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Journal articles on the topic 'Market microstructure'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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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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2

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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3

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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4

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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5

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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6

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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7

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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8

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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9

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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10

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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11

Spulber, Daniel F. "Market Microstructure and Intermediation." Journal of Economic Perspectives 10, no. 3 (1996): 135–52. http://dx.doi.org/10.1257/jep.10.3.135.

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This paper emphasizes the important role played by intermediaries in the economy, including wholesalers, retailers, and financial firms. The paper defines an intermediary as an economic agent that purchases from suppliers for resale to buyers or that helps buyers and sellers meet and transact. Intermediaries coordinate transactions and provide the institutions of exchange that constitute market microstructure. Intermediaries set prices, manage inventories, coordinate exchange, and provide information through guarantees and delegated monitoring. These crucial activities help to explain how mark

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12

O’Hara, Maureen. "High frequency market microstructure." Journal of Financial Economics 116, no. 2 (2015): 257–70. http://dx.doi.org/10.1016/j.jfineco.2015.01.003.

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13

Weaver, Daniel G. "Transparency and market microstructure." Journal of Economics and Business 57, no. 6 (2005): 491–92. http://dx.doi.org/10.1016/j.jeconbus.2005.10.001.

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14

Cao, Longbing, and Yuming Ou. "Market Microstructure Patterns Powering Trading and Surveillance Agents." JUCS - Journal of Universal Computer Science 14, no. (14) (2008): 2288–308. https://doi.org/10.3217/jucs-014-14-2288.

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Market Surveillance plays important mechanism roles in constructing market models. From data analysis perspective, we view it valuable for smart trading in designing legal and profitable trading strategies and smart regulation in maintaining market integrity, transparency and fairness. The existing trading pattern analysis only focuses on interday data which discloses explicit and high-level market dynamics. In the mean time, the existing market surveillance systems available from large exchanges are facing crucial challenges of diversified, dynamic, distributed and cyber-based misuse, mis-dis

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15

LIUBKINA, Olena, and Vitalii IHNATIUK. "TRANSACTION COSTS OF TRADING IN ORGANIZED STOCK MARKETS: STRUCTURE AND IMPLICATIONS FOR MARKET EFFICIENCY." Herald of Khmelnytskyi National University. Economic sciences 320, no. 4 (2023): 60–71. http://dx.doi.org/10.31891/2307-5740-2023-320-4-9.

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The article substantiates the origin of transaction costs of stock trading from the point of view of the microstructure of the stock market. The article is devoted to the problem of improving the efficiency of decision-making in the field of portfolio investment, in particular in terms of reducing the cost of conducting operations. The object is the microstructure of the stock market, which allows to study in detail the process of making transactions with securities. The origin of transaction costs of stock trading was determined from the point of view of the microstructure of the market: as a

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16

Kettler, Paul Carlisle, Aleh L. Yablonski, and Frank Proske. "Market Microstructure and Price Discovery." Journal of Mathematical Finance 03, no. 01 (2013): 1–9. http://dx.doi.org/10.4236/jmf.2013.31001.

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17

Madhavan, Ananth. "Market Microstructure: A Practitioner's Guide." Financial Analysts Journal 58, no. 5 (2002): 28–42. http://dx.doi.org/10.2469/faj.v58.n5.2466.

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18

Kyle, Albert S., and Anna A. Obizhaeva. "Market Microstructure Invariance: Empirical Hypotheses." Econometrica 84, no. 4 (2016): 1345–404. http://dx.doi.org/10.3982/ecta10486.

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19

Muscarella, Chris J., and Michael S. Piwowar. "Market microstructure and securities values:." Journal of Financial Markets 4, no. 3 (2001): 209–29. http://dx.doi.org/10.1016/s1386-4181(00)00022-7.

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20

Lipson, Marc L. "Market microstructure and corporate finance." Journal of Corporate Finance 9, no. 4 (2003): 377–84. http://dx.doi.org/10.1016/s0929-1199(02)00051-2.

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21

Reinganum, Marc R. "Market microstructure and asset pricing." Journal of Financial Economics 28, no. 1-2 (1990): 127–47. http://dx.doi.org/10.1016/0304-405x(90)90050-a.

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22

KRUEGER, MALTE. "Money: A Market Microstructure Approach." Journal of Money, Credit and Banking 44, no. 6 (2012): 1245–58. http://dx.doi.org/10.1111/j.1538-4616.2012.00530.x.

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23

von Wyss, Rico. "Joel Hasbrouck: Empirical Market Microstructure." Financial Markets and Portfolio Management 21, no. 3 (2007): 399–400. http://dx.doi.org/10.1007/s11408-007-0058-2.

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24

Ruan, Xinfeng, and Jin E. Zhang. "Investor attention and market microstructure." Economics Letters 149 (December 2016): 125–30. http://dx.doi.org/10.1016/j.econlet.2016.10.032.

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25

Suherman, Suherman, Susri Mizhar, Andi Putra, Sutiman Sutiman, and Zainal Arifin. "Analisa Komparasi Sifat Fisis dan Mekanis Piston Sepeda Motor dari Empat Pabrikan." Jurnal Pendidikan Vokasi Otomotif 6, no. 2 (2024): 107–14. http://dx.doi.org/10.21831/jpvo.v6i2.72932.

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The piston is an essential component in the internal combustion system. Unfortunately, most piston products on the market are of low quality, which is detrimental to consumers. Most pistons sold in spare parts shops in Medan City have varying prices and different quality. The study compares four manufacturers' chemical composition, microstructure and hardness of the pistons of 4-stroke motorcycles. The four types of pistons were purchased at an automotive component sales shop in Medan city. The pistons were cut by machine and then analyzed for chemical composition, microstructure and hardness.

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26

Xi, Yanhui, Hui Peng, and Yemei Qin. "Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect." Discrete Dynamics in Nature and Society 2016 (2016): 1–15. http://dx.doi.org/10.1155/2016/1580941.

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The basic market microstructure model specifies that the price/return innovation and the volatility innovation are independent Gaussian white noise processes. However, the financial leverage effect has been found to be statistically significant in many financial time series. In this paper, a novel market microstructure model with leverage effects is proposed. The model specification assumed a negative correlation in the errors between the price/return innovation and the volatility innovation. With the new representations, a theoretical explanation of leverage effect is provided. Simulated data

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27

Ms., Ashween Kaur Anand, and Sukhvir Singh Dr. "Foreign Exchange Market Microstructure: A Theoretical Framework." International Journal of Marketing & Financial Management Volume 5, Issue 7, Jul-2017 (2017): pp 47–56. https://doi.org/10.5281/zenodo.834866.

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When we travel abroad to a foreign country, we have to exchange our domestic currency for that of the country we are visiting. For this purpose, we make use of exchange rates. However, exchanging currencies isn’t just for travelers. The price difference is something you can trade. Frequent changes in the value of currencies on account of economic conditions, political news and interest rate changes drive foreign exchange trading and a trader’s profit potential in the currency markets. Just as any market provides a platform to facilitate exchange of a particular good/service between buyers and

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28

Rothschild, David, and Rajiv Sethi. "Trading Strategies and Market Microstructure: Evidence from a Prediction Market." Journal of Prediction Markets 10, no. 1 (2016): 1–29. http://dx.doi.org/10.5750/jpm.v10i1.1179.

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We examine transaction-level data from Intrade's 2012 presidential winner market for the entire two-year period for which trading occurred. The data allow us to compute key statistics, including volume, transactions, aggression, directional exposure, holding duration, margin, and profit for each of 6,300 unique trader accounts. We identify a diverse set of trading strategies that constitute a rich market ecology. These range from arbitrage-based strategies with low and fleeting directional exposure to strategies involving large accumulated positions in one of the two major party candidates. Mo

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29

Esteban Hernández, Jorge. "ACD Modeling High-Frequency FX and Market Microstructure." Econometric Research in Finance 8, no. 2 (2023): 69–91. https://doi.org/10.33119/erfin.2023.8.2.2.

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This paper advances high-frequency foreign exchange (FX) market microstructure analysis by adapting Autoregressive Conditional Duration (ACD) models to study intervals between price updates. By treating these updates as random variables within a point process, the models adeptly capture the dynamic structure of conditional durations and retain key information in high-frequency series. These series display properties critical for understanding market behavior and liquidity dynamics. The findings challenge the belief that increased data frequency reduces microstructural relevance, showing it act

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30

Zolotoy, Leon. "Information and Learning in Markets: The Impact of Market Microstructure." Economic Record 87, no. 277 (2011): 355–56. http://dx.doi.org/10.1111/j.1475-4932.2011.00744.x.

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31

McGroarty, Frank, Owain ap Gwilym, and Steve Thomas. "Market structure and microstructure, in international interest rate futures markets." Research in International Business and Finance 24, no. 3 (2010): 253–66. http://dx.doi.org/10.1016/j.ribaf.2009.12.005.

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32

WONCHANG JANG. "How to Intervene in FX Market : Market Microstructure Approach." Journal of Economic Development 32, no. 1 (2007): 105–28. http://dx.doi.org/10.35866/caujed.2007.32.1.006.

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33

Sell, John W. "Market microstructure and security pricing in the warsaw market." International Advances in Economic Research 9, no. 2 (2003): 101–13. http://dx.doi.org/10.1007/bf02295711.

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34

Wenjuan, Wei. "Study on the Duration of Market Microstructure Theory." International Journal of Business and Management 12, no. 10 (2017): 252. http://dx.doi.org/10.5539/ijbm.v12n10p252.

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This paper starts from the theory of market microstructure, by researching in the development of market microstructure and the theoretical framework, it is found that the proposed duration model is of great significance to market participants. Therefore, based on the theory of market microstructure, this paper summarizes and analyzes the related theories and applications of ACD model.

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35

Yuan, Jianhui, Yu Pan, and Xin Zhang. "Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares." Mathematical Problems in Engineering 2015 (2015): 1–10. http://dx.doi.org/10.1155/2015/371272.

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Liquidity has always been a hot spot for researchers of financial market microstructures. Analysis of liquidity is of great significance for investors and market regulators. Ultrahigh frequency data records the whole dynamic change of the trading process, so it has advantages in depicting the market microstructure. This study analyzes Asian emerging market equities liquidity using ultrahigh frequency data. We used various forms of WACD models and let trading duration be indicators of liquidity. Through the residual test, we were able to select the best model to describe the overall liquidity.

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36

Maaz Javed and Saud Ahmad. "Role of Market Microstructure in Price Convergence: A Meta Analysis." PERENNIAL JOURNAL OF HISTORY 4, no. 1 (2023): 82–95. http://dx.doi.org/10.52700/pjh.v4i1.144.

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This study aims to revisit the assumptions of economic theory that lead to the predictions of competitive equilibrium theory. Extensive work has already been done to answer how well these assumptions of microeconomic theory approximate the real-world market. In this context, two kinds of tools can be found in the literature that tries to answer this question. One is experimental economics (EE) where individuals are involved in a simplified market that mirrors the real-world markets. Human behavior is observed here under an alternating set of rules. The second tool is agent-based Modeling (ABM)

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37

Nadaf, Allauddin Abdulisaq. "A Microstructure Study of Indian Corporate Bond Market: A Review." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 03 (2024): 1–5. http://dx.doi.org/10.55041/ijsrem29390.

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This Review study explores various dimensions of the Indian capital market, encompassing both equity and bond markets. It delves into the influence of equity market factors, macroeconomic variables, and corporate bond market growth on the overall financial landscape. The relationship between equity market returns, equity market volatility (VIX), and the rupee-dollar exchange rate on bond yields. They highlight that increasing volatility in the equity market leads to a higher demand for fixed income securities, subsequently reducing bond returns. The underscores the significance of a robust cor

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38

Wang, Ko, John Erickson, George Gau, and Su Han Chan. "Market Microstructure and Real Estate Returns." Real Estate Economics 23, no. 1 (1995): 85–100. http://dx.doi.org/10.1111/1540-6229.00659.

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39

Hansen, Peter R., and Asger Lunde. "Realized Variance and Market Microstructure Noise." Journal of Business & Economic Statistics 24, no. 2 (2006): 127–61. http://dx.doi.org/10.1198/073500106000000071.

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40

Iori, Giulia. "A close look at market microstructure." Quantitative Finance 3, no. 2 (2003): C23—C25. http://dx.doi.org/10.1088/1469-7688/3/2/702.

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41

Fodra, Pietro, and Huyên Pham. "Semi-Markov Model for Market Microstructure." Applied Mathematical Finance 22, no. 3 (2015): 261–95. http://dx.doi.org/10.1080/1350486x.2015.1037963.

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42

Gangopadhyay, Partha. "Strategic Manipulation and Information Market Microstructure." Australian Economic Papers 43, no. 1 (2004): 75–86. http://dx.doi.org/10.1111/j.1467-8454.2004.00217.x.

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43

Spulber, Daniel F. "Market Microstructure and Incentives to Invest." Journal of Political Economy 110, no. 2 (2002): 352–81. http://dx.doi.org/10.1086/338749.

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44

Bollen, Nicolas P. B., and William G. Christie. "Market microstructure of the Pink Sheets." Journal of Banking & Finance 33, no. 7 (2009): 1326–39. http://dx.doi.org/10.1016/j.jbankfin.2009.02.017.

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45

Spatt, Chester S. "Introduction to the Market Microstructure Symposium." Review of Financial Studies 4, no. 3 (1991): 385–88. http://dx.doi.org/10.1093/rfs/4.3.385.

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46

Huang, Roger D., and Hans R. Stoll. "Market Microstructure and Stock Return Predictions." Review of Financial Studies 7, no. 1 (1994): 179–213. http://dx.doi.org/10.1093/rfs/7.1.179.

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47

Taylor, William M., and Edward E. Williams. "Market Microstructure and Post Keynesian Theory." Journal of Post Keynesian Economics 14, no. 2 (1991): 233–47. http://dx.doi.org/10.1080/01603477.1991.11489895.

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48

Naylor, Michael J., Udomsak Wongchoti, and Hero Ith. "Market Microstructure of Precious Metal ETFs." Journal of Index Investing 5, no. 2 (2014): 48–56. http://dx.doi.org/10.3905/jii.2014.5.2.048.

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49

Amihud, Yakov, Haim Mendelson, and Maurizio Murgia. "Stock market microstructure and return volatility." Journal of Banking & Finance 14, no. 2-3 (1990): 423–40. http://dx.doi.org/10.1016/0378-4266(90)90057-9.

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50

Dong, Yingjie, and Yiu-Kuen Tse. "On estimating market microstructure noise variance." Economics Letters 150 (January 2017): 59–62. http://dx.doi.org/10.1016/j.econlet.2016.11.009.

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