Answer by lehalle for What are some currently open problems in market microstructure

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, Mastrolia, Rosenbaum and Touzi. Best auction system to have more informed trading and less noise contr