This paper provides a practical, empirical and theoretical framework that allows investment managers to evaluate stock exchanges’ market quality when choosing amongdifferent plausible international trading venues. To compare trading exchanges, it extends the hypothesis of market microstructure...

High resolution Ultra High Frequency (UHF) quotes and trades are examined to detect patterns which do not correspond to plausible market activity as in Brownlees and Gallo (2006). Non-microstructure noise is identified as a process. Methods of treatment are evaluated. A resultant paradigm of...

Ultra High Frequency (UHF) quotes and trades are examined in high resolution. Patterns which do not correspond to plausible market activity as in Brownlees and Gallo (2006) are observed. Noise other than microstructure noise is identified and diagnostic methods are evaluated. Extending...

When should a capital markets regulator introduce competition and restrictions into business segments? This paper examines a possible basis to aid such decision making in the regulation of stock exchanges that deal with equities and linked derivatives. Market microstructure invariance hypotheses...

The complex pattern of the dependence that exists between liquidity, durations and spread in a limit order market is examined. These relationships evolve during the trading day and can change on an hourly basis. Using intraday data for a NASDAQ 100 stock we confirm that limit orders, placed in...

The pattern of dependence between liquidity, durations (orders and trades) and bid-ask spreads in a limit order market are examined in high resolution invoking copulas and graph theory. Using intraday data from a sample of NASDAQ 100 stocks and an experimental design, we study the information...