Dimensional Analysis and Market Microstructure Invariance

REITs and Market Microstructure: A Comprehensive Analysis of Market Quality

This study analyzes the market quality differences, in terms of liquidity and volatility, between Real Estate Investment Trusts (REITs) and non-REIT common stocks. The 2008 financial crisis has significantly influenced the market quality for REITs. Our findings reveal intraday patterns indicating a lower liquidity, higher volatility, and greater price impact for REITs than nonREITs for pre-cris...

Normative Approach to Market Microstructure Analysis

Market Microstructure

• Amihud, Mendelson and Murgia (1990) studied the impact of the stock market microstructure on return volatility and on the value discovery process in the Milan Stock Exchange; the primary trading mechanism employed by this exchange is a call market, which is usually preceded and followed by trading in a continuous market. They found that the opening transaction in the continuous market had the...

Market Microstructure and Price Discovery

The design of this study is to investigate the evolution of a stochastic price process consequent to discrete processes of bids and offers in a market microstructure setting. Under a set of flexible assumptions about agent preferences, we generate a price process to compare with observation. Specifically, we allow for both rational and irrational economic behavior, abstracting the inquiry from ...

Realtime market microstructure analysis: online Transaction Cost Analysis

Real-time market microstructure analysis: online transaction cost analysis R. Azencott, A. Beri, Y. Gadhyan, N. Joseph, C.-A. Lehalle & M. Rowley a Department of Mathematics, University of Houston, Houton, TX, USA b Ecole Normale Supérieure Cachan, Cachan, France c Mathematical Biosciences Institute, The Ohio State University, Columbus, OH, USA d Cluster Innovation Center, University of Delhi, ...