Using the intuition that financial markets transfer risks in business time, we define “market microstructure invariance” as the hypothesis that the distribution of risk transfers (“bets”), transactions costs, market resiliency, and pricing accuracy are constant across assets when...

We consider an extension of the Roll model where the trade direction, i.e. whether the trade is buyer or seller initiated, is multiplied by the dynamic quoted half-spread. Employing tick-by-tick maximum likelihood estimation on S&P 500 constituents, we find that the efficient price is quite...