Futures trading costs and market microstructure invariance: Identifying bet activity
利用期货交易数据，将经纪公司代客交易量作为赌注量、期货波动率中与交易相关的部分作为赌注波动率，验证了市场微观结构不变性对买卖价差的预测，且高频交易的中介作用不干扰该关系。
Abstract Market microstructure invariance (MMI) stipulates that trading costs of financial assets are driven by the volume and volatility of bets, but these variables are inherently difficult to identify. With futures transactions data, we estimate bet volume as the trading volume of brokerage firms that trade on behalf of their clients and bet volatility as the trade‐related component of futures volatility. We find that the futures bid–ask spread lines up with bet volume and bet volatility as predicted by MMI, and that intermediation by high‐frequency traders does not interfere with the MMI relation.