Markets macrostructure
Markets macrostructure deals with issues of market structure and design, price formation, price discovery, transaction and timing cost, information & disclosure, and investor behavior. The National Bureau of Economic Research (NBER) defines market microstructure as a field of study devoted to theoretical, empirical, and experimental research on the economics of security markets. It is the functional setup of a market functioning under a given set of rules & deals.
Traders in financial markets can be broadly classified as Brokers and Proprietary traders. Brokers arrange trades for their clients and are known by names such as agency traders, commission traders, or commission merchants. Proprietary traders, on the other hand, trade on their accounts. These traders take long or short positions in the markets. A long position involves traders owning the trading instrument, while a short position means traders sell the instrument they do not own. These long and short positions taken by traders can be for different time durations ranging from milliseconds to days and months [Quantinsti].
Maureen O’Hara defines market macrostructure as “[...] the study of the process and outcomes of exchanging assets under explicit trading rules. While much of economics abstracts from the mechanics of trading, microstructure literature analyzes how specific trading mechanisms affect the price formation process” [O'Hara, p.1].
What is market microstructure?. Quantinsti. Retrieved from: https://blog.quantinsti.com/market-microstructure/
O'Hara, Maureen. (1995). Market Microstructure Theory. New Jersey: Blackwell.