RT Journal Article SR Electronic T1 A Practitioner’s Guide to Market Microstructure Invariance JF The Journal of Portfolio Management FD Institutional Investor Journals SP 43 OP 53 DO 10.3905/jpm.2016.43.1.043 VO 43 IS 1 A1 Albert S. Kyle A1 Anna A. Obizhaeva A1 Mark Kritzman YR 2016 UL https://pm-research.com/content/43/1/43.abstract AB The authors present a hypothesis of market microstructure invariance, which follows from the assumption that risk transfer and transaction costs are the same for all stocks when trades are converted to bets, calendar time is converted to business time, and return volatility is converted to dollar volatility. This hypothesis generates simple operational formulas for determining the distribution of bet sizes, trading patterns, and transaction costs as nonlinear functions of volume and volatility.TOPIC: Exchanges/markets/clearinghouses