Research on Market Microstructure and Asset Pricing

Dear Colleagues,

It is a pleasure to call for papers for the Journal of Risk and Financial Management Special Issue on “Research on Market Microstructure and Asset Pricing”.

The market microstructure is a complex structure comprising a diverse array of investors, each with different investment styles, time frames, and philosophies. This landscape has been dynamically changing in recent years, driven by significant advancements in technology and market structure, including the introduction of alternative trading systems and the modernization of high-frequency trading techniques. These developments have crucial impacts on the behaviours of market participants, the strategies they employ, and the overall efficiency of markets, largely due to the increased competition within financial markets and the transformation in the trading process from traditional trading functions and participants to computer and electronic trading agents.

We welcome the submission of high-quality original research, both theoretical or empirical, or a comprehensive review to enhance our knowledge on how microstructure factors affect asset price dynamics. Suggested areas include, but are not limited to, the following:

• Price formation and price discovery;
• High-frequency trading;
• Intraday trading behaviour;
• Market liquidity/volatility and asset prices;
• Transparency and market efficiency;
• Regulation and market structure;
• Transaction costs and asset price dynamics;
• Microstructure factors in asset pricing;
• Microstructure in cryptocurrency.

Dr. Daniel Chai
Dr. Xin Chen
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

• market microstructure
• asset pricing
• price discovery
• liquidity
• market volatility
• high-frequency data
• transaction costs
• market efficiency
• investment strategies