This paper develops a structural model of intraday price formation that embodies both public information shocks and microstructure effects. Due to its structural nature, the model's underlying parameters provide summary measures to assess trading costs, the sources of short-run price volatility,...

"In Exchange-Traded Funds and the New Dynamics of Investing, Ananth Madhavan examines the quiet transformation of asset management through the rise of passive or index investing. A closely-related phenomenon is the rise of exchange-traded funds (ETFs). An ETF is an investment vehicle that trades...