Using the intuition that financial markets transfer risks in business time, “market microstructure
invariance” is defined as the hypotheses that the distributions of risk transfers (“bets”) and …

Some market crashes occur because of significant imbalances in demand and supply.
Conventional models fail to explain the large magnitudes of price declines. We propose a unified …

In this paper, we study how the intertemporal supply/demand of a security affects trading
strategy. We develop a general framework for a limit order book market to capture the dynamics …

We examine invariance relationships in tick-by-tick transaction data in the US stock market.
Over the period 1993–2001, monthly regression coefficients of the log of the trade arrival rate …

We describe a symmetric continuous-time model of trading among relatively overconfident,
oligopolistic informed traders with exponential utility. Traders agree to disagree about the …

… Obizhaeva (2016a), who study portfolio transitions with multiple-day durations across
individual stocks, and Kyle and Obizhaeva (… invariance principle of Kyle and Obizhaeva (2016a), …

… We therefore extrapolate to the entire market the parameters Kyle and Obizhaeva (2016)
obtain from a database of more than 400,000 portfolio transition trades in individual stocks. …

… Instead of developing such an equilibrium model, like Kyle and Obizhaeva (2017b), we
identify some generic reduced-form properties that any fully specified model should have. These …

… We prove that two ad hoc empirical conjectures of Kyle and Obizhaeva (2016) hold exactly
in an approximate linear equilibrium. Business time is defined as the bet arrival rate, which …

Using the intuition that financial markets transfer risks in business time, we define “market
microstructure invariance” as the hypothesis that the distribution of risk transfers (“bets”), …