When should a capital markets regulator introduce competition and restrictions into business segments? This paper examines a possible basis to aid such decision making in the regulation of stock exchanges that deal with equities and linked derivatives. Market microstructure invariance hypotheses...

The complex pattern of the dependence that exists between liquidity, durations and spread in a limit order market is examined. These relationships evolve during the trading day and can change on an hourly basis. Using intraday data for a NASDAQ 100 stock we confirm that limit orders, placed in...

Information aggregation in high frequency continuous auctions is investigated. It is proposed that information resides within the price formation mechanism in these markets. The public signal of the asset price is seen to be a part of the price system. Information aggregates into the public...

Ultra High Frequency (UHF) quotes and trades are examined in high resolution. Patterns which do not correspond to plausible market activity as in Brownlees and Gallo (2006) are observed. Noise other than microstructure noise is identified and diagnostic methods are evaluated. Extending...

High resolution Ultra High Frequency (UHF) quotes and trades are examined to detect patterns which do not correspond to plausible market activity as in Brownlees and Gallo (2006). Non-microstructure noise is identified as a process. Methods of treatment are evaluated. A resultant paradigm of...

India has several price indices including the Consumer Price Indices and the Wholesale Price Index. Changes in WPI is taken as the headline inflation by the Central bank for policy administration. The policy makers and government also look at the CPI at several aggregate levels to aid policy...

The tatonnement process in high frequency order driven markets is modeled as a search by buyers for sellers and vice-versa. We propose a total order book model, comprising limit orders and latent orders, in the absence of a market maker. A zero intelligence approach of agents is employed using a...

This paper examines the strengths, opportunities, and challenges presented by the Buy Now Pay Later (BNPL) product/service from the perspective of the consumer, service providers, investors, and regulators. We present a microeconomic model of BNPL consumers and firms. The model and simulation to...

The pattern of dependence between liquidity, durations (orders and trades) and bid-ask spreads in a limit order market are examined in high resolution invoking copulas and graph theory. Using intraday data from a sample of NASDAQ 100 stocks and an experimental design, we study the information...

This paper provides a practical, empirical and theoretical framework that allows investment managers to evaluate stock exchanges’ market quality when choosing amongdifferent plausible international trading venues. To compare trading exchanges, it extends the hypothesis of market microstructure...