Cornell University

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CFEM Seminar: Paul Besson (Kepler-Cheuvreux) - Stylized facts of European Market Microstructure

Wednesday, March 28, 2018 at 6:00pm

Cornell Tech, 2 W Loop Rd, New York, NY 10044, Bloomberg 061

Watch the seminar at https://cornell.mediasite.com/Mediasite/Play/e18c1f4324cc41e6a370eb7267d018cc1d .

We will review the main changes in European liquidity over the ten year since MiFID I was implemented and the introduction of market fragmentation in Europe. Specifically, we examine the following topics:

  • European turnover, volumes, spreads, fragmentation on large mid and small caps
  • The main regulatory changes introduced by MiFID II.
  • The drivers of intraday volatility, available sizes in first limits and the bid-ask spread, adding new insight to prior academic results. Here, we also study the relationships and interactions among fragmentation, relative spreads as well as the available sizes on primary exchanges and the other regulated markets.