Chapter 3: Market Microstructure

Microstructure Noise and Bid-Ask Bounce intermediate

Tick-level predictability often reflects how trades print through the spread, not an exploitable signal about the efficient price.

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References

Making Market Microstructure Matter

(1999)

Continuous Auctions and Insider Trading

Albert S. Kyle (1985) — Econometrica

Measuring the Information Content of Stock Trades

Joel Hasbrouck (1991) — The Journal of Finance

Advances in Financial Machine Learning

Marcos Lopez de Prado (2018) — John Wiley & Sons

Commonality in liquidity

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam (2000) — Journal of Financial Economics

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