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[READ-ONLY] Mirror of https://github.com/just-cameron/microstructure.exchange. A seminar series for market microstructure.
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123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109110111112113114115116117118119120121122123124125126127128129130131132133134135136137138139140141142143144145146147148149150151152153154155156157158159160161162163164165166167168169170171172173174175176177178179180181182183184185186187188189190191192193194195196197198199200201202203204205206207208209210211212213214215216217218219220221222223224225226227228229230231232233234235236237238239240<!doctype html><html lang="en"><head> <meta charset="utf-8"> <meta name="viewport" content="width=device-width, initial-scale=1"> <title>The Microstructure Exchange</title> <meta name="description" content="A virtual academic webinar series for market microstructure research."> <!-- Social preview --> <link rel="canonical" href="https://microstructure.exchange/"> <meta property="og:type" content="website"> <meta property="og:site_name" content="The Microstructure Exchange"> <meta property="og:title" content="The Microstructure Exchange"> <meta property="og:description" content="A virtual academic webinar series for market microstructure research."> <meta property="og:url" content="https://microstructure.exchange/"> <meta property="og:image" content="https://microstructure.exchange/social-preview.png"> <meta property="og:image:type" content="image/png"> <meta property="og:image:width" content="1200"> <meta property="og:image:height" content="630"> <meta property="og:image:alt" content="TME — Microstructure Exchange Webinar Series. Market structure webinars."> <meta name="twitter:card" content="summary_large_image"> <meta name="twitter:title" content="The Microstructure Exchange"> <meta name="twitter:description" content="A virtual academic webinar series for market microstructure research."> <meta name="twitter:image" content="https://microstructure.exchange/social-preview.png"> <meta name="twitter:image:alt" content="TME — Microstructure Exchange Webinar Series. Market structure webinars."> <!-- End social preview --> <link rel="preconnect" href="https://fonts.googleapis.com"> <link rel="preconnect" href="https://fonts.gstatic.com" crossorigin> <link href="https://fonts.googleapis.com/css2?family=Nunito+Sans:wght@300;400;500;600;700;800&display=swap" rel="stylesheet"> <link rel="icon" href="favicon.svg" type="image/svg+xml"> <link rel="stylesheet" href="site.css"></head><body> <header class="topbar"> <nav class="shell nav" aria-label="Primary navigation"> <a class="brand" href="index.html" aria-label="The Microstructure Exchange home"> <svg class="brand-mark" viewBox="0 0 64 64" role="img" aria-hidden="true"> <rect width="64" height="64" rx="10" fill="#2467a6"></rect> <text x="32" y="39" fill="#f7f9fb" font-family="Nunito Sans, Arial, sans-serif" font-size="20" font-weight="800" text-anchor="middle" letter-spacing="1">TME</text> </svg> </a> <div class="navlinks"> <a class="active-nav" href="index.html">Home</a> <a href="season.html">Schedule</a> <a href="submission.html">Call for Papers</a> <a href="about.html">About</a> <a href="award.html">WRDS-TME Prize</a> <a href="resources.html">Resources</a> <a href="past-talks.html">Past Talks</a> </div> </nav> </header>
<main> <section class="hero"> <div class="shell landing-grid"> <div class="landing-heading"> <p class="eyebrow">Virtual webinar series</p> <h1><span class="initial">T</span>he <span class="initial">M</span>icrostructure <span class="initial">E</span>xchange</h1> <p class="lead">A focused academic forum for market structure research, bringing researchers together for one-hour online webinars, paper discussion, and an always-growing archive of talks.</p> </div> <div class="landing-board"> <aside class="hero-panel"> <div class="next-talk-main"> <span class="panel-label">Next webinar</span> <div class="countdown-grid" id="webinarCountdown" aria-live="polite"> <div class="countdown-unit"><strong>--:--:--:--.---</strong><span>until the next webinar</span></div> </div> <p class="panel-text" id="nextTalkDetails"><strong>Farshid Abdi</strong><span class="talk-title">Overnight Corporate Bond Trading</span><span class="season-authors">with Marco Rossi and Botao Wu</span><br>September 15, 2026 at 11:00 a.m. ET.</p> <div class="archive-links hero-actions" id="nextTalkActions"> <a class="pill" href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7198520">paper</a> <a class="pill" href="https://us06web.zoom.us/j/89390179642?pwd=MAx9kM3S03Vx7FqLCwEL2zke6HFgPt.1">Zoom</a> </div> </div> <div class="next-abstract" id="nextTalkAbstract"> <strong>Abstract</strong> <p>Corporate bond trades executed after 6:30 p.m. and before 8:00 a.m. are not publicly disseminated through TRACE until the following morning, creating a recurring interval of delayed post-trade transparency. Using enhanced TRACE data, the paper studies how this temporary opacity affects trading and price discovery in the corporate bond market.</p> </div> </aside> <div class="landing-links"> <a class="landing-card" href="season.html"><strong>Schedule</strong><span>Upcoming 2026-27 webinar dates and confirmed presenters.</span></a> <a class="landing-card" href="TME_schedule_2026-27.ics"><strong>Calendar</strong><span>Download the 2026-27 TME calendar with webinar dates and Zoom link.</span></a> <a class="landing-card" href="https://1db8a3f8.sibforms.com/serve/MUIFAPnhAYixdE4HFqDigjZhIis9UvKWQTapm6L4Jyq9VylkDMqszJEmCn6IUQDu1PDRI9dIqf88NVP0BAYxzY-vnWDANn_0eWCSgJ7p4VFriN1ZUeST_o8HJVPSLQ_YLBqi8cEIftFOsEUAlGGLJWhJ2eDDefnZpbIGfz50AsqEHwU2YYMz8vCP9XT5BHq5a0NkoOaSBJvtIbmr"><strong>Mailing list</strong><span>Receive webinar announcements, calls, and community updates.</span></a> <a class="landing-card" href="submission.html"><strong>Call for papers</strong><span>Submissions are open through December 15, 2026 at 11:59 p.m. EST.</span></a> </div> </div> </div> </section> </main>
<footer> <div class="shell footer-row"> <span>The Microstructure Exchange is maintained by the <a href="about.html">organizers</a>.</span> <a href="mailto:contact@microstructure.exchange">contact@microstructure.exchange</a> </div> </footer><script> const seasonTalks = [{"date":"Tue, Sep 15, 2026","presenter":"Farshid Abdi","title":"Overnight Corporate Bond Trading","authors":"Farshid Abdi; Marco Rossi; Botao Wu","paperUrl":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7198520","recordingUrl":"https://youtu.be/_bTyy_uiMRo","abstract":"Corporate bond trades executed after 6:30 p.m. and before 8:00 a.m. are not publicly disseminated through TRACE until the following morning, creating a recurring interval of delayed post-trade transparency. Using enhanced TRACE data, we study how this temporary opacity affects trading and price discovery in the corporate bond market. Overnight trades are substantially larger than intraday trades and contribute disproportionately to price discovery. Overnight order imbalances predict future returns for both the same bond and other bonds issued by the same firm, indicating that overnight trades contain issuer-level private information. The price impact of overnight trades is significantly stronger and more persistent than that of intraday trades. Overnight activity is also more concentrated among large dealers and associated with higher dealer spreads and worse receiver outcomes. Finally, TRACE dissemination expansions increase overnight trading activity, suggesting that informed traders strategically shift trading toward periods with delayed disclosure.","startIso":"2026-09-15T11:00:00-04:00"},{"date":"Tue, Sep 29, 2026","presenter":"Fayçal Drissi","title":"The Viability of Blockchain Markets under Discrete Clearing and Paid Priority","authors":"Fayçal Drissi; Agostino Capponi; Alvaro Cartea","paperUrl":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5290232","abstract":"This paper develops a model to evaluate the viability of blockchain markets as the sole venue for price formation. Blockchains clear at discrete intervals called block time, and transactions are executed sequentially according to priority fees paid by traders who compete for queue position. We show that these features undermine the viability of markets. Paid-priority ordering induces endogenous selection, where only traders with sufficiently high valuations participate. The participation cutoff rises with competition, which intensifies with lower information costs or higher liquidity demand. This hinders price discovery and biases prices. It also impairs liquidity: the cutoff concentrates trading among aggressive traders and increases adverse selection that liquidity suppliers absorb in a single clearing round. Although longer block times enhance consensus security, they amplify these effects and can cause markets to shut down.","startIso":"2026-09-29T11:00:00-04:00","recordingUrl":"https://youtu.be/4A_1_j0aJKE","slidesUrl":"https://microstructure.exchange/slides/2026-09-29-drissi.pdf"},{"date":"Tue, Oct 13, 2026","presenter":"Luca Galati","title":"Not Dead Yet: Options Trading Floors","authors":"Luca Galati; Terrence Hendershott; Saad Ali Khan; Ryan Riordan","paperUrl":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6850360","abstract":"Over 20% of U.S. options dollar volume trades on physical floors, almost exclusively in S&P 500 index options. We study the COVID-19 closure of the Cboe floor, when Cboe activated SPX complex auctions, to identify the impact of floor trading. The floor attracts complex trades, particularly the largest. Floor trades cost 36% more than comparable electronic trades during the closure, mostly for customers. Smaller trades are more expensive on the floor, while the largest are cheaper. Without the floor, the largest and most complex trades become half as prevalent. The floor facilitates the most difficult trades, but raises the cost of less difficult ones.","startIso":"2026-10-13T11:00:00-04:00","slidesUrl":"https://microstructure.exchange/slides/2026-10-13-galati.pdf","recordingUrl":"https://youtu.be/x6gDZZadtUI"},{"date":"Tue, Oct 27, 2026","presenter":"Vincent Grégoire","title":"Who Wins and Who Loses in Prediction Markets: Evidence from Polymarket","authors":"Vincent Grégoire; Pat Akey; Nicolas Harvie; Charles Martineau","affiliations":"HEC Montréal; ESSEC Business School; University of Toronto; University of Toronto","paperUrl":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6443103","abstract":"We study trading gains and losses on Polymarket, the largest prediction market by trading volume. Using $67 billion in trade volume, we show that the gains are highly concentrated: the top 1% of users with positive PnL capture 76.5% of profits. Successful traders provide liquidity using limit orders that resolve favorably relative to realized outcomes while unsuccessful traders take liquidity using market orders. Monthly performance is modestly persistent, though this may reflect selection rather than skill. Analysis of the trading behavior of the most successful accounts suggests that insider trading is unlikely to explain the performance of the largest winners.","startIso":"2026-10-27T11:00:00-04:00","youtubeUrl":"https://youtu.be/CsmN8EWbIBA"},{"date":"Tue, Nov 10, 2026","presenter":"Thierry Foucault","title":"The Price of Exchange Data","authors":"Thierry Foucault; Vincent Maurin","affiliations":"HEC Paris; HEC Paris","paperUrl":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7072038","abstract":"Exchanges increasingly generate revenues from selling transaction data, in addition to their traditional business of matching traders. Given exchanges' market power on their data, this raises questions about the quality and the pricing of these data, and exchanges' contribution to market transparency. We study the optimal design of an exchange that sells both access to its trading platform and transaction data generated by traders' activity. We show that the introduction of a market for transaction data reduces trading fees and increases volume and welfare. Caps on data fees can increase data quality but lower welfare.","startIso":"2026-11-10T11:00:00-05:00","youtubeUrl":"https://youtu.be/Kq1pDjO13No"},{"date":"Tue, Nov 24, 2026","presenter":"Albert Menkveld","title":"Does News Trading Crowd Out Value Trading? Evidence from a Structural Estimation","authors":"Albert J. Menkveld; Lucas Saru","affiliations":"Vrije Universiteit Amsterdam; Vrije Universiteit Amsterdam","paperUrl":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6306118","abstract":"Technology produces data streams at lower cost, which intensifies news trading. Does this trading on value changes crowd out trading on value levels, i.e., value trading? And, what is the net effect on liquidity and market efficiency? We propose a Kyle (1985)-type model to study these questions, both theoretically and empirically. The latter is possible because closed-form solutions admit structural estimation. Implementing it on a 2013-2023 proprietary sample covering trades in the EURO STOXX 50 Index Futures reveals how liquidity, market efficiency, and the profit of both types of informed trading changed over time, and why.","startIso":"2026-11-24T11:00:00-05:00","youtubeUrl":"https://youtu.be/ItLD1fOLFeI"},{"date":"Tue, Dec 8, 2026","presenter":"Chaojun Wang","title":"Shadow Discounts","authors":"Chaojun Wang; Tomy Lee; Isacco Lotti; Florian Nagler; Giorgio Ottonello","affiliations":"Wharton; Central European University; Bocconi University; Bocconi University; WU Vienna","paperUrl":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7053339","abstract":"Centralized trading platforms should improve competition in OTC markets. Using transaction records from the U.S. corporate bond market and exploiting variation within client-dealer relationships, we find no evidence that clients receive better secondary-market trading terms after adopting a platform. To reconcile this puzzling finding, we present a model in which relationship dealers operate in both primary and secondary markets. A central insight, for which we find strong empirical support, is that dealers respond to clients' improved outside options not by changing secondary-market terms, but by granting larger primary-market allocations. Guided by the model, we estimate that platform adoption is worth 77% of clients' pre-adoption profits from primary-market allocations. Overall, the effects of platforms in OTC markets are more complex than previously thought.","startIso":"2026-12-08T11:00:00-05:00","youtubeUrl":"https://youtu.be/5q3a9wjXNNA"}];
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