A Microstructurist’s View

“Microstructurist” — is that a word? Anyway, my research is in market microstructure, and folks in this area study the provision of liquidity and the formation of prices. A large part of the job is to understand the impact of the underlying institutions — the rules, regulations, infrastructure, and technology. So the advent of blockchain tech and in particular Ethereum has been a big deal for the field: a blockchain allows peer-to-peer trades, cutting out intermediaries, removing frictions such as the t+2 settlement, and offering a pretty high level of transparency. …


In an ideal stock market, all people who want to trade would meet a single location to arrange their trades. In the old days, the trading floors of exchanges such as the NYSE were such a place. Over time, however, people got weary of the NYSE and its outsized influence and asked for competition. They got it: trading of entirely fungible assets today is spread over dozens of locations. But — in today’ digital world, computers should be able to integrate the different markets seamlessly, shouldn’t they? That is the idea behind U.S. regulation “National Market System” (NMS), which established…


South of the 49th is the world’s largest equity market with a staggering abundance of trading opportunities. These options are implicitly and sometimes explicitly available to Canadian traders, in particular for securities that are cross-listed on Canadian and U.S. exchanges. Is that a threat to the Canadian market and marketplace operators? How much do Canadians actually use U.S. markets?

We looked at some high-quality data and found a surprising answer: Canadians use U.S. markets only very rarely.

More specifically, based on a unique data set of all client trades that the six largest Canadian dealers sent to U.S. equity markets…


Equity markets have seen dramatic changes over the past two decades. Gone is not just the foul language but an entire way of life and type of personality. Trading floors have closed, engineers and computer scientists have replaced boisterous human traders, and today, autonomous, algorithmic traders dominate the trading activity. The world of trading probably forebodes the next wave of changes that will come to the banking world in the 2020s. Market microstructure researchers generally agree that digitized and automated trading has lowered trading costs and removed frictions. …


By Andreas Park on ALTCOIN MAGAZINE

Three months ago, Facebook announced the formation of the Libra Association, which would build a new financial infrastructure parallel to the current financial system. A key component is its internal money, the Libra Coin, backed by a basket of world currencies such as the U.S. dollar, Euro, and Sterling. There has been much controversy around this initiative. France and Germany vowed to block it within Europe altogether, and policymakers in many advanced countries worry that the network will become a cesspool of criminal activity. Also, how dare Facebook come up with its own global currency! An ad-revenue driven firm like…


Facebook finally came out with its long-awaited cryptocurrency framework, and there were many surprises. Instead of building a centralized system, they are building a distributed one. Instead of keeping control in perpetuity, they propose to gradually relinquish control. Instead of putting themselves in charge, they established a controlling consortium of entities with very diverse interests.

And, of interest to me, instead of making up a coin from thin air, they base activities on something that’s backed by “a basket of government securities from six major currencies.”

Now, where have we heard that before? Yes, the IMF. In the context of…


The last two years have witnessed an extraordinary development in the financing of early-stage firms. In 2018, over 900 early-stage entities have raised an estimated 21.7 billion U.S. dollars by issuing blockchain-based tokens or coins, while bypassing most of the traditional financial industry.

To understand just how extraordinary this boom in the blockchain-based capital market is, let’s look at the Canadian TSX Venture (TSXV), an established, very successful market for early-stage firms. The 1,400 firms that have listed on this public market have a total market capitalization of 41 billion US dollars — built in over 20 years. In 2018…

Andreas Park

Andreas is an associate professor of finance at the University of Toronto and Research Director at the Rotman School of Managements FinHub

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