Market microstructure
How orders become prices: spreads, market makers, informed flow, HFT, and why execution costs matter.
| Citation | Paper | Access | Difficulty | Score |
|---|---|---|---|---|
| Kirilenko et al. (2017) | The Flash Crash: High-Frequency Trading in an Electronic Market Journal of Finance | Free | Moderate | 0 |
| O'Hara (2015) | High Frequency Market Microstructure Journal of Financial Economics | Paywalled | Moderate | 0 |
| Budish et al. (2015) | The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response Quarterly Journal of Economics | Free | Moderate | 0 |
| Brogaard et al. (2014) | High-Frequency Trading and Price Discovery Review of Financial Studies | Free | Moderate | 0 |
| Hendershott et al. (2011) | Does Algorithmic Trading Improve Liquidity? Journal of Finance | Paywalled | Moderate | 0 |
| Amihud (2002) | Illiquidity and Stock Returns: Cross-Section and Time-Series Effects Journal of Financial Markets | Paywalled | Moderate | 0 |
| Roll (1984) | A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market Journal of Finance | Paywalled | Moderate | 0 |