by applying for confidential treatment only if his probability of success exceeds a threshold. The model predicts that the price impact of a disclosed trade due to a confidential treatment request denial is greater than that of a disclosed trade where there is no request.

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Lin, Hao. "Essays in market microstructure." Thesis, University of Warwick, 2006. http://wrap.warwick.ac.uk/4421/.

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Market making is central to the study of market microstructure. Market makers stand ready to provide liquidity, market stability and price discovery, issues of great importance to regulators, practitioners and academics. This thesis contributes to the literature by studying four topical issues related to market making. The thesis consists of four essays. In the first essay we develop a simple multi-period model of market making for a monopolistic stock market maker. The market maker tries to solve simultaneously the problems of managing his inventory and trading with informed traders. He uses a Kalman filter to update his estimates of the unknown market prices through his noisy order flow observation. We analytically characterize the optimal bid and ask prices and find that they depend on the beginning inventory, the estimated price, and the market maker's prior estimation error of the price process for each time period. We obtain desirable numerical results by using properly chosen parameters. The extensions to the continuous time and a competitive market making environment are also discussed. The second essay extends the model in the first essay to consider the market making of multiple stocks. The market maker still does not know the true prices but is assumed to know the return covariance structure of these stocks. When the market maker considers the correlated order flow information, his knowledge of the return covariance improves his estimation of the unknown price processes, resulting in higher cumulative profits and lower risks of the profits. The third essay analyzes the effect of option market makers' hedging on the informed trading strategy and the subsequent changes in the costs of liquidity provision in both stock and option markets. In a sequential trading framework, an option market maker uses the stock market to hedge his option position. His hedging trade affects the way that informed traders submit their orders in both the stock and the option market, which in turn changes the informed trading pressure faced by the market makers in each market. Furthermore, information in the option trading is passed to the stock market through the hedging trade. Both stock and option spreads are wider with option market maker's hedging. The increase in the spreads is more significant when the option market maker hedges in the underlying market than when it hedges with different options. The fourth essay provides a model of bookmaking in a horse race betting market. The bookmaker observes the noisy public betting flow and faces the risk of trading with possible informed traders, as well as the risk of his unbalanced liability exposures. Even the noisy demand can unbalance the bookmaker's book. In our model, the bookmaker revises his odds to mitigate the risk. Allowing the bookmaker to set odds over several rounds of betting gives a clear view of the bookmaker's price setting strategy and its impact on the public betting flow over time. The study of horse race bookmaking provides useful insights into the market making of state contingent claims such as options.

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Saporta, Victoria. "Essays on market microstructure." Thesis, University of Cambridge, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.311019.

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Eikeboom, Arnout M. (Arnout Michiel). "Essays in market microstructure." Thesis, Massachusetts Institute of Technology, 1993. http://hdl.handle.net/1721.1/12232.

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Palazzo, Francesco. "Essays in market microstructure." Thesis, London School of Economics and Political Science (University of London), 2015. http://etheses.lse.ac.uk/3134/.

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This dissertation contains three theoretical essays on the functioning and the organization of over the counter markets. The first paper, "Is Time Enough to Alleviate Adverse Selection?," considers a dynamic adverse selection model in which sellers pay a search cost to find a new buyer. I uncover a relationship between adverse selection and the magnitude of search costs. Interestingly, small search costs may increase the severity of the adverse selection problem, ultimately leading to a lemons market. A market design intervention may mitigate adverse selection and promote full market participation. Conditional upon an adequate level of information disclosure, a per period market participation tax, coupled with a final rebate once a seller trades, introduces a credible signalling device. The second paper, "Peer Monitoring Incentives via Central Clearing Counterparties," studies how the novel introduction of mandatory clearing for over the counter financial assets may affect dealers’ incentives to monitor each other’s. The design of the loss allocation rules is crucial. To maximize peer monitoring incentives, a higher share of losses should be payed by surviving members with a greater trade exposure to the defaulting dealer. In practice, this mechanism can be implemented through variation margin haircutting. If all members should contribute, equilibrium outcomes may be inferior to what can be achieved without clearing. The third paper, "Learning and Price Dynamics in Durable Goods Markets," is joint work with Min Zhang. We set up a dynamic model with two key features: first, agents enjoy heterogeneous use values, and later resell the good; second, prices do not incorporate all available information. Informational frictions slow down learning, and affect price movements asymmetrically in high and low aggregate demand states. Learning and the resale motive are the predominant force for durable goods with short resale horizons, slow time-varying aggregate demand, and similar use values among buyers.

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Yin, Hao. "Essays on market microstructure." [Bloomington, Ind.] : Indiana University, 2008. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3319894.

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Thesis (Ph.D.)--Indiana University, Dept. of Economics, 2008.
Title from PDF t.p. (viewed on May 11, 2009). Source: Dissertation Abstracts International, Volume: 69-08, Section: A, page: 3258. Advisers: Craig Holden; Konstantin Tyurin.

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Wang, Qin. "Essays in Market Microstructure." Diss., The University of Arizona, 2009. http://hdl.handle.net/10150/195100.

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The first essay investigates whether there is an informational linkage between option trading activities and underlying stock depths. I find that option trading activities and underlying stock depths are informative for predicting each other, indicating that a linkage does exist. I further find that underlying stock depths beyond best prices contain more information than same-side depths at best prices for predicting future option trading activities, which is corroborated by my additional finding that institutional investors are more likely to place underlying stock limit orders less aggressively than individual investors. My findings indicate that standing underlying stock limit orders play an important role in price discovery between options and underlying stock markets.The second essay empirically examines whether specialists face adverse selection and evaluates the performance of the six measures of adverse selection or trade informativeness. I find that specialists face adverse selection. I find that the Glosten-Harris (1988) measure is the most reliable, that the Huang-Stoll (1997) measure is the least reliable, and that the ranking among the George-Kaul-Nimalendran (1991), Lin-Sanger-Booth (1995), PIN (1996), and Hasbrouck (1991b) measures is ambiguous.

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Books on the topic "Market microstructure"

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Abergel, Frédéric, Jean-Philippe Bouchaud, Thierry Foucault, Charles-Albert Lehalle, and Mathieu Rosenbaum, eds. Market Microstructure. Oxford, UK: John Wiley & Sons Ltd, 2012. http://dx.doi.org/10.1002/9781118673553.

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Zovko, Ilija I. Topics in market microstructure. Amsterdam: Amsterdam University Press, 2008.

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Even, Yaarit. Essays on Market Microstructure. [New York, N.Y.?]: [publisher not identified], 2021.

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Baker, H. Kent, and Halil Kiymaz, eds. Market Microstructure in Emerging and Developed Markets. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2013. http://dx.doi.org/10.1002/9781118681145.

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Ismiyanti, Fitri. Evidence on market microstructure in Indonesian markets. [Surabaya]: Universitas Airlangga, 2009.

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Dufrénot, Gilles, Fredj Jawadi, and Waël Louhichi, eds. Market Microstructure and Nonlinear Dynamics. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-05212-0.

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Abergel, Frédéric. Market microstructure: Confronting many viewpoints. Hoboken, N.J: Wiley, 2012.

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S, Abbey J. L., and United States. Agency for International Development., eds. Microstructure of Ghana's foreign exchange market. [Washington, D.C.?]: USAID, 2008.

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Çetin, Umut, and Albina Danilova. Dynamic Markov Bridges and Market Microstructure. New York, NY: Springer New York, 2018. http://dx.doi.org/10.1007/978-1-4939-8835-8.

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Bera, Anil K., Sergey Ivliev, and Fabrizio Lillo, eds. Financial Econometrics and Empirical Market Microstructure. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-09946-0.

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Book chapters on the topic "Market microstructure"

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Baker, H. Kent, and Halil Kiymaz. "Market Microstructure." In Market Microstructure in Emerging and Developed Markets, 1–16. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2013. http://dx.doi.org/10.1002/9781118681145.ch1.

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Foucault, Thierry. "Algorithmic Trading: Issues and Preliminary Evidence." In Market Microstructure, 1–40. Oxford, UK: John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673553.ch1.

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Roşu, Ioanid. "Order Choice and Information in Limit Order Markets." In Market Microstructure, 41–60. Oxford, UK: John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673553.ch2.

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Huth, Nicolas, and Frédéric Abergel. "Some Recent Results on High Frequency Correlation." In Market Microstructure, 61–86. Oxford, UK: John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673553.ch3.

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Yoshida, Nakahiro. "Statistical Inference for Volatility and Related Limit Theorems." In Market Microstructure, 87–112. Oxford, UK: John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673553.ch4.

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Eisler, Zoltán, Jean-Philippe Bouchaud, and Julien Kockelkoren. "Models for the Impact of All Order Book Events." In Market Microstructure, 113–35. Oxford, UK: John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673553.ch5.

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Hautsch, Nikolaus, and Ruihong Huang. "Limit Order Flow, Market Impact, and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data." In Market Microstructure, 137–61. Oxford, UK: John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673553.ch6.

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Lehalle, Charles-Albert. "Introduction: Trading and Market Micro-Structure." In Market Microstructure, 163–70. Oxford, UK: John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673553.ch7.

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Challet, Damien, and David Morton de Lachapelle. "Collective Portfolio Optimization in Brokerage Data: The Role of Transaction Cost Structure." In Market Microstructure, 171–86. Oxford, UK: John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673553.ch8.

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Criscuolo, Adriana M., and Henri Waelbroeck. "Optimal Execution of Portfolio Transactions with Short-Term Alpha." In Market Microstructure, 187–211. Oxford, UK: John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673553.ch9.

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Conference papers on the topic "Market microstructure"

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Sikder, Sampad, Mashiat Amin Farin, Md Ariful Islam, Tahlil Tahlil, and Meah Tahmeed Ahmed. "Unlocking DeFi Literacy: Understanding NFT Market Microstructure in the Decentralized Finance Landscape." In 2024 IEEE International Conference on Blockchain and Cryptocurrency (ICBC), 1–5. IEEE, 2024. http://dx.doi.org/10.1109/icbc59979.2024.10634338.

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Qin, Yemei, Hui Peng, Yanhui Xi, and Xiaohong Chen. "Multi-asset allocation based on financial market microstructure model." In 2014 26th Chinese Control And Decision Conference (CCDC). IEEE, 2014. http://dx.doi.org/10.1109/ccdc.2014.6852931.

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Li, Bao-sheng, Lian-ju Ning, and Zhen-zhong Zhu. "The microstructure and regulation of mobile data service market." In 2008 International Conference on Management Science and Engineering (ICMSE). IEEE, 2008. http://dx.doi.org/10.1109/icmse.2008.4668992.

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Doering, Jonathan, Michael Fairbank, and Sheri Markose. "Convolutional neural networks applied to high-frequency market microstructure forecasting." In 2017 9th Computer Science and Electronic Engineering (CEEC). IEEE, 2017. http://dx.doi.org/10.1109/ceec.2017.8101595.

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Chung, Chaeshick, and Sukjin Park. "Dual-Stage Attention-Based Recurrent Neural Networks for Market Microstructure." In 2021 IEEE Asia-Pacific Conference on Computer Science and Data Engineering (CSDE). IEEE, 2021. http://dx.doi.org/10.1109/csde53843.2021.9718424.

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Li, Yangyang, and Handong Li. "Research on the Microstructure of Realized Volatility in Chinese Stock Market." In 2009 International Conference on Management and Service Science (MASS). IEEE, 2009. http://dx.doi.org/10.1109/icmss.2009.5303188.

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Krishnamurthy, Vikram, and Anup Aryan. "Detecting asset value dislocations in multi-agent models of market microstructure." In ICASSP 2013 - 2013 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP). IEEE, 2013. http://dx.doi.org/10.1109/icassp.2013.6639372.

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Doval, Peter N., and Ilya V. Avdeev. "Coupled-Physics Modeling of a Lithium-Ion Battery Cylindrical Cell Microstructure." In ASME 2012 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/imece2012-88201.

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Safety of consumer vehicles is an extremely important consideration for the automotive industry. An emerging market in the automotive industry today is the electric and hybrid-electric vehicle market. As environmental concerns grow, such vehicles will become a necessity for manufacturers to remain within increasingly stringent emissions regulations. A recent problem with the high-voltage lithium-ion batteries used in many of these vehicles is that of thermal runaway following a severe collision. This paper represents our early attempt to look at one aspect of this extensive project — a coupled-physics model of battery cell microstructure. In this case, couple-physics refers only to thermal-structural coupling and the microstructure being studied here is the laminate-level structure. A 2-D finite element model of a lithium-ion cell was therefore developed. This 2-D model of the cell, also called a jellyroll, is a cross-section cut of one cell within a battery pack. Each battery cell is an assembly of alternating thin sheets of functional materials (anode, separator and cathode), which are rolled into a cylindrical shape. The cross-section then takes the form of a layered spiral. The typical cell is made of an aluminum cathode with coating, copper anode with coating, and a non-linear, viscoelastic polymer separator. Once the 2-D jellyroll FE model was created, some initial structural element simulations were run to validate the geometry setup and model integrity. Next, thermal-structural coupled-field simulations were run to investigate stress propagation resulting from thermal loads as well as the same loading cases performed with the structural-only model. Different loading conditions, including uniaxial stress-strain state, hydrostatic pressure test, and thermo-mechanical loading were simulated. The results from the simulations performed in the project set the groundwork of future models involving electrical properties and models of 3-D cells and the full battery pack.

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Berger, Lutz-Michael, Susan Conze, Kerstin Gnauck, Marek Vostřák, Šárka Houdková, and Tomáš Taranda. "Microstructure and Properties of Cr3C2-Rich Binary Cr3C2-WC-Ni(Co) Hardmetal Coatings." In ITSC 2023. ASM International, 2023. http://dx.doi.org/10.31399/asm.cp.itsc2023p0589.

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Abstract Hardmetal coating compositions containing both WC and Cr3C2 are less intensively studied than WC-Co(Cr) and Cr3C2-NiCr. In particular, compositions with Cr3C2 as the main phase are relatively new in the market. In this contribution, two commercial agglomerated and sintered feedstock powders with similar compositions (42Cr3C2-42WC-16Ni and 45Cr3C2- 37WC-18NiCoCr) were studied. Both powders differ in their porosity and the melting behavior, as was found by DSC experiments. Coatings were deposited with a liquid-fueled HVOF process (JP 5220). Optimization of the spray conditions was evaluated with five different spray parameter sets. Coating microstructures and phase compositions, as well as microhardness HV0.3 and abrasion wear resistance were less influenced by the spray parameter sets. At the same time, significant differences in deposition efficiency between the two compositions were observed, which might be related to the differences in the melting behavior of the compositions and the powder porosity. However, coating microhardness and abrasion wear resistance were similar for each of the spray parameter sets. Coating microstructure and phase composition were studied with a focus on the interaction between Cr3C2 and WC and will be discussed in detail.

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Horsch, A. "Non-Destructive Hardness/Microstructure Testing of Heat-Treated Parts by Mass Production, with Multiple Frequency Magnetic Induction Method." In HT2019. ASM International, 2019. http://dx.doi.org/10.31399/asm.cp.ht2019p0185.

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Abstract Increasing quality demands, new product liability regulations, as well as international market networks force manufacturers to take special measures encompassing the field of material testing. Nowadays, specified tolerances are extremely small. Therefore, processes have to include the conducting of 100% material, structure and hardening tests on a fast, reliable and simple basis. The technology applied must be the latest state of art, it must comply with maximum safety requirements and be economical.

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Reports on the topic "Market microstructure"

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Neely, Christopher J., and Bruce Mizrach. The Microstructure of the U.S. Treasury Market. Federal Reserve Bank of St. Louis, 2007. http://dx.doi.org/10.20955/wp.2007.052.

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Dominguez, Kathryn. The Market Microstructure of Central Bank Intervention. Cambridge, MA: National Bureau of Economic Research, September 1999. http://dx.doi.org/10.3386/w7337.

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Cheung, Yin-Wong, and Menzie Chinn. Traders, Market Microstructure and Exchange Rate Dynamics. Cambridge, MA: National Bureau of Economic Research, November 1999. http://dx.doi.org/10.3386/w7416.

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Allen, Franklin, and Gary Gorton. Stock Price Manipulation, Market Microstructure and Asymmetric Information. Cambridge, MA: National Bureau of Economic Research, October 1991. http://dx.doi.org/10.3386/w3862.

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Ait-Sahalia, Yacine, and Jialin Yu. High Frequency Market Microstructure Noise Estimates and Liquidity Measures. Cambridge, MA: National Bureau of Economic Research, February 2008. http://dx.doi.org/10.3386/w13825.

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Anderson, Torben, Tim Bollerslev, and Ashish Das. Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment. Cambridge, MA: National Bureau of Economic Research, July 1998. http://dx.doi.org/10.3386/w6666.

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Ait-Sahalia, Yacine, and Per Mykland. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise. Cambridge, MA: National Bureau of Economic Research, April 2003. http://dx.doi.org/10.3386/w9611.

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Dueker, Michael J., and Thomas W. Miller Jr. Market Microstructure Effects on the Direct Measurement of the Early Exercise Premium in Exchange-Listed Options. Federal Reserve Bank of St. Louis, 1996. http://dx.doi.org/10.20955/wp.1996.013.

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Hashimoto, Yuko, Takatoshi Ito, Takaaki Ohnishi, Misako Takayasu, Hideki Takayasu, and Tsutomu Watanabe. Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability. Cambridge, MA: National Bureau of Economic Research, July 2008. http://dx.doi.org/10.3386/w14160.

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Ito, Takatoshi, and Yuko Hashimoto. Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System. Cambridge, MA: National Bureau of Economic Research, October 2004. http://dx.doi.org/10.3386/w10856.

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