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 …

Using a comprehensive set of news stories, we find a stark difference in market responses to
positive and negative price shocks accompanied by new information. When there is a news …

We describe a symmetric continuous-time model of trading among relatively overconfident,
oligopolistic informed traders with exponential utility. Traders agree to disagree about the …

We propose a new market design for a securities exchange that matches 'continuous scaled
limit orders'. This new order type differs from standard limit orders in two ways. First, orders …

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 …

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 …

Finding a universal market impact formula remains one of the most fascinating puzzles in
finance. This paper reviews two possible approaches for imposing restrictions on this …

Odd-lots are trades for less than 100 shares of stock. These trades are missing from the TAQ
data because they are not reported to the consolidated tape. We investigate the systematic …

We study make and take fees on the US stock exchanges, documenting that exchange
trading volume depends on the net fee relative to that of other exchanges. This result implies …

We derive invariance relationships in a dynamic, infinite-horizon, equilibrium model of
adverse selection with risk-neutral informed traders, noise traders, market makers, and with …