Market Microstructure Invariance: Empirical Hypotheses

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Universal features of price formation in financial markets: perspectives from deep learning (2018, background): “Empirical evidence on the universality of certain stylized facts (Cont 2001) and scaling relations (Mandelbrot et al. 1997, Benzaquen et al. 2016, Kyle and Obizhaeva 2016, Patzelt and Bouchaud 2017, Toth et al. 2017, Andersen et al. 2018) seems to support the universality hypothesis.”
Intraday Trading Invariance in the E-mini S&P 500 Futures Market (2015, unknown): “…of MMI hypotheses include Kyle and Obizhaeva (2016a), who study portfolio transitions with multiple-day durations across individual stocks, and Kyle and Obizhaeva (2016b), who rationalize the extent of market crashes through large (hidden) selling pressure, showing that the market impact is…”
Fire‐Sale Spillovers and Systemic Risk (2015, unknown): “Quadratic and non-linear costs have also been used and estimated (Heaton and Lucas, 1996; Hasbrouck and Seppi, 2001; Almgren, 2003; Gârleanu and Pedersen, 2013; Kyle and Obizhaeva, 2016).”