In this note we discuss the impact of the COVID-19 outbreak from the perspective of market-structure. We observe that US marketstructure has dramatically changed during the past four weeks and that the level of change has followed the number of infected cases reported in the USA. Presently, market-structure resembles most closely the structure during the middle of the 2008 crisis but there are signs that it may be starting to evolve into a new structure altogether. This is the first article of a series where we will be analysing and discussing market-structure as it evolves to a state of further instability or, more optimistically, stabilisation and recovery.
by Pier Francesco Procacci, Carolyn E. Phelan, and Tomaso Aste
Financial Computing 