Market Micro-structure

Not to be confused with [[Market Structure]],

In the supermarket, prices are simply posted and you as a customer decide to take it or leave it. In the financial markets, prices are decided by an auction process.

Micro-structure deals with issues of market structure and design, price formation and price discovery, transaction and timing cost, volatility, information and disclosure, and market maker and investor behavior.

At its essence, micro-structure is what is 'behind' price. It is how the market moves.

Mark-to-Market

The Order-book

market order

limit order

liquidity