Practical analysis for investment professionals

Market Structure

Where Markets Fail: Markets Are Not Systemic

Markets are usually not systemic. Instead, from the bird’s-eye perspective of "Capitalism," many businesses are "opportunities" in the same way that it feels good to hit yourself in the head with a hammer: It's much better once you stop.

Book Review: Trading and Electronic Markets

Going beyond the traditional fundamentals of trading that are covered in academia, Larry Harris, CFA, explores the motivations and goals of the wide spectrum of traders, including profit-motivated traders, utilitarian traders, and the newest breed of traders — those resulting from the growth of electronic markets. Understanding other market participants’ motives allows traders to determine the most opportune time to trade.

Beyond Flash Boys: Improving Transparency and Fairness in Financial Markets

Are markets rigged in favor of some investors now that dark pools and high-frequency trading (HFT) are ubiquitous? Ronan Ryan of IEX Group says that harnessing technological advances can help ameliorate market fragmentation and improve the functioning of markets for the benefit of the industry as a whole.

Book Review: The Handbook of Market Design

This handbook provides an insightful set of articles on the impact of economics and game theory on the development of structures to solve market design problems. Bringing together the latest research in this growing field, the editors provide a detailed overview on how market mechanisms can be used to solve problems of matching and exchange.

The Financial Economists Roundtable Weighs in on Financial Transaction Taxes

Proposals to tax financial transactions are popular now, and many concerns motivate these proposed taxes. Although many members of the Financial Economists Roundtable recognize and respect these concerns, they believe that governments should be extremely wary of imposing or increasing financial transaction taxes, which can have highly negative consequences with respect to the revenue raised.

IPOs, Regulation, and Exchange Liquidity: Views from Vienna (Video)

In this short video interview, Michael Buhl, shares the perspective of the Vienna Stock Exchange on issues concerning initial public offerings, regulatory developments, dark pools, and high-frequency trading.

The Decline in Stock Listings Is Worse than You Think

The decline in stock listings in the United States has been well documented for some time now, but commentators seem to be missing a larger and potentially more alarming story: Equity listings worldwide, not just in the United States, have dropped precipitously.

Beware the Alpha Sharks! High-Frequency Trading and Its Impact on Markets

High frequency trading is now the norm, and it is not going away. Continuing to pretend that it has no effect on your investments and on your alpha is at best naïve and at worst ignorant.

Book Review: Broken Markets

The authors point out some troubling aspects of the US stock market resulting from its radical transformation over the past 15 years, culminating in the Flash Crash and the unintended consequences of reforms meant to increase market competition. They propose a few very specific rule changes as remedies.

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