Computational Market Microstructure Project

Led by Prof. Sheri Markose and Dr. Baki Unal, the Computational Market Microstructure Project leverages sophisticated modeling techniques to reconstruct the Borsa Istanbul (BIST) order book. This project involves rebuilding the granular details of the BIST order book, capturing both depth and dynamics, to provide a comprehensive view of market microstructure. Through extensive data analysis, we calculate key statistics reflecting the order book’s characteristics—such as order flow, liquidity, volatility, and price impact metrics. This statistical foundation enables a deeper understanding of market behaviors and supports the development of advanced trading strategies. Our work lays the groundwork for innovations in algorithmic trading and regulatory insight within emerging markets.