Maureen O’Hara defines market microstructure as “[...] the study of the process and outcomes of exchanging assets under explicit trading rules.
While much of economics abstracts from the mechanics of trading, microstructure literature analyzes how specific trading mechanisms affect the price formation process.”[1] The National Bureau of Economic Research has a market microstructure research group that, it says, “is devoted to theoretical, empirical, and experimental research on the economics of securities markets, including the role of information in the price discovery process, the definition, measurement, control, and determinants of liquidity and transactions costs, and their implications for the efficiency, welfare, and regulation of alternative trading mechanisms and market structures.”[2] Microstructure deals with issues of market structure and design, price formation and price discovery, transaction and timing cost, volatility, information and disclosure, liquidity depth, and market participant behavior.
Mercantilism and the later quantity theory of money developed by monetary economists differed in their analysis of price behavior with regard to the stability of output.
A variety of elements affect liquidity, including tick size and function of market makers.
Market information can include price, breadth, spread, reference data, trading volumes, liquidity or risk factors, and counterparty asset tracking, etc.