@article {Kyle43, author = {Albert S. Kyle and Anna A. Obizhaeva and Mark Kritzman}, title = {A Practitioner{\textquoteright}s Guide to Market Microstructure Invariance}, volume = {43}, number = {1}, pages = {43--53}, year = {2016}, doi = {10.3905/jpm.2016.43.1.043}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The authors present a hypothesis of market microstructure invariance, which follows from the assumption that risk transfer and transaction costs are the same for all stocks when trades are converted to bets, calendar time is converted to business time, and return volatility is converted to dollar volatility. This hypothesis generates simple operational formulas for determining the distribution of bet sizes, trading patterns, and transaction costs as nonlinear functions of volume and volatility.TOPIC: Exchanges/markets/clearinghouses}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/43/1/43}, eprint = {https://jpm.pm-research.com/content/43/1/43.full.pdf}, journal = {The Journal of Portfolio Management} }