This paper provides the first steps towards a theoretical and structural modelling framework through which optimal decision making in financial market infrastructures such as payments clearing and settlement systems can be assessed from a market microstructure perspective. In particular, the...

The transaction-level analysis of security price changes by Madhavan, Richardson, and Roomans (1997, hereafter MRR) is a useful framework for financial analysis. The first-order Markov property of trading indicator variables is a critical assumption in the MRR model, which contradicts the...