Market Microstructure Program

ISCTE / University of Delaware

January 2012

Jay Coughenour, Associate Professor, University of Delaware

Note that many of the pictures above serve as links directly to the source shown.

What is Market Microstructure?

Notes:

Thursday Jan19  9-11am  Market Structure & Liquidity

Monday Jan23  9-11am   Market Fragmentation & Liquidity

Tuesday Jan24  9-11am  Asset Pricing & Liquidity

Assignments:

      Please do prior to trip to NYSE:  NYSE "Quiz"

Readings:

 

SEC 2010 Concept Release on Equity Market Structure  (through middle of pg 21).

Orders & Order Properties, Ch 3, Harris, 2004 (pgs 68-84).

Market Structures, Ch 4, Harris, 2004 (pgs 89-105).

Algorithms take control of Wall Street, Wired Magazine, Jan 2011.

 

 

For Thursday Jan19:

Why did Nasdaq dealers stop avoiding odd-eighth quotes, Christie, Harris, Schultz, 1994.

Dealer versus Auction Markets:  A paired comparison of NYSE and Nasdaq stocks, Huang and Stoll, 1996.

Trade execution costs on the NYSE and Nasdaq: A post-reform comparison, Bessembinder, 1999.

On the Organizational Form of NYSE Specialist Firms, Coughenour and Deli, 2002.

Limited Attention and the Allocation of Effort in Securities Trading, Corwin and Coughenour, 2008.

 

For Monday Jan23:

Third market broker-dealers: Cost competitors or cream skimmers?  Battalio, 1997.

Quote competition and trade execution costs for NYSE-listed securities, Bessembinder, 2003.

Market structure, fragmentation, and market quality, Bennett, Wei, 2006.

Is market fragmentation harming market quality?,  O'Hara and Ye, 2009.

 

 

For Tuesday Jan24:

Commonality in Liquidity, Chordia, Roll, Subrahmanyam, 2000.

Common Market Makers and Commonality in Liqudity, Coughenour and Saad, 2004.

Illiquidity and Stock Returns:  Cross-section and Time-Series Effects, Amihud, 2002.

Liquidity and Expected Stock Returns, Pastor and Stambaugh, 2003.

 

Other readings:

Euronext Rulebook with Glossary, NYSE Euronext.

Some data:

        1. Distributions of Trade Frequency, Trade Size, and Trading Venues  (GPS)

        2. Distributions of Quoted Spreads, Effective Spreads, and Price Impact  (GPS)