Security market microstructure research focuses on efficient security market design. A securities market can be characterised as the interplay between five fundamental elements:

• Technology handling the different stages of the transaction life cycle (order routing, trading, surveillance, settlement, registry)
• Market participants (investors and financial intermediaries)
• Financial instruments (equities, options, warrants, futures)
• Information sources (public and private) and
• Regulations.

It is the task of a security market organiser (eg an exchange or electronic crossing network) in cooperation with other market participants, to get the combination of the above five elements right. The ultimate goal is to enhance the quality or efficiency of the marketplace through maximising market liquidity. Related goals include a reduction in market risk and transaction costs. Security market microstructure research assists market participants in this task by systematically studying the impact on liquidity, volatility and transaction costs of changes in market design.