We study the relation between limit order flow, market order flow and returns. We develop a model where market-makers face inventory risk and adverse selection and show how prices depend on market and limit order flows. In the model, market-makers receive information through trade with customers...

Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure...

The current report resulted from an engagement with a Goldman Sachs alumnus Hedge Fund with $400 Billion-$500 Billion AUM at the time of the engagement. Given the overriding roles of Liquidity and Volatility in the structural Market Microstructure shifts impacting Alpha of Hedge Fund Portfolios...