market-microstructure

In case you missed the news, Jane Street pays well. Last month, we suggested it might pay each of its 3,500 people $2.3m each. 💥Follow us on WhatsApp for news alerts. 💥 It turns out we were wrong. Late Friday, shortly before the UK bank holiday, Bloomberg reported that Jane Street actually paid its people $2.7m each for 2025. That's not bad given that most of them don't even know what their i…

This bibliometric study focuses on the changing nature of factors affecting the stock market volatility between the year 1995-2025. Using a data source of 89 reviewed research articles in Scopus and analyzed using VOSviewer through visualizations. The analysis also reveals the main clusters of influence, which include the macroeconomic indicators, political stability, and oil-price shocks, as wel…

Rayner and Burnham are trying to gain markets’ confidence amid concerns they could loosen fiscal rules if they replace Starmer Who calls the shots on the bin collections in Sunderland, potholes in Hackney, or schools in Cardiff is not normally of interest to City traders in the multitrillion-pound sovereign bond market. But for those dealing in UK government debt, Thursday’s local and devolved go…

Retail participation in listed derivatives has become one of the most closely watched structural shifts in the market, and according to the latest Crisil Coalition Greenwich and FIA 2026 Derivatives Market Structure […]

A comprehensive interactive guide to financial data classification, architecture, and lifecycle management. Understanding the DNA of modern capital markets through Product Masters, Entity hierarchies, transaction lifecycles, and the three books of record. 📊 Deep Research Topics: quantitative finance, investment analysis, financial education, financial research, market analysis

The growing dominance of passive investing has fundamentally altered the dynamics of equity markets. A substantial share of trading volume is now driven by index-tracking strategies, which mechanically allocate capital based on index membership rather than company-specific fundamentals. This raises an important question: can predictable flows associated with index rebalancing be systematically ex…

Every crypto market exists in one of three states: trending up, trending down, or going nowhere. The difference between a profitable strategy and a losing one often comes down to knowing which state you're in right now . Crypto market regime detection is the process of classifying the current market environment into discrete states — bull, bear, or chop — using multiple data sources rather than a…

This paper describes and characterizes the relationship between social media and financial markets, focusing on two key questions: (1) Do users of financial social media perform better than guessing at predicting stock movements? (2) When do users in the aggregate perform better than guessing at the same task? To study these questions, we introduce the first publicly available, comprehensive data…

OpenQuant Newsletter - Edition #166 Quant News, Jobs & Internships, Upcoming Events, Puzzles and More! Hello, fellow Quants! Welcome to the OpenQuant newsletter - a publication dedicated to democratizing quantitative finance by sharing the latest news, jobs & internships, educational opportunities, and upcoming events in the industry. Here’s what we have in this week’s edition: Quant News - catch…

By Norwegian Seafood Council (NSC) The Norwegian Seafood Council’s latest consumer trends report outlines the key drivers shaping China’s growing appetite for seafood. The annual seafood consumer trends report from the Norwegian Seafood Council (NSC) has this year shifted its focus to the Chinese market. With a deep dive into this global superpower, Seafood Trends […]

Data, Competition, and Digital Platforms Bergemann, Dirk; Bonatti, Alessandro A monopolist platform uses data to match heterogeneous consumers with multiproduct sellers. The consumers can purchase the products on the platform or search off the platform. The platform sells targeted ads to sellers that recommend their products to consumers and reveals information to consumers about their match valu…

On April 15, a federal jury found that Live Nation Entertainment and Ticketmaster operated as an illegal monopoly, overcharging fans and shutting out competition. After years of complaints and lawsuits, as well as the fallout from the 2022 Taylor Swift Eras Tour ticket sale controversy, the states took the case to trial and won. So […]

We've noted in the past that IMC 's annual trading tournament, Prosperity, can propel you into a major trading internship. Top performers in previous years have gone on to receive internship offers from the likes of Jane Street and Susquehanna. The current standout performer this year's space-themed event doesn't need the help, it seems. 💥Follow us on WhatsApp for news alerts. 💥 In qualifying…

This video explores the conflicting paradigms of dollar hegemony and de-dollarization — pitting the Dollar Milkshake Theory against Triffin's Dilemma to assess the structural future of the world's reserve currency. 🎥 Video Tutorial 🎥 Watch Video: https://youtu.be/r0XnUYdpGWg Topics: quantitative finance, investment analysis, financial education, financial education video, trading tutorial

I've been reading up on market microstructure models and toyed around with them -- i.e., I got simulations for Roll (1984), Glosten-Milgrom (1985), Kyle (1985), Kyle (1985) with multiple periods. I am wondering, though, what are some current problems in the field?

They are a lot of open problems in market microstructure. To have an idea of the whole landscape, have a look at Market Microstructure in Practice, 2nd Edition , by L and Laruelle. I would split them in From the viewpoint of exchanges Optimal fee schedules to "attract" liquidity (and hence efficient market makers), have a look at Optimal make-take fees for market making regulation , by El Euch, M…

This article shows that exchange-traded funds (ETFs) “sample” their indexes, systematically underweighting or omitting illiquid index stocks. As a result, arbitrage activity between the ETF and its index has heterogeneous effects on underlying asset markets. Using an instrumental variables approach, we find that the trading activity of ETFs reduces liquidity and price efficiency and increases vol…

Using high-frequency disagreement data from the investor social network StockTwits, we find that greater unsophisticated disagreement facilitates informed buying and selling. During periods of overvaluation, the facilitating effect of disagreement on trading is dampened for informed buyers but is amplified for informed sellers. These findings are unexplained by sentiment, news, and retail order f…

OpenQuant Newsletter - Edition #165 Quant News, Jobs & Internships, Upcoming Events, Puzzles and More! Hello, fellow Quants! Welcome to the OpenQuant newsletter - a publication dedicated to democratizing quantitative finance by sharing the latest news, jobs & internships, educational opportunities, and upcoming events in the industry. Here’s what we have in this week’s edition: Quant News - catch…

Markets eye tariff deadline, and liquidity shifts for H2.   Equities traders in 2026 are navigating highly volatile, fast-moving markets shaped by rapid price swings and the growing influence of […]