|1999/19||LEM Working Paper Series|
Market Microstructure: Theory and Empirics
| Calamia A. |
This paper reviews the literature on market microstructure. Particular emphasis is given to the research dealing with the impact that a specific trading mechanism might have on price behaviour and with the comparison of the performance of alternative market structures. Theoretical models and empirical studies investigating their implications are explored. The major statistical properties and reguliarities of microstructural data are discussed.