Talk:Market microstructure

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Dr. Pellizzari's comment on this article
Dr. Pellizzari has reviewed this Wikipedia page, and provided us with the following comments to improve its quality:

"- the sentence "The major thrust of market microstructure research examines the ways in which the working processes of a market affects determinants of transaction costs, prices, quotes, volume, and trading behavior." may be replaced by "Market microstructure research examines "the rules that regulate trading and the trading procedures. The market structure indicates who can access the trading venue, which instruments can be traded, the location of the trading sessions and the order routing systems. The market structure also spells out the rules governing the access of market participants to public and private information and so affects the degree of pre- and post-trade transparency decisively" taken from section 1.1 page 7 of the book "The microstructure of financial markets" by B. DeLong and B. Rindi, CUP, 2009.

This would provide an additional definition in the intro and another good reference.

- the section "Market structure and design" has no references. - why do you have a list of sections beginning with "this factor" (and no references)? The treatment is not well-structured and good introductory references may be (http://www.sciencedirect.com/science/article/pii/S1386418104000382) This paper, available at https://www0.gsb.columbia.edu/mygsb/faculty/research/pubfiles/1536/1536.pdf, also reports that "Mark Garman (1976) quite aptly coined the phrase “market microstructure” as the title of an article about market making and inventory costs"
 * Bruno Biais, Larry Glosten, Chester Spatt, Market microstructure: A survey of microfoundations, empirical results, and policy implications, Journal of Financial Markets, Volume 8, Issue 2, May 2005, Pages 217-264, ISSN 1386-4181, http://dx.doi.org/10.1016/j.finmar.2004.11.001.

- see also doi:10.1016/S1386-4181(00)00007-0 and doi:10.1016/S1574-0102(03)01013-6 of the Handbook of the Economics of Finance, Volume 1, Part A, 2003, Pages 553–604"

We hope Wikipedians on this talk page can take advantage of these comments and improve the quality of the article accordingly.

We believe Dr. Pellizzari has expertise on the topic of this article, since he has published relevant scholarly research:


 * Reference : Marco LiCalzi & Paolo Pellizzari, 2007. "Which market protocols facilitate fair trading?," Working Papers 151, Department of Applied Mathematics, Universita Ca' Foscari Venezia.

ExpertIdeasBot (talk) 19:17, 26 July 2016 (UTC)

Dr. Vitale's comment on this article
Dr. Vitale has reviewed this Wikipedia page, and provided us with the following comments to improve its quality:

"I like the preamble. Perhaps links should be added to explain concepts such as liquidity, transaction costs, efficiency and so forth. I would also clarify that differently from the standard supply and demand mechanisms presented in microeconomics textbooks market microstructure theory suggests that trading rules affect the price formation process.

I would possibly streamline the references list. Th contributions by O'Hara, Harris, Madhavan, Foucalt et al, and Hasbrouck would possibly suffix."

We hope Wikipedians on this talk page can take advantage of these comments and improve the quality of the article accordingly.

We believe Dr. Vitale has expertise on the topic of this article, since he has published relevant scholarly research:


 * Reference 1: Vitale, Paolo, 2006. "A Critical Appraisal of Recent Developments in the Analysis of Foreign Exchange Intervention," CEPR Discussion Papers 5729, C.E.P.R. Discussion Papers.


 * Reference 2: Vitale, Paolo, 2004. "A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination," CEPR Discussion Papers 4530, C.E.P.R. Discussion Papers.

ExpertIdeasBot (talk) 20:26, 24 September 2016 (UTC)

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