Market microstructure: confronting many viewpoints

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Deep Learning Stock Volatility with Google Domestic Trends (2015, background): “Presumably, one could use the market micro-structure instead as the input of the neural network, e.g. bid/ask prices and volume of the first few levels in the order book [22].”
Optimal execution with non-linear transient market impact (2014, background): “…a full automation of exchanges and in part due to the discovery of new statistical regularities of the microstructure of financial markets, the problem of optimal execution is receiving growing attention from the academic and practitioner communities (Abergel et al. 2012, Gatheral and Schied 2013).”