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The study of exchange mechanics, order books, matching algorithms, latency, and liquidity formation.
The study of exchange mechanics, order books, matching algorithms, latency, and liquidity formation.
Market microstructure investigates how underlying exchange order mechanics impact price formation, bid-ask spreads, order queue dynamics, and trade execution costs.
Crucial field for high-frequency trading and optimal execution algorithm design.
Analyzes Limit Order Book (LOB) dynamics and trade flow toxicity (VPIN).