Abstract
Market microstructure research uses the rules and trading protocols of markets to analyse price formation in asset markets. Microstructure research shows how markets provide liquidity and price discovery, and how prices come to reflect information. Of particular importance to this process is how market participants learn from market data. Microstructure researchers often consider issues related to market structure, in particular how changing features of the market affect the price process. Empirical microstructure research uses high-frequency data-sets, and develops statistical approaches to deal with such data.
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O’Hara, M. (2018). Market Microstructure. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2807
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DOI: https://doi.org/10.1057/978-1-349-95189-5_2807
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