New Market Microstructure group meets.

• Position: Market Microstructure Research Group discusses the securities industry

On July 17th, the NBER's newly launched Market Microstructure Research Group, organized by Andrew Lo of MIT and NBER, held its first meeting in Cambridge. The seeds of this new research group were planted three years ago at the NBER's Conference on the Industrial Organization and Regulation of the Securities Industry which engaged economists, legal scholars, regulators, and professionals from the securities industry in lively debate and discussion. This conference confirmed a strong and growing interest in economic, legal, and policy issues surrounding the securities industry, and Lo formed the group to pursue this interest.

The meeting included six papers and a luncheon speaker, Commissioner Steven Wallman of the U.S. Securities and Exchange Commission (SEC). Commissioner Wallman described some of the inner workings of the SEC, including some of the recent SEC rule changes that affect stock market price increments, and he exhorted economists to take a more active role in shaping the SEC's rulemaking activities. In particular, he encouraged economists to respond to the SEC's "concept releases" and assured audience members that such responses would be heard at the SEC.

The following papers also were discussed:

Robert Battalio, University of Notre Dame; Jason Greene, Georgia State University; and Robert Jennings, Indiana University, "Order Flow, Trade Quality, and Liquidity Costs: Merrill Lynch's Decision to Cease Making Markets on the Regional Stock Exchanges"

Discussant: James J. Angel, Georgetown University

Bruno Biais, University of Toulouse; Thierry Foucalt, Pompeu Fabra University, Barcelona; and Francoise Salanie, INRA, Toulouse, "Implicit Collusion on Wide Spreads"

Discussant: Larry Glosten, Columbia University

Stephen Foerster and G. Andrew Karolyi, University of Western Ontario, "The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the U.S."

Discussant: Ananth Madhavan, University of Southern California

Takatoshi Ito, NBER and Hitotsubashi University; Richard K. Lyons, NBER and University of California, Berkeley; and Michael T. Melvin, Arizona State University, "Is There Private Information in the FX Market? The Tokyo Experiment (NBER Working Paper No. 5936. See "Japan Working Group Meets" in the Bureau News section of this issue for a description of this paper.)

Discussant: Martin Evans, Georgetown University

Dimitri Vayanos, Stanford University, "Strategic Trading in a Dynamic...