NBER Summer Institute Conference on Financial Market Structure

July 18, 2026 - Cambridge, MA

The advent of big data and AI has not only introduced new players into financial markets, such as high-frequency and algorithmic traders, but also reshaped the business models of established participants, including stock exchanges. As the data environment has become increasingly vast and practitioners’ analyses more computerized, the information extracted and used by market participants has grown more varied and diverse. These developments also present challenges for regulators in determining how best to oversee computerized markets. Building on the original Markets in Financial Instruments Directive (MiFID) as a foundational framework, the European Union continues to actively review and update MiFID II. Similarly, the U.S. market is pursuing updates to the Regulation National Market System (Reg NMS), moving toward Reg NMS II.

To advance empirical and theoretical understanding of price formation and market structure in the era of big data, the National Bureau of Economic Research (NBER), with the generous support of Elsevier and the Journal of Financial Markets, will convene a research conference on Financial Market Structure in Cambridge, MA on Saturday, July 18, 2026, at the NBER Summer Institute. The meeting will be organized by Tarun Chordia (Emory), Paolo Pasquariello (Michigan), Gideon Saar (Cornell), and Mao Ye (Cornell).

Research themes for presentations include, but are not limited to, theoretical, empirical, and experimental analyses on:

  • Trading in the Big Data Era: The impact of high-frequency and algorithmic trading on liquidity and volatility.
  • Exchanges and Other Trading Venues: How trading platforms compete in computerized markets relative to traditional markets.
  • Price Formation: The role of market structure frictions and data availability in shaping price formation, information diffusion, and trading strategies.
  • Regulation and Policy Design: empirical analysis or theoretical predictions on the impact of MiFID II, Reg NMS II, and other proposed or implemented policy changes
  • Interaction between Market Structure, Asset Pricing, and Corporate Finance: the impact of market structure frictions on return and cost of capital, and the role of liquidity and learning in corporate decisions. 

Researchers should submit papers they would like considered for presentation by 11:59 pm (EST) on March 26, 2026. Papers from researchers with and without NBER affiliations and from early career scholars are welcome. The program will be announced in early May.  It will feature six research papers and assigned discussants.  The conference proceedings will be live streamed on the NBER YouTube channel. 

The NBER has a zero-tolerance policy for any form of discrimination or harassment at both in-person and virtual meetings. All invitees will be required to agree and comply with the NBER Conference Code of Conduct: https://www.nber.org/conferences/conference-code-conduct 

Please direct questions about the subject matter of the conference to the organizers, Tarun Chordia (Tarun.Chordia@emory.edu), Paolo Pasquariello (ppasquar@umich.edu), Gideon Saar (gs25@cornell.edu), and Mao Ye (my87@cornell.edu), and questions about conference logistics to Rob Shannon at the NBER (rshannon@nber.org).