Market Structure Analytics
The Securities and Exchange Commission created this website to promote better understanding of our equity markets and equity market structure through the use of data and analytics.
Review current staff market structure research, use interactive data visualization tools to explore a variety of advanced market metrics produced from the Commission’s Market Information Data and Analytics System (MIDAS), download dozens of datasets to perform your own analyses, and further the dialogue through public feedback.
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Create your own charts, compare and contrast data sets according to a variety of equity security characteristics, zoom to specific date periods, and view data distributions down to the level of one-millionth of a second.
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Read or download staff market structure research and analysis, including SEC staff Data Highlights and White Papers. Recent updates include:
Study of Correlation Impact on Credit Default Swap Margin using a GARCH-DCC-copula Framework
Research Note (pdf, 1 mb)
November 13, 2019
Does the Tick Size Affect Stock Prices? Evidence from the Tick Size Pilot Announcement of the Test Groups and the Control Group
White Paper (pdf, 239 kb)
November 9, 2018
Empirical Analysis of Liquidity Demographics and Market Quality For Thinly-Traded NMS Stocks
Research Note (pdf, 3.8 mb)
April 10, 2018
Tick Size Pilot Plan and Market Quality
White Paper (pdf, 1.1 mb)
January 31, 2018
An application of agent-based modeling to market structure policy: the case of the U.S. Tick Size Pilot Program and market maker profitability
White Paper (pdf, 1.9 mb)
December 26, 2017
- Market structure research that can inform policy decisions
- Forensic analysis of market events
- Monitoring of market activities
News, Speeches and Testimony
- SEC Launches Market Structure Data and Analysis Website
Press Release, Oct. 9, 2013
- Focusing on Fundamentals: The Path to Address Equity Market Structure
Chair Mary Jo White, Oct. 2, 2013
- Harnessing Tomorrow’s Technology for Today’s Investors and Markets
Chairman Elisse Walter, Feb. 19, 2013