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Author

Irene Aldridge

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Review Sep 2026

Evolution of Market Microstructure in the Age of AI

Market microstructure studies how trading rules turn orders into prices and allocations. Those rules have been rebuilt repeatedly: for floor traders, electronic limit order books and high-frequency trading, batch auctions and dark pools, blockchains run by automated market makers and block builders, and now AI agents t...

Irene E. Aldridge · 0 citations
Review Aug 2026

AI Governance for Institutional Readiness in Finance

This work proposes a four-layer framework (Policy, Engineering, Composition, Systemic) grounded in two distinct kinds of evidence, kept explicitly separate, and provides a 90-day implementation sequence spanning trading and payments/customer-facing systems.

Irene E. Aldridge, Steven Krawciw · 0 citations
Preprint Jul 2026

Liquidity Premium and Investment Horizons

We estimate Kyle's (1985) price-impact coefficient $\lambda$ directly from daily equity order flow and test its ability to forecast the cross-section of subsequent stock returns. Using CRSP data from 2020 to 2025, we construct firm-month measures of signed order flow and two estimators of $\hat\lambda_{it}$: a within-m...

Irene Aldridge · 0 citations

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