Market microstructure
How orders become prices: spreads, market makers, informed flow, HFT, and why execution costs matter.
| Citation | Paper | Access | Difficulty | Score |
|---|---|---|---|---|
| Kirilenko et al. (2017) | The Flash Crash: High-Frequency Trading in an Electronic Market Journal of Finance | Free | Moderate | 0 |
| Budish et al. (2015) | The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response Quarterly Journal of Economics | Free | Moderate | 0 |
| Brogaard et al. (2014) | High-Frequency Trading and Price Discovery Review of Financial Studies | Free | Moderate | 0 |
| Easley et al. (2012) | Flow Toxicity and Liquidity in a High-frequency World Review of Financial Studies | Free | Technical | 0 |