The hypothesis of “market microstructure invariance” — based on the intuition that the size and costs of transferring risk in “business time” is constant across assets and time — is tested using a database of 400,000 portfolio transition trades. Defining trading activity W as the...

Using the intuition that financial markets transfer risks in "business time," we define "market microstructure invariance" as the hypothesis that the size distribution and transaction costs of risk transfers ("bets") are constant across assets and time. Defining trading activity W as the product...

This study exploits a unique dataset to determine the relative contribution to price discovery of order flow originating from geographically dispersed ASX servers. It is found that the transactions of traders on the Sydney, Chicago and London servers have a significant impact on price...

We show that the Truncated Realized Variance (TRV) of a semimartingale asset price converges to zero when observations are contaminated by microstructure noises. Under the additive iid noise assumption, a central limit theorem is also proved. In consequence it is possible to construct a feasible...

Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...

Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...

The liquidity of an asset in modern financial markets is a key and, yet, elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction....