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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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12345678910111213141516171819202122232425262728293031323334353637383940414243444546474849505152535455565758596061626364656667686970717273747576777879808182838485868788899091929394<!doctype html><html lang="en"><head> <meta charset="utf-8"> <meta name="viewport" content="width=device-width, initial-scale=1"> <title>Resources | The Microstructure Exchange</title> <meta name="description" content="Resources for market microstructure researchers."> <!-- Social preview --> <link rel="canonical" href="https://microstructure.exchange/resources.html"> <meta property="og:type" content="website"> <meta property="og:site_name" content="The Microstructure Exchange"> <meta property="og:title" content="Resources | The Microstructure Exchange"> <meta property="og:description" content="Resources for market microstructure researchers."> <meta property="og:url" content="https://microstructure.exchange/resources.html"> <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="Resources | The Microstructure Exchange"> <meta name="twitter:description" content="Resources for market microstructure researchers."> <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 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 class="active-nav" href="resources.html">Resources</a> <a href="past-talks.html">Past Talks</a> </div> </nav> </header>
<main> <section class="page-title"> <div class="shell"> <p class="eyebrow">Resources</p> <h1>Useful material for market microstructure researchers.</h1> <p class="lead">Calls, data sources, tools, and references relevant to the TME community.</p> </div> </section> <section class="content-band"> <div class="shell resource-list"> <article class="resource-item"> <h2>Conferences</h2> <ul> <li><a href="https://www.nber.org/conferences/si-2026-financial-market-structure">NBER SI 2026 Financial Market Structure</a>, July 18, 2026, Cambridge, MA. Submission deadline: March 26, 2026.</li> <li><a href="https://pages.stern.nyu.edu/~jhasbrou/SternMicroMtg/SternMicroMtg2026/stern_microstructure_meeting2026.html">2026 NYU Stern Microstructure Conference</a>.</li> </ul> </article> <article class="resource-item"> <h2>Data</h2> <ul> <li><a href="https://wrds-www.wharton.upenn.edu/login/?next=/pages/get-data/nyse-trade-and-quote-trial/nyse-order-book-sample/">Level 2 order book data trials</a> from WRDS. WRDS is inviting faculty to trial the NYSE and ARCA level 2 order book data (TAQ Integrated Feed) and collecting interest in subscribing. To join the subscription wish list or seek additional information, contact <a href="https://wrds-support.wharton.upenn.edu/hc/en-us/requests/new?ticket_form_id=114093978532">WRDS</a>. See also the <a href="https://wrds-www.wharton.upenn.edu/login/?next=/documents/1736/TAQ_Pillar_Products_Client_Specification_v2.3f.pdf">data manual</a>, <a href="https://www.sciencedirect.com/science/article/pii/S1386418120300367?casa_token=ccSQ6pL5bZMAAAAA:3pfY1G2tZj6mj3gzlL73-3VIL8FUKkOklGNlGNBSgxXCkDQOM2BMv_cA6k26mq7LC4P4V23hL_E">Battalio et al. (2021)</a>, and <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4441422">Holden et al. (2023)</a>.</li> <li><a href="https://drive.google.com/file/d/1H8wMvA_59-N5Y_xiDPGTbpBsX5BFwOIV/view">Quote-to-trade ratios</a> from <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3005928"><em>Quoting activity and the cost of capital</em></a> by Ioanid Rosu, Elvira Sojli, and Wing Wah Tham. WRDS data was used in preparing this output.</li> </ul> </article> <article class="resource-item"> <h2>Suggest a resource</h2> <p>If you would like TME to announce a new dataset, tool, call for papers, or other community resource, email <a href="mailto:contact@microstructure.exchange">contact@microstructure.exchange</a>.</p> </article> </div> </section> </main>
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