PT  - JOURNAL ARTICLE
AU  - Albert S. Kyle
AU  - Anna A. Obizhaeva
AU  - Mark Kritzman
TI  - A Practitioner’s Guide to Market Microstructure Invariance
AID  - 10.3905/jpm.2016.43.1.043
DP  - 2016 Oct 31
TA  - The Journal of Portfolio Management
PG  - 43--53
VI  - 43
IP  - 1
4099  - https://pm-research.com/content/43/1/43.short
4100  - https://pm-research.com/content/43/1/43.full
AB  - 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