Related papers: Comparing the market microstructure between two So…
There are non-vanishing price responses across different stocks in correlated financial markets. We further study this issue by performing different averages, which identify active and passive cross-responses. The two average…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
The immense success of ML systems relies heavily on large-scale, high-quality data. The high demand for data has led to many paradigms that involve selling, exchanging, and sharing data, motivating the study of economic processes with data…
We are moving toward a distributed, international, twenty-four hour, electronic stock exchange. The exchange will use the global Internet, or internet technology. This system is a natural application of multicast because there are a large…
This paper investigates the effect of cross-shareholding on stock price synchronicity, as a measure of price informativeness, of the listed firms in the Chinese stock market. We gauge firms' levels of cross-shareholdings in terms of…
In many matching markets, one side "applies" to the other, and these applications are often expensive and time-consuming (e.g. students applying to college). It is tempting to think that making the application process easier should benefit…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
We propose a series of simple models for the microstructure of a double auction market without intermediaries. We specialize to those markets, such interdealer broker markets, which are dominated by professional traders, who trade mainly…
This paper posits the decline in market capitalization following a monopoly breakup serves as a means to gauge how financial markets assess market power. Our research, which employs univariate structural time series models to estimate the…
Auction is applied for trade with various mechanisms. A simple but practical question is which mechanism, typically first-price or second-price auctions, is preferred from the perspective of bidders or sellers. A celebrated answer is…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
Decentralized exchanges are widely used platforms for trading crypto assets. The most common types work with automated market makers (AMM), allowing traders to exchange assets without needing to find matching counterparties. Thereby,…
We study dynamic matching in an infinite-horizon stochastic market. While all agents are potentially compatible with each other, some are hard-to-match and others are easy-to-match. Agents prefer to be matched as soon as possible and…
Financial and gambling markets are ostensibly similar and hence strategies from one could potentially be applied to the other. Financial markets have been extensively studied, resulting in numerous theorems and models, while gambling…
When users access shared resources in a selfish manner, the resulting societal cost and perceived users' cost is often higher than what would result from a centrally coordinated optimal allocation. While several contributions in mechanism…
Exchanges acquire excess processing capacity to accommodate trading activity surges associated with zero-sum high-frequency trader (HFT) "duels." The idle capacity's opportunity cost is an externality of low-latency trading. We build a…
Previous studies of the stock price response to trades focused on the dynamics of single stocks, i.e. they addressed the self-response. We empirically investigate the price response of one stock to the trades of other stocks in a correlated…
This paper studies matching markets in the presence of middlemen. In our framework, a buyer-seller pair may either trade directly or use the services of a middleman; and a middleman may serve multiple buyer-seller pairs. Direct trade…
As numerous machine learning and other algorithms increase in complexity and data requirements, distributed computing becomes necessary to satisfy the growing computational and storage demands, because it enables parallel execution of…
Market Microstructure is the investigation of the process and protocols that govern the exchange of assets with the objective of reducing frictions that can impede the transfer. In financial markets, where there is an abundance of recorded…