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…
