any ideas to have a list of top researchers in microstructure

Maureen O'Hara is the only one, whose work I know well enough...

The list is not complete without Larry Harris and Joel Hasbrouck. And of course my advisor Robert A. Schwartz... Edited link 2009/11/01.

I could do microstructure research for one day, and come out with more and better than the lifetime work of all three mentioned stacked end-to-end.

QuoteOriginally posted by: farmerI could do microstructure research for one day, and come out with more and better than the lifetime work of all three mentioned stacked end-to-end.Why do you say so? Any interesting parts of research in microstructure esp. related to profit and loss of trading book?

it all depends on what you label as "microstructure." Is earnings announcements part of microstructure? Is transactions cost analysis? Is portfolio management?

QuoteOriginally posted by: KackToodlesit all depends on what you label as "microstructure." Is earnings announcements part of microstructure? Is transactions cost analysis? Is portfolio management?supposed in portfolio management and risk management

It seems to be good place to repeat my question. Does anyone of you know any work, which relates return properties with micro-structure, namely the difference between limit orders and market maker setup.... thanks in advance!

QuoteOriginally posted by: hanssIt seems to be good place to repeat my question. Does anyone of you know any work, which relates return properties with micro-structure, namely the difference between limit orders and market maker setup.... thanks in advance! look under game theory professors in econmics departments

QuoteOriginally posted by: JQuoteOriginally posted by: KackToodlesit all depends on what you label as "microstructure." Is earnings announcements part of microstructure? Is transactions cost analysis? Is portfolio management?supposed in portfolio management and risk managementKackToodles:Do you know the answer or not?

QuoteOriginally posted by: J[/I:Do you know the answer or not? try googing bruno bias and his co–authors:http://ideas.repec.org/e/pbi43.html

QuoteOriginally posted by: hanssIt seems to be good place to repeat my question. Does anyone of you know any work, which relates return properties with micro-structure, namely the difference between limit orders and market maker setup.... thanks in advance!The question is wrongheaded. The behavior of traders, and the structure of markets, are effects, not a causes.But I am sure college idiots, lawyers, and politicians, enjoy imagining they have a role using their brilliance to help people, by regulating some sort of change in market structure which will then have a beneficial effect.And so generally the world ends up a stupider place after the economists' self-serving "research" than before. Of course economists who say politicians have a role in regulating carbon emissions or monopolies or some nonsense will get all sorts of positive feedback.All types of microstructure research was used in the legal battle for market dominance between Nasdaq, NYSE, and the ECN's. And it was all nonsense, none of it having been verified through experimentation in the scientific sense. The simpler and dumber it was, the more plausible by larger numbers of people outside the industry, and the more likely to be accepted as valid.

OK,do you know about any scientific paper, which study that?

you could try this a little old and very mathematic paperMERTENS, Jean-Franois, 1996. "The limit-price mechanism," CORE Discussion Papers 1996050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). Published as:Mertens, J. F., 2003. "The limit-price mechanism," Journal of Mathematical Economics, Elsevier, vol. 39(5-6), pages 433-528, July. and newhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=1342799Liquidity Cycles and Make/Take Fees in Electronic Markets Thierry Foucault HEC School of Management, Paris; Centre for Economic Policy Research (CEPR)Ohad Kadan Washington University, St. Louis - John M. Olin School of BusinessEugene Kandel Hebrew University of Jerusalem - Department of Economics; Centre for Economic Policy Research (CEPR)May 2009