Topics - Microstructure

Question 1

Intraday Patterns and Nasdaq Changes

Answer 1

Wood, McInish, and Ord (1985)
Harris (1986)
McInish and Wood (1992)
Chung, Van Ness, and Van Ness (1999, 2001)
Christie and Schultz (1994)
Barclay et al. (1999)

Question 2

Execution Costs and Competition

Answer 2

Arnold et al. (1999)
Huang and Stoll (1996)
Blume and Goldstein (1997)
Bessembinder (2003)
Battalio, Hatch, and Jennings (2004)
O'Hara and Ye (2011)
Comerton-Forde, Gregoire, and Zhong (2018)

Question 3

Algorithmic Trading and HFT

Answer 3

Hendershott, Jones, and Menkveld (2011)
Menkveld (2013)
Brogaard, Hendershott, and Riordan (2014)
Chaboud et al. (2014)
Conrad, Wahal, and Xiang (2015)
Kirilenko et al. (2017)
Brogaard et al. (2018)
Weller (2018)
Boehmer, Li, and Saar (2018)
Benos et al. (2017)
Hasbrouck (2018)
Korajczyk and Murphy (2018)

Question 4

Dark Pools

Answer 4

DeGryse, DeJong, and Van Kervel (2015)
Bloomfield, O'Hara, and Saar (2015)
Comerton-Forde and Putnins (2015)
Garvey, Huang, and Wu (2016)
Foley and Putnins (2016)
Kwan, Masulis, and McInish (2015)
Hatheway, Kwan, and Zheng (2017)
Greese (2017)
Buti, Rindi, and Werner (2017)
Menkveld, Yueshen, and Zhu (2017)
Baruch, Panayides, and Venkataraman (2017)
Comerton-Forde, Malinova, and Park (2018)

Question 5

Make/Take Fees, Market Making, and Trading

Answer 5

Hendershot and Menkveld (2014)
Easley, Hendershott, and Ramadorai (2014)
Malinova and Park (2015)
Battalio, Shkilko, and Van Ness (2016)
Anand, Hua, and McCormick (2016)
Anand and Venkataraman (2016)
Battalio, Corwin, and Jennings (2016)

Question 6

Technology and other Trading/Behavior/Issues

Answer 6

Garvey and Wu (2010)
Chakravarty et al. (2012)
Hasbrouck and Saar (2013)
O'Hara, Yao, and Ye (2014)
Holden and Jacobsen (2014)
Shkilko and Sokolov (2018)

Question 7

Rules, Trading/Quoting, and Information

Answer 7

Cumming, Johan, and Li (2011)
Kwan, Masulis, and McInish (2015)
Egginton, Van Ness, and Van Ness (2016)
Lou and Shu (2017)
Hatheway, Kwan, and Zheng (2017)
Clark-Joseph, Ye, and Zi (2017)

Question 8

Trading, Market Data, and Retail Investors

Answer 8

Easley, O'Hara, and Yang (2016)
Hollifield, Neklyudov, and Spatt (2017)
Caglio and Mayhew (2016)
Pomeranets and Weaver (2018)
Kelley and Tetlock (2017)
Boehmer, Jones, and Zhang (2018)

Question 9

Trading, Behavior, and Measurement

Answer 9

Hameed, Kang, and Viswanathan (2010)
Linnainmaa (2010)
Comerton-Forde et al. (2010)
Goyenko, Holden, and Trzcinka (2009)
Shkilko, Van Ness, Van Ness (2012)

Question 10

Information and Anonymity

Answer 10

Foucault, Moinas, and Theissen (2007)
Anand and Subrahmanyam (2008)
Bessembinder, Panayides, and Venkataraman (2009)
Boulatov and George (2013)
Friederich and Payne (2014)
Gozluklu (2016)

Question 11

Short Sales

Answer 11

Diether, Lee, and Werner (2009)
Christophe, Ferri, and Hsieh (2010)
Edwards and Hanley (2010)
Karpoff and Lou (2010)
Boehmer, Jones, and Zhang (2013)

Question 12

Corporate Bonds

Answer 12

Edwards, Harris, and Piwowar (2007)
Goldstein, Hotchkiss, and Sirri (2007)
Hendershott and Madhaven (2015)
DiMaggio, Kermani, and Song (2017)
Bessembinder, Jacobsen, Maxwell, and Venkataraman (2018)