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<!DOCTYPE html PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN" "http://www.w3.org/TR/html4/loose.dtd"> <html><head><script type="text/javascript" src="https://web-static.archive.org/_static/js/bundle-playback.js?v=7YQSqjSh" charset="utf-8"></script> <script type="text/javascript" src="https://web-static.archive.org/_static/js/wombat.js?v=txqj7nKC" charset="utf-8"></script> <script>window.RufflePlayer=window.RufflePlayer||{};window.RufflePlayer.config={"autoplay":"on","unmuteOverlay":"hidden"};</script> <script type="text/javascript" src="https://web-static.archive.org/_static/js/ruffle/ruffle.js"></script> <script type="text/javascript"> __wm.init("https://web.archive.org/web"); __wm.wombat("http://conference.nber.org/confer/2016/MMf16/summary.html","20170723145400","https://web.archive.org/","web","https://web-static.archive.org/_static/", "1500821640"); </script> <link rel="stylesheet" type="text/css" href="https://web-static.archive.org/_static/css/banner-styles.css?v=p7PEIJWi" /> <link rel="stylesheet" type="text/css" href="https://web-static.archive.org/_static/css/iconochive.css?v=3PDvdIFv" />  <title>Market Microstructure</title> <meta http-equiv="Content-Type" content="text/html; charset=utf-8"/> <script type="text/javascript"> var djConfig = { parseOnLoad: true, isDebug: false }; </script> <script type="text/javascript" src="/web/20170723145400js_/http://conference.nber.org/2009_redesign/dojo-1.3/dojo/dojo.js"></script> <link rel="stylesheet" href="/web/20170723145400cs_/http://conference.nber.org/2009_redesign/dojo-1.3/dijit/themes/tundra/tundra.css"> <link rel="stylesheet" href="/web/20170723145400cs_/http://conference.nber.org/2009_redesign/2009.css" type="text/css"> <link rel="image_src" href="https://web.archive.org/web/20170723145400im_/http://www.nber.org/img_2009/NBER_logo_2014.jpg"> <script language="JavaScript" type="text/javascript" src="/web/20170723145400js_/http://conference.nber.org/2009_redesign/top.js"></script>   <script> (function(i,s,o,g,r,a,m){i['GoogleAnalyticsObject']=r;i[r]=i[r]||function(){ (i[r].q=i[r].q||[]).push(arguments)},i[r].l=1*new Date();a=s.createElement(o), m=s.getElementsByTagName(o)[0];a.async=1;a.src=g;m.parentNode.insertBefore(a,m) })(window,document,'script','//web.archive.org/web/20170723145400/http://www.google-analytics.com/analytics.js','ga'); ga('create', 'UA-28569388-1', 'auto'); // Replace with your property ID. // the following was interpolated by NBER::Style.pm ga('send', 'pageview'); </script>  </head> <body> <div id="printTopDiv">NATIONAL BUREAU OF ECONOMIC RESEARCH</div> <div id="topDiv"><a href="/web/20170723145400/http://conference.nber.org/" title="Return to Home Page"> <img border="0" src="/web/20170723145400im_/http://conference.nber.org/img_2009/main_top.jpg" height="95" width="997" alt="NATIONAL BUREAU OF ECONOMIC RESEARCH"> </a></div> <div id="currentDate"></div>  <div id="homeLink"> <a href="/web/20170723145400/http://conference.nber.org/" title="return to home">HOME PAGE</a></div> <div id="searchBoxDiv"> <form action="/web/20170723145400/http://conference.nber.org/s/search" name="googleSearchForm" method="GET"> <input type="hidden" name="client" value="test3_fe"> <input type="hidden" name="proxystylesheet" value="test3_fe"> <input type="hidden" name="site" value="default_collection"> <input type="hidden" name="btnG" value="Search"> <input type="hidden" name="entqr" value="0"> <input type="hidden" name="ud" value="1"> <input type="hidden" name="output" value="xml_no_dtd"> <input type="hidden" name="oe" value="UTF-8"> <input type="hidden" name="ie" value="UTF-8"> <input type="text" name="q" id="mainSearchBoxId" class="yellowInput" value="Search the NBER site" onclick="if (this.value == 'Search the NBER site') {this.value =''; this.style.textAlign = 'left'}"></form></div> <div id="mainNewsDiv"> <table border="0" cellspacing="0" cellpadding="0" id="mainTable"><tr> <td id="mainContentTd" valign="top" style="padding-bottom: 10px;"> <h1 class="title">Market Microstructure</h1> <p> December 2, 2016<br> Tarun Chordia of Emory University, Amit Goyal of University of Lausanne, Joel Hasbrouck of New York University, Research Associate Bruce Lehmann of University of California at San Diego, Gideon Saar of Cornell University, and Avanidhar Subrahmanyam of University of California at Los Angeles, Organizers</p> <div style="width:100%"> <div style="background-color:#E3E4FA;width:50%;float:left;" class="mobile-block-full-width">  <p>Lin William Cong and Xun Xu, University of Chicago<br><br> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/confer//2016/MMf16/Cong_Xu.pdf">Rise of Factor Investing: Asset Prices, Informational Efficiency, and Security Design</a></p> <p><b>Cong</b> and <b>Xu</b> model financial innovations such as exchange-traded funds, smart beta products, and many index-based vehicles as composite securities that facilitate trading common factors in assets' liquidation values. Through accessing a larger basket of assets in endogenously-chosen proportions, they can benefit both informed and liquidity traders. Optimal designs feature selecting liquid and representative assets, and attracts all factor investors regardless of their informedness or liquidity needs. Consistent with empirical findings, introducing composite securities leads to higher price variability and co-movements, larger trading costs and synchronicity, and lower asset-specific but higher factor information in prices, especially for illiquid assets. Transparency of composite security trading, distinction between composite bundles and derivatives, and endogenous information acquisition also significantly affect prices and security design.</p> <hr> <p>Paolo Pasquariello, University of Michigan<br><br> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/confer//2016/MMf16/Pasquariello.pdf">Agency Costs and Strategic Speculation in the U.S. Stock Market</a></p> <p>This study shows theoretically and empirically that a firm's agency problems may affect its stock liquidity. <b>Pasquariello</b> postulates that less uncertainty about suboptimal managerial effort may enhance liquidity provision - by lowering dealers' perceived adverse selection risk from trading with better-informed speculators. Consistent with Pasquariello's theory, he finds that the staggered adoption of anti-takeover provisions across U.S. states in the 1980s and 1990s - a plausibly exogenous shock reducing perceived effort uncertainty by unambiguously facilitating managerial agency - improves the stock liquidity of affected firms relative to peer firms. This evidence suggests that firm-level agency considerations play a nontrivial role for the process of price formation in financial markets.</p> <hr> <p>Jennifer Conrad, University of North Carolina at Chapel Hill, and Sunil Wahal, Arizona State University<br><br> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/confer//2016/MMf16/Conrad_Wahal.pdf">The Term Structure of Liquidity Provision</a></p> <p><b>Conrad</b> and <b>Wahal</b> examine the term structure of liquidity provision in all stocks from 100 milliseconds to 600 seconds after each trade for 2000-2015. At a one second horizon, the aggregate price of liquidity provision, net of losses to information, fell from 17 basis points of total dollar volume in 2000 to 1.5 basis points in 2015. Regulatory changes, technological shocks, and changes in the industrial organization of markets are associated with declines in the price of liquidity provision, and with changes in the term structure. Over the 16-year period, the slope of the term structure is increasingly steep, consistent with intense non-price (i.e. speed) competition. The term structure and profitability of market-making is closely tied to market, rather than idiosyncratic, risk. This is consistent with electronic market makers managing liquidity provision in large well-diversified portfolios of securities.</p> </div>  <div style="background-color:#E3E4FA;width:49%;float:right;" class="mobile-block-full-width">  <p>Andriy Shkilko and Konstantin Sokolov, Wilfrid Laurier University<br><br> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/confer//2016/MMf16/Shkilko_Sokolov.pdf">Every Cloud has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs</a></p> <p>In modern markets, trading firms spend generously to gain a speed advantage over their rivals. The marketplace that results from this rivalry is characterized by speed differentials, whereby some traders are faster than others. Is such a marketplace optimal? To answer this question, <b>Shkilko</b> and <b>Sokolov</b> study a series of exogenous weather-related episodes that temporarily remove speed advantages of the fastest traders by disrupting their microwave networks. During these episodes, adverse selection declines accompanied by improved liquidity and reduced volatility. Liquidity improvement is larger than the decline in adverse selection consistent with the emergence of latent liquidity and enhanced competition among liquidity suppliers. The results are confirmed in an event-study setting, whereby a new business model adopted by one of the technology providers reduces speed differentials among traders, resulting in liquidity improvements.</p> <hr> <p>Haoming Chen, Australian Securities and Investments Commission; Sean Foley, University of Sydney; Michael Goldstein, Babson College; Thomas Ruf, University of New South Wales<br><br> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/confer//2016/MMf16/Chen_Foley_Goldstein_Ruf.pdf">The Value of a Millisecond: Harnessing Information in Fast, Fragmented Markets</a></p> <p><b>Chen</b>, <b>Foley</b>, <b>Goldstein</b>, and <b>Ruf</b> examine the introduction of a speed bump by an existing exchange, which provides certain participants with guaranteed speed advantages. A selective order processing delay for marketable orders on TSX Alpha allows low-latency liquidity providers to avoid adverse selection through their ability to react to activity on other venues. These changes increase profits for liquidity providers on TSX Alpha but negatively impact aggregate liquidity: market-wide costs for liquidity demanders increase, with liquidity suppliers' profits reduced across remaining venues. The researchers' findings have implications for the speed bump debate in the United States, speed differentials more generally, as well as the regulation of market linkages across fragmented trading venues.</p> <hr> <p>Katya Malinova and Andreas Park, University of Toronto<br><br> <a href="https://web.archive.org/web/20170723145400/https://dl.dropboxusercontent.com/u/25299182/Papers/BCT_Nov2016.pdf">Market Design with Blockchain Technology</a></p> <p>Blockchain or, more generally, distributed ledger technology allows to create a decentralized digital ledger of transactions and to share it among a network of computers. In this paper, <b>Malinova</b> and <b>Park</b> argue that the implementation of this technology in financial markets offers investors new options for managing the degree of transparency of their holdings and their trading intentions. They first identify two intrinsic features of a distributed ledger that impact the availability of these new options, namely the mapping between identifiers and end-investors and the degree of transparency of the ledger, and they then examine how the implementation design of these critical features affects investor trading behavior, trading costs, and investor welfare, in a theoretical model of intermediated and peer-to-peer trading. The researchers find that, despite the risk of front-running, the most transparent setting yields the highest investor welfare. In the absence of full transparency, for low levels of liquidity in the intermediated market and low costs for transaction validation, welfare is highest if investors are required to concentrate their holdings under single identifiers.</p> </div>  <br style="clear: both;"/> </div> </div>  </td> <td style="height: 250px; min-height: 250px"> </td> </tr></table> <div id="leftNav"> <img src="https://web.archive.org/web/20170723145400im_/http://www.nber.org/img_2009/nav1_pubs.gif" alt="Publications" onmouseover="this.src='https://web.archive.org/web/20170723145400/http://www.nber.org/img_2009/nav1_pubs_active.gif'" onmouseout="this.src='https://web.archive.org/web/20170723145400/http://www.nber.org/img_2009/nav1_pubs.gif'" onclick="showNav(1,0)"><br> <img src="https://web.archive.org/web/20170723145400im_/http://www.nber.org/img_2009/nav2_activities.gif" alt="Activities" 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href="/web/20170723145400/http://conference.nber.org/programs/he/he.html">Health Economics</a></b></div> <div class="singleHang"><a href="/web/20170723145400/http://conference.nber.org/workinggroups/hf/hf.html">Household Finance</a></div> </td><td style="padding-left: 10px; width: 50%; min-width: 40%"> <div class="singleHang"><b><a href="/web/20170723145400/http://conference.nber.org/programs/io/io.html">Industrial Organization</a></b></div> <div class="singleHang"><a href="/web/20170723145400/http://conference.nber.org/workinggroups/ipe/ipe.html">Innovation Policy</a></div> <div class="singleHang"><a href="/web/20170723145400/http://conference.nber.org/workinggroups/ins/ins.html">Insurance</a></div> <div class="singleHang"><b><a href="/web/20170723145400/http://conference.nber.org/programs/ifm/ifm.html">International Finance and Macroeconomics</a></b></div> <div class="singleHang"><b><a href="/web/20170723145400/http://conference.nber.org/programs/iti/iti.html">International Trade and 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class="singleHang"><b><a href="/web/20170723145400/http://conference.nber.org/programs/pr/pr.html">Productivity, Innovation, and Entrepreneurship</a></b></div> <div class="singleHang"><b><a href="/web/20170723145400/http://conference.nber.org/programs/pe/pe.html">Public Economics</a></b></div> <div class="singleHang"><a href="/web/20170723145400/http://conference.nber.org/workinggroups/ue/ue.html">Urban Economics</a></div> </td></tr></table> <div style="padding-left: 10px;"><h3 style="margin-bottom: 0px">Special Projects:</h3>  <div class="singleHang"><a href="/web/20170723145400/http://conference.nber.org/programs/ag/cahr/cahrhome.html"><i>Center for Aging and Health Research <span class="smallcaps">(CAHR)</span></i></a></div> <div class="singleHang"><a href="/web/20170723145400/http://conference.nber.org/CEME/"><i>Conference on Econometrics and Mathematical Economics <span class="smallcaps">(CEME)</span></i></a></div> <div class="singleHang"><a href="/web/20170723145400/http://conference.nber.org/CRIW/"><i>Conference on Research in Income and Wealth <span class="smallcaps">(CRIW)</span></i></a></div> <div class="singleHang"><a href="/web/20170723145400/http://conference.nber.org/aging/drc/"><i>Disability Research Center<span class="smallcaps"> (DRC)</span></i></a></div> <div class="singleHang"><a href="/web/20170723145400/http://conference.nber.org/programs/ag/rrc/rrchome.html"><i>Retirement Research Center <span class="smallcaps">(RRC)</span></i></a></div> <div class="singleHang"><a href="https://web.archive.org/web/20170723145400/http://www.nber.org/oregon/index.html"><i>The Oregon Health Insurance Experiment</span></i></a></div> <div class="singleHang"><a href="/web/20170723145400/http://conference.nber.org/~sewp/"><i> Science & Engineering Workforce <span class="smallcaps">(SEWP)</span></i></a></div> <div class="bottomRight" onclick="hideNavs(0)">Close</div> </div> <div id="navDiv3_outer" class="navDivOuter" style="height: 480px"></div> <div id="navDiv3_inner" class="navDivInner" style="height: 420px"> <h2 class="withinNav">Meetings</h2> <center class="withinNav"><font size=".5">(by invitation only)</font></center> <h2>Recent Meetings</h2>   <table> <tr><td class="padR10"> July 15</td><td> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/confer/2017/EFGs17/summary.html"> Economic Fluctuations and Growth</a></td></tr> <tr><td class="padR10"> June 30 - July 1</td><td> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/confer/2017/ISOM17/summary.html"> International Seminar on Macroeconomics</a></td></tr> <tr><td class="padR10"> June 29-30</td><td> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/confer/2017/EASE17/summary.html"> East Asian Seminar on Economics </a></td></tr> <tr><td class="padR10"> June 22</td><td> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/confer/2017/TRIO17/summary.html"> 26th NBER-TCER-CEPR Conference</a></td></tr> <tr><td class="padR10"> June 1-3</td><td> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/confer/2017/CAHs17/summary.html"> CEPRA/NBER Conference on Aging and Health</a></td></tr> </table> <div align="right" style="padding-top: 12px; color: #5386A6;"> (<a href="/web/20170723145400/http://conference.nber.org/meeting_summaries.html">...More summaries of NBER Meetings...</a>)</div>  <h2>Other Meeting Links</h2> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/summer-institute/"> NBER Summer Institutes</a><br> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/SI_econometrics_lectures.html"> Summer Institute Econometric Lectures</a><br> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/macroannualconference/MacroAnnualConference.html"> NBER Annual Conference on Macroeconomics</a><br> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/DevelopmentLong-TermAssetMgmt/devlongtermassetmgmt.html"> New Developments in Long-Term Asset Management</a><br> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/Entrepreneurship/entrepreneurship.html"> Entrepreneurship and Economic Growth</a><br> <a href="https://web.archive.org/web/20170723145400/http://www.nber.org/PublicPolicies/publicpolicies.html"> Public Policies in Canada and the United States</a><br> <br> <a href="/web/20170723145400/http://conference.nber.org/callforpapers/callpapers.html">Calls for Papers</a> <div class="bottomRight" onclick="hideNavs(0)">Close</div> </div> <div id="navDiv8_outer" class="navDivOuter" style="height: 260px"></div> <div id="navDiv8_inner" class="navDivInner" style="height: 200px"> <h2 class="withinNav">NBER Videos</h2> <a href="/web/20170723145400/http://conference.nber.org/SI_econometrics_lectures.html">Summer Institute Methods Lectures</a><br> <a 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He is also the Mitsui Professor of Economics at M.I.T. </td></tr></table> <table width="100%"><tr><td> <h2>NBER Researchers</h2> <a href="/web/20170723145400/http://conference.nber.org/programs/program_members.html">Researchers by NBER Program</a><br>  <a href="/web/20170723145400/http://conference.nber.org/vitae.html">Complete List of NBER Researchers</a><br> </td><td> <form action="/web/20170723145400/http://conference.nber.org/s/search" name="peopleSearchForm" method="GET"> <div id="peopleSearchCaption" style="display: none">  <span style="font-size: 6pt;">SEARCH NBER RESEARCHERS</span></div> <input type="hidden" name="whichsearch" value="dbfam"> <input type="hidden" name="client" value="default_frontend"> <input type="hidden" name="proxystylesheet" value="test3_fe"> <input type="hidden" name="site" value="default_collection"> <input type="hidden" name="entqr" value="0"> <input type="hidden" name="ud" value="1"> <input type="hidden" name="output" value="xml_no_dtd"> <input type="hidden" name="oe" value="UTF-8"> <input type="hidden" name="ie" value="UTF-8"> <input type="text" name="q" id="peopleSearchBoxId" size="20" style="text-align: left" class="yellowInput" value="Search NBER researchers" onclick="if (this.value == 'Search NBER researchers') {this.value =''; dojo.byId('peopleSearchCaption').style.display = 'block'}"></form>  </td></tr></table> <table><tr><td width="80"><img src="https://web.archive.org/web/20170723145400im_/http://www.nber.org/img_2009/people_sil.gif" alt="image of people"></td><td> <h2>Other People Links</h2> <a href="/web/20170723145400/http://conference.nber.org/staff.html">Staff</a><br> <a href="/web/20170723145400/http://conference.nber.org/board.html">Board of Directors</a><br> </td></tr></table> <div class="bottomRight" onclick="hideNavs(0)">Close</div> </div></div>  <div id="navDiv6_outer" class="navDivOuter" style="height: 395px"></div> <div id="navDiv6_inner" class="navDivInner" style="height: 335px; background-image: url('/web/20170723145400im_/http://conference.nber.org/images/lobby_new.jpg'); background-repeat: no-repeat; background-position: 0px 40px; "> <h2 class="withinNav">About</h2> <div style="padding-left: 220px; position: relative; top: -10px"> <p><a href="/web/20170723145400/http://conference.nber.org/info.html">About Us</a><br> <a href="/web/20170723145400/http://conference.nber.org/contact/">Contact Information</a><br> <a href="/web/20170723145400/http://conference.nber.org/nberhistory/">Historical Archives</a></p> <p><a href="/web/20170723145400/http://conference.nber.org/programs/">Research Programs</a><br> <a href="/web/20170723145400/http://conference.nber.org/workinggroups/">Working Groups</a><br> <a href="/web/20170723145400/http://conference.nber.org/researchdisclosurepolicy.html">Research Disclosure Policy</a><br> <a href="/web/20170723145400/http://conference.nber.org/jobs/index.html">Employment and Fellowships</a><br>  <a href="/web/20170723145400/http://conference.nber.org/siteguide.html">Sitemap</a><br> <a href="/web/20170723145400/http://conference.nber.org/links/">Links to other Resources</a><br> <a href="/web/20170723145400/http://conference.nber.org/s/search/">Search</a></p> <p>Map/Directions:<br> <a href="https://web.archive.org/web/20170723145400/http://maps.google.com/maps?f=q&source=s_q&hl=en&geocode=&q=NBER&sll=42.373764,-71.105211&sspn=0.00531,0.013175&ie=UTF8&ll=42.374937,-71.111112&spn=0.010621,0.02635&z=15" title="Directions to NBER" target="_new">1050 Massachusetts Ave., Cambridge, MA 02138</a></p> <p>ph: <a href="https://web.archive.org/web/20170723145400/callto:+16178683900" title="dial the NBER">617-868-3900</a><br> email: <a href="https://web.archive.org/web/20170723145400/mailto:info@nber.org" title="email the NBER">info@nber.org</a></p> <div class="bottomRight" onclick="hideNavs(0)">Close</div> </div> <div id="navDiv7_outer" class="navDivOuter" style="height: 260px"></div> <div id="navDiv7_inner" class="navDivInner" style="height: 200px"> <h2 class="withinNav"></h2> <h2></h2>  <br><br><br><br> <div class="bottomRight" onclick="hideNavs(0)">Close</div> </div> </div>  </body> </html>