In this paper, we study how the intertemporal supply/demand of a security affects trading
strategy. We develop a general framework for a limit order book market to capture the dynamics …

Using the intuition that financial markets transfer risks in business time, “market microstructure
invariance” is defined as the hypotheses that the distributions of risk transfers (“bets”) and …

Using the intuition that financial markets transfer risks in business time, we define “market
microstructure invariance” as the hypothesis that the distribution of risk transfers (“bets”), …

We describe a symmetric continuous-time model of trading among relatively overconfident,
oligopolistic informed traders with exponential utility. Traders agree to disagree about the …

We document a transaction level invariance relation among concurrent activity variables in
the S&P 500 futures market: return volatility per transaction is proportional to the inverse of …

Some market crashes occur because of significant imbalances in demand and supply.
Conventional models fail to explain the large magnitudes of price declines. We propose a unified …

For five stock market crashes, we compare price declines with predictions from market
microstructure invariance. During the 1987 crash and the sales by Société Générale in 2008, …

Finding a universal market impact formula remains one of the most fascinating puzzles in
finance. This paper reviews two possible approaches for imposing restrictions on this formula. …

We derive invariance relationships in a dynamic, infinite-horizon, equilibrium model of
adverse selection with risk-neutral informed traders, noise traders, market makers, and with …

We examine invariance relationships in tick-by-tick transaction data in the US stock market.
Over the period 1993–2001, monthly regression coefficients of the log of the trade arrival rate …