Market microstructure: A practitioner's guide

Knowledge of market microstructure-how investors' latent or hidden demands are ultimately translated into prices and volumes-has grown explosively in recent years. This literature is of special interest to practitioners because of the rapid transformation of the market environment by technology, regulation, and globalization. Yet,for the most part, the major theoretical insights and empirical results from academic research have not been readily accessible to practitioners. I discuss the practical implications of the literature, with a focus on price formation, market structure, transparency, and applications to other areas of finance.