Market microstructure studies the process by which investors’ latent demands are ultimately
translated into prices and volumes. This paper reviews the theoretical, empirical and …

This paper analyzes price formation under two trading mechanisms: a continuous quote‐driven
system where dealers post prices before order submission and an order‐driven system …

… Their email addresses are lettau@berkeley.edu and ananth.madhavan@berkeley.edu. …
of a commodity ETF far too high (Madhavan 2016). Because ETF commodity funds offer …

This paper develops and tests a model of intraday security price movements which incorporates
the effects of both trading volume and unanticipated information. We estimate our model …

This paper examines empirically the magnitude and determinants of dealer trading by NYSE
market makers (specialists) across stocks and over time. Across stocks, specialist dealer …

This article develops and tests a structural model of intraday price formation that embodies
public information shocks and microstructure effects. We use the model to analyze intraday …

It is commonly believed that fragmented security markets have a natural tendency to consolidate.
This article examines this belief, focusing on the effect of disclosing trading information …

This paper examines the behavior of institutional traders. We use unique data on the equity
transactions of 21 institutions of differing investment styles which provide a detailed account …

Opening mechanisms play a crucial role in information aggregation following the overnight
nontrading period. This article examines the process of price discovery at the New York Stock …

Many recommendations for reforming securities markets are predicated on the belief that
providing information on order flow and other market variables to traders (ie, increasingmarket …