Equity Market Microstructure: Taking Stock of What We Know - The Road from Theory to a Real Marketplace is Indeed Bumpy

32 Pages Posted: 4 Mar 2008 Last revised: 2 Oct 2008

See all articles by Reto Francioni

Reto Francioni

Deutsche Börse AG

Sonali Hazarika

Zicklin School of Business, Department of Economics and Finance, Baruch College - The City University of New York

Robert A. Schwartz

Baruch College - CUNY

Martin Reck

Deutsche Börse AG

Abstract

For over three decades, microstructure literature has grown and trading systems around the world have been reengineered into modern electronic platforms. This paper considers these developments, concentrating on microstructure issues that are germane to equity market architecture, and focusing on the design of one trading facility, Deutsche B¿rse's Xetra. Important insights were gained from the microstructure literature during Xetra's planning period (1994-1997), and Xetra's implementation has marked a huge step forward for Germany's equity markets. Nevertheless, academic research and the design of a real world marketplace remain works in progress.

Keywords: microstructure

Suggested Citation

Francioni, Reto and Hazarika, Sonali and Schwartz, Robert A. and Reck, Martin, Equity Market Microstructure: Taking Stock of What We Know - The Road from Theory to a Real Marketplace is Indeed Bumpy. Journal of Portfolio Management, Fall 2008, Available at SSRN: https://ssrn.com/abstract=1029187

Reto Francioni

Deutsche Börse AG ( email )

Neue Börsenstr. 1
60485 Frankfurt/Main, 60485
Germany

Sonali Hazarika

Zicklin School of Business, Department of Economics and Finance, Baruch College - The City University of New York ( email )

17 Lexington Avenue
New York, NY 10010
United States

HOME PAGE: http://https://zicklin.baruch.cuny.edu/faculty-profile/sonali-hazarika/

Robert A. Schwartz (Contact Author)

Baruch College - CUNY ( email )

Zicklin School of Business
17 Lexington Avenue
New York, NY 10010
United States
646-312-3467 (Phone)
646-312-3530 (Fax)

Martin Reck

Deutsche Börse AG ( email )

Neue Börsenstr. 1
60485 Frankfurt/Main, 60485
Germany

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