Microstructure in the Machine Age

David Easley, Marcos López de Prado, Maureen O’Hara, and Zhibai Zhang, Big Data: Long-Term Implications for Financial Markets and Firms (The Review of Financial Studies volume 34, issue 7, July 2021, 2021), https://www.nber.org/books-and-chapters/big-data-long-term-implications-financial-markets-and-firms/microstructure-machine-age.