A workshop of the European Science Foundation Network in Financial Markets on `Market Microstructure' took place at the Universität Konstanz on 3/4 April. The workshop was organized by Günter Franke (Universität Konstanz) and Marco Pagano (Università di Napoli and CEPR). The following papers were presented:

`Dealers' Pricing Decisions under Transaction Uncertainty', Antti Suvanto (Bank of Finland)

`Intertemporal Insider Trading with a Smooth Order Flow', Albert Kyle and Gerard Gennotte (University of California at Berkeley)

`An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse', Bruno Biais (HEC, Jouy-en-Josas), Pierre Hillion (INSEAD) and Chester Spatt (Carnegie Mellon University)

`Competing Markets', Thomas Gehrig (Universität Basel)

`Market Structure and Volatility in Auction Markets: An Empirical Study Using Intradaily Returns from the Frankfurt Bourse', Nils Pällman (New York University)

`The Microstructure of Option Markets: Informed Trading, Liquidity, Volatility and Efficiency', Marti Subrahmanyam, Kose John and Apoorva Koticha (New York University)
`Anomalous Cross-Market Settlement Effects in the Brussels Stock Exchange', Piet Sercu and Marian Kane (Katholieke Universiteit Leuven)

`An Examination of the Stockholm Stock Exchange and the Options Markets from a Microstructure Perspective', Jonas Niemeyer and Patrick Sandås (Stockholm School of Economics)

`Price Crashes, Information Aggregation and Market-Making', Vicente Madrigal (New York University) and José Scheinkman (University of Chicago)

`The Effects of Continuity and Order-Book Visibility on the Liquidity Distribution of a Market', Kaj Hedvall (Swedish School of Economics and Business Administration, Helsinki)