Can someone point out where to find up to date market/microstruture research in the options market?

  • $\begingroup$ Hi @user15973! I edited the answer adding some links you could find interesting. If the answer does not fulfill yet, it is better ask @lehalle for. He's more expert than me about the topic surely! $\endgroup$
    – Quantopik
    Commented Apr 28, 2015 at 9:19

1 Answer 1


This answer could be flagged and progressively closed, because of the fact it probably belongs to the basic financial question (please, read the help center, before asking something new).

The most common online research sites are the following:

They are really good websites, since they allow to customize the research by sorting for relevance, date (that's practically what you need for), ...

I suggest you to visit some academic journals as, for instance, the Journal of quantitave finance or others like that (you can find the list just googling on the internet "finance academic journal list".

As regards this quant.SE, look at this question; different users provided a list of books in which you could find something of interest.

Lastly, I suggest you to visit arXiv.org that, IMHO, is one of the best sources for quantitative finance & market microstructure.

  • $\begingroup$ I disagree. Basic or not, I too would love to see references for good papers and surveys on market microstructure in options from specialists in the field. $\endgroup$
    – LazyCat
    Commented Apr 24, 2015 at 16:15
  • $\begingroup$ @LazyCat, I don't decide the forum rules, but the forum works in this way. Anyway, a user can search references by himself, there are a lot of library available on the internet as those I cited above and it is pretty easy to find them . Moreover, the importance of the paper is established by the usefulness of the user, it is subjective according to needs and requirements and, above all, the topic you want to deepen. $\endgroup$
    – Quantopik
    Commented Apr 24, 2015 at 19:18
  • $\begingroup$ The reason why people ask questions on here is to seek other people's opinions or answers. A more experienced person's opinion is very valuable. I have read lots of academic papers, most of which are not very useful. $\endgroup$
    – user15973
    Commented Apr 25, 2015 at 19:20
  • $\begingroup$ I agree with you and @LazyCat. Indeed, I tried to answer to your question and not flagged the answer as off-topic. Anyway, if you need some information more about the answer, let me know. $\endgroup$
    – Quantopik
    Commented Apr 26, 2015 at 11:53

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