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 …

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

We document a transaction level invariance relation among concurrent activity variables in
the S&P 500 futures market: return volatility per transaction is proportional to the inverse of …

Purpose The study examines the relationship between news intensity, media sentiment and
market microstructure invariance-implied measures of trading activity and liquidity of …

Finding a universal market impact formula remains one of the most fascinating puzzles in
finance. This paper reviews two possible approaches for imposing restrictions on this …

We derive invariance relationships in a dynamic, infinite-horizon, equilibrium model of
adverse selection with risk-neutral informed traders, noise traders, market makers, and with …

Physics researchers obtain powerful results by using dimensional analysis to reduce the
dimensionality of problems. Quantitative asset managers often use dimensional analysis …

We revisit the trading invariance hypothesis recently proposed by Kyle, AS and Obizhaeva,
AA ['Market microstructure invariance: Empirical hypotheses.'Econometrica, 2016, 84 (4) …

This paper shows how to map predictions of theoretical models of market microstructure into
operational empirical measures of liquidity. A meta-model implies an empirical measure of …

This paper combines dimensional analysis, leverage neutrality, and a principle of market
microstructure invariance to derive scaling laws expressing transaction costs functions, bid …