https://cgarriott.github.io/tags/microstructure/Recent content in Microstructure on Corey GarriottHugo -- 0.147.2enMon, 01 Sep 2025 00:00:00 +0000https://cgarriott.github.io/papers/paper2/Mon, 01 Sep 2025 00:00:00 +0000https://cgarriott.github.io/papers/paper2/A model of queueing applied to limit-order market data finds depth losses of up to 8% attributable to queueing. Published in the Journal of Financial Markets, 2025.https://cgarriott.github.io/papers/paper7/Sun, 01 Mar 2020 00:00:00 +0000https://cgarriott.github.io/papers/paper7/High-frequency traders in Canadian bond futures mainly act as tiny, fast liquidity buffers for big institutions. Published in the Journal of Empirical Finance, 2020.https://cgarriott.github.io/papers/paper1/Tue, 18 Sep 2018 00:00:00 +0000https://cgarriott.github.io/papers/paper1/This paper estimates the benefits to liquidity of competition among high-frequency traders. Published in the Journal of Financial and Quantitative Analysis, 2018.https://cgarriott.github.io/papers/paper8/Fri, 01 Jun 2018 00:00:00 +0000https://cgarriott.github.io/papers/paper8/The NYSE’s Retail Liquidity Program segmented its retail flow from the main venue. Published in the Journal of Trading, 2018.https://cgarriott.github.io/papers/paper12/Wed, 01 Nov 2017 00:00:00 +0000https://cgarriott.github.io/papers/paper12/How Bank of Canada policy statements move markets.https://cgarriott.github.io/papers/paper16/Wed, 14 Dec 2016 00:00:00 +0000https://cgarriott.github.io/papers/paper16/Effects of the options penny pilot on options liquidity.https://cgarriott.github.io/papers/paper14/Tue, 01 Oct 2013 00:00:00 +0000https://cgarriott.github.io/papers/paper14/The effects of equity market fragmentation in Canada.