Market microstructure: A survey

Ananth Madhavan · 2000 · Journal of Financial Markets

BeginnerAny horizonSurveyFree to read

Compact survey of price formation, market structure and transparency. The best short paper to start the academic literature.

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At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: Any horizon
Data needed: None to read it; no dataset required Set what data you have
Themes: Microstructure
Assets: Equities
Market: Global

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Cite

@article{madhavan2000market,
  author = {Madhavan, Ananth},
  title = {{Market microstructure: A survey}},
  journal = {Journal of Financial Markets},
  year = {2000},
  doi = {10.1016/s1386-4181(00)00007-0}
}

Madhavan, A. (2000). Market microstructure: A survey. Journal of Financial Markets. https://doi.org/10.1016/s1386-4181(00)00007-0