We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …

Financial markets display a host of universal “stylized facts” begging for a scientific explanation: Excess volatility … microstructural ABMs would allow one to answer crucial questions, such as those related to market stability. Can large orders …

market. We assess the effectiveness of two specific interventions. These were the "Dollar auctions with minimum price … orderly conditions in the foreign exchange market. For our analysis, we follow the framework implemented by Dominguez (2003 …) and Dominguez (2006), an event study microstructure approach. We use the bid-ask spreads as a measure of liquidity and …