For five stock market crashes, we compare price declines with predictions from market microstructure invariance. During …

This article presents an overview of research on the Microstructure of Foreign Exchange Markets. We begin by … features are represented in microstructure models of FX trading. Next, we describe the links between microstructure and … provide a microstructure perspective on two recent areas of interest in exchange-rate economics: the behavior of returns on …

We demonstrate how a machine learning algorithm can be applied to predict and explain modern market microstructure … phenomena. We investigate the efficacy of various microstructure measures and show that they continue to provide insights into … price dynamics in current complex markets. Some microstructure features with apparent high explanatory power exhibit low …

, corporate and municipal bonds, and structured credit products. We compare and contrast the microstructure and regulation of … study of fixed-income microstructure, as well as measures of trading costs and the determinants thereof, and the important …

Microstructure shifts impacting Alpha of Hedge Fund Portfolios in the post-Crisis period, the report made specific recommendations … Econometrics for Analyzing Price Impact of Trades, Liquidity, and, Market Microstructure …