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Relevant bibliographies by topics / Market microstructure

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Journal articles
Dissertations / Theses
Books
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Academic literature on the topic 'Market microstructure'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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Journal articles on the topic "Market microstructure"

1

Steeley, Patricia Chelley, and Brian Lucey. "Microstructure of the Irish Stock Market." Multinational Finance Journal 12, no. 3/4 (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 (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 (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 (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 (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 o

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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 (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 (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 (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"

1

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 sh

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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 empiric

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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

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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 participa

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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.<br>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 aggressiv

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Books on the topic "Market microstructure"

1

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

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

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Even, Yaarit. Essays on Market Microstructure. [publisher not identified], 2021.

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Baker, H. Kent, and Halil Kiymaz, eds. Market Microstructure in Emerging and Developed Markets. 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. Universitas Airlangga, 2009.

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Dufrénot, Gilles, Fredj Jawadi, and Waël Louhichi, eds. Market Microstructure and Nonlinear Dynamics. 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. 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. USAID, 2008.

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Çetin, Umut, and Albina Danilova. Dynamic Markov Bridges and Market Microstructure. 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. 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. 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. 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. 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. 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. 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. 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. 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. 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. 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. John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673553.ch9.

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Conference papers on the topic "Market microstructure"

1

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). IEEE, 2024. http://dx.doi.org/10.1109/icbc59979.2024.10634338.

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Rosenberg, Julia, Christoph Bosch, Jutta Klöwer, Georgi Genchev, and John Groth. "Effect of Heat Treatment on Mechanical Properties and Corrosion Resistance of Nickel Alloy UNS N07718 – 140 Ksi and 150 Ksi Grades." In CORROSION 2018. NACE International, 2018. https://doi.org/10.5006/c2018-10650.

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Abstract UNS(1) N07718 is one of the most commonly used alloys in the oil and gas industry. The chemistry of the precipitation hardenable nickel-chromium-iron alloy is characterized by additions of niobium and molybdenum as well as certain amounts of aluminum and titanium, resulting in excellent corrosion resistance in oil and gas applications and high strength properties. Based on the API(2) Standard 6ACRA1 the alloy is available in two grades (min. yield strength 120 ksi and 140 ksi). Due to a strong interest in the market to have a grade with higher strength, the development of a third, 150

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Moroz, Peter J. "Factors Affecting the Wear of Grinding Media During Wet Ore Grinding When the Corrosive Component of Wear Is Small." In CORROSION 1985. NACE International, 1985. https://doi.org/10.5006/c1985-85366.

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Abstract A marked ball wear test (MBWT) was conducted in wet copper ore on a series of quenched, quenched and tempered, and normalized 0.90 C low alloy grinding balls. In the same test, three sets of high chromium white cast iron (WCI) alloys with similar volume fractions carbide, similar hardnesses but different Cr in solution levels (and thus different corrosion characteristics) were also tested. The wear characteristics of these WCI alloys were virtually identical, thus demonstrating that the corrosive contribution to the total wear process was small. When the corrosive component is small r

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Dodd, John, David J. Dunn, Jerry L. Huiatt, and Telfer E. Norman. "Relative Importance of Abrasion and Corrosion in Metal Loss in Ball Milling." In CORROSION 1985. NACE International, 1985. https://doi.org/10.5006/c1985-85367.

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Abstract Corrosion studies in laboratory ball mills and grinding environment simulations produce corrosion rates and total metal removal rates much lower than those recorded in operating production ball mills. The corrosion component of ball metal loss in commercial mills represents less than 10% of the total loss expressed as micrometers/hour of exposure in recent USBM tests. Such small absolute losses are consistent with ball metal loss measured in production ball mill marked ball wear tests to determine effects of corrosion and abrasion resisting properties of alloys in operating mills whic

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Hai, Nathaniel, Daniel A. Hoare, and Seemantini K. Nadkarni. "D-dimers levels influence fibrin microstructure as a marker of clotting defects in hospitalized patients." In Light in Cardiology 2025, edited by Gijs van Soest, Christos Bourantas, and Irina V. Larina. SPIE, 2025. https://doi.org/10.1117/12.3047916.

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Kimura, K., K. Sawada, and H. Kushima. "Long-Term Creep Strength Property of Advanced Ferritic Creep Resistant Steels." In AM-EPRI 2010, edited by D. Gandy, J. Shingledecker, and R. Viswanathan. ASM International, 2010. http://dx.doi.org/10.31399/asm.cp.am-epri-2010p0732.

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Abstract Long-term creep strength property of creep strength enhanced ferritic steels was investigated. Stress dependence of minimum creep rate was divided into two regimes with a boundary condition of macroscopic elastic limit which corresponds to 50% of 0.2% offset yield stress (Half Yield). High rupture ductility was observed in the high stress regime above Half Yield, and it was considered to be caused by relatively easy creep deformation throughout grain interior with the assistance of external stress. Grades T23, T/P92 and T/P122 steels represented marked drop in rupture ductility at hal

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Nice, P. I., and M. Ueda. "The Effect of Microstructure and Chromium Alloying Content to the Corrosion Resistance of Low-Alloy Steel Well Tubing in Seawater Injection Service." In CORROSION 1998. NACE International, 1998. https://doi.org/10.5006/c1998-98003.

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Abstract Failure analysis of corroded well tubing steel grade L-80, removed from three separate seawater injection wells on two of our operated fields has revealed the importance of steel microstructure and alloying chemistry. In the first seawater injection well, marked differences in the severity of the corrosion damage between individual tubing joints could be observed. In the other two seawater injection wells it was observed that one well tubing had suffered severe corrosion damage, whereas the other wells tubing had suffered no corrosion damage. This was despite the fact that these two w

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Jang, J. W., I. Iwasaki, and J. J. Moore. "The Effect of Galvanic Interaction between Martensite and Austenite in Grinding Media Wear." In CORROSION 1988. NACE International, 1988. https://doi.org/10.5006/c1988-88241.

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Abstract Galvanic currents between austenitic and martensitic phases in a microstructure and between pyrrhotite and the two phases were determined directly by measuring galvanic currents and indirectly by using polarization curves under non-abrasive and abrasive conditions in a quartz slurry. A good agreement was found when the corrosion currents measured by electrochemical methods were compared with the corrosion currents estimated from marked ball wear tests. The rates of passive film formation controlled the corrosion currents of the high chromium steel grinding balls in a mill. The passiva

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Thompson, J. J., and V. S. Agarwala. "A Heat Treatment for Reducing Corrosion and Stress Corrosion Cracking Susceptibilities in 7XXX Al Alloys." In CORROSION 1986. NACE International, 1986. https://doi.org/10.5006/c1986-86204.

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Abstract The recently developed retrogression and reaging (RRA) heat treatments have been applied to redress the trade-off between strength and corrosion resistance in 7000 series aluminum alloys. So far they have been applied to thin and small sample sizes with some success. In this study a modified RRA treated material was found to show significant improvement in both the exfoliation and stress corrosion cracking (SCC) resistances, with only a minimal loss in yield strength compared to its T6 temper. Comparative SEM and TEM analyses of their fracture mode were made. A model has been proposed

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Kuhn, Bernd, Fischer, and Torsten. "Fatigue Properties of High-Performance Ferritic (HiperFer) Steels." In AM-EPRI 2024. ASM International, 2024. http://dx.doi.org/10.31399/asm.cp.am-epri-2024p0517.

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Abstract High-performance Ferritic (HiperFer) steels represent a promising materials innovation for next-generation thermal energy conversion systems, particularly in cyclically operating applications like concentrating solar thermal plants and heat storage power plants (Carnot batteries), where current market adoption is hindered by the lack of cost-effective, high-performance materials. HiperFer steels demonstrate superior fatigue resistance, creep strength, and corrosion resistance compared to conventional ferritic-martensitic 9-12 Cr steels and some austenitic stainless steels, making them

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Reports on the topic "Market microstructure"

1

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. National Bureau of Economic Research, 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. National Bureau of Economic Research, 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. National Bureau of Economic Research, 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. National Bureau of Economic Research, 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. National Bureau of Economic Research, 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. National Bureau of Economic Research, 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. National Bureau of Economic Research, 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. National Bureau of Economic Research, 2004. http://dx.doi.org/10.3386/w10856.

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