The article discusses how the market microstructure approach studies the inner workings of financial markets, focusing on factors like market frictions and information imbalances. It compares market structure and microstructure, explores the impact of high-frequency trading on market dynamics, and highlights the importance of adapting market mechanisms to new challenges. The research shows that market efficiency and equilibrium concepts have evolved in response to market frictions, and that understanding these concepts is crucial for navigating modern financial markets.