TY - JOUR T1 - A Practitioner’s Guide to Market Microstructure Invariance JF - The Journal of Portfolio Management SP - 43 LP - 53 DO - 10.3905/jpm.2016.43.1.043 VL - 43 IS - 1 AU - Albert S. Kyle AU - Anna A. Obizhaeva AU - Mark Kritzman Y1 - 2016/10/31 UR - https://pm-research.com/content/43/1/43.abstract N2 - 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 ER -