Morgan Stanley Equity Microstructure Research Grants
February 2004

Morgan Stanley is pleased to announce the continuation of its program to fund academic research in equity market microstructure and related disciplines.  The objective is to significantly enhance the study of equity market behavior.  To achieve this goal, the program solicits proposals for research in a range of relevant topics.  The researchers will receive an honorarium and/or research support, and will be asked to acknowledge Morgan Stanley and to present the finished paper at a conference organized by Morgan Stanley.

Each accepted proposal would receive an honorarium of US $20,000.  A substantial number of grants are available and renewals are possible.  PhD students may apply for dissertation research support.  Larger and more ambitious proposals that may take more than one year will also be considered.

The range of topics of interest includes but is not limited to theoretical and empirical models of:
  • Price impact, bid ask spreads, depth and other measures of market liquidity
  • Liquidity risk estimation
  • Limit order trading
  • High frequency volatility and correlation estimation
  • Optimal contracts for trades and executions
  • Transaction dynamics
  • Global market microstructure
  • Market structure and its impact on trading
  • Corporate events and microstructure
  • Behavioral finance and microstructure
The research must be innovative and of academic interest.  The previous research record of an investigator will be important in the selection.  The Morgan Stanley Academic Advisory Board will review all proposals.

Proposal submissions should include:
  • 1-page summary proposal
  • curriculum vitae
  • relevant previous papers
  • PhD students should include letters of reference from their thesis advisors
Proposals should be submitted electronically by March 29, 2004, to microstructure-research@morganstanley.com.  It is envisioned that successful proposals will be announced at mid May 2004.