Using the intuition that financial markets transfer risks in business time,“market
microstructure invariance” is defined as the hypotheses that the distributions of risk transfers …

We document a transaction level invariance relation among concurrent activity variables in
the S&P 500 futures market: return volatility per transaction is proportional to the inverse of …

This paper describes equilibrium interactions between dynamic portfolio rebalancing given
a private end-of-day trading target and dynamic trading on long-lived private information …

Purpose The study examines the relationship between news intensity, media sentiment and
market microstructure invariance-implied measures of trading activity and liquidity of …

Some market crashes occur because of significant imbalances in demand and supply.
Conventional models fail to explain the large magnitudes of price declines. We propose a …

This paper complements the inspiring work on dimensional analysis and market
microstructure by Kyle and Obizhaeva (2017). Following closely these authors, our main …

Recent regulatory and industry initiatives aim to streamline post-trade infrastructures. Does
faster settlement benefit markets? We build a model of intermediated trading with imperfectly …

We examine invariance relationships in tick-by-tick transaction data in the US stock market.
Over the period 1993–2001, monthly regression coefficients of the log of the trade arrival …

Recent regulatory and FinTech initiatives aim to streamline post-trade infrastructures. Does
faster settlement benefit markets? We build a model of intermediated trading with flexible …

Physics researchers obtain powerful results by using dimensional analysis to reduce the
dimensionality of problems. Quantitative asset managers often use dimensional analysis …