So You Think You Know Market Structure: "Bitcoin, ethereum and ripple: a fractal and wavelet analysis"

Understanding market structure is very important and sometimes profitable.
One example, and there are hundreds, is (was) the emissions trading scheme set up by the EU in 2005.
From a 2009 post:
Climateer Investing on Carbon Trading and Traders

Our preference is "Cap-and-Tax (auction) with 100% Rebate" not Cap-and Trade.

The post immediately below, "Richard Sandor, Barack Obama and the Founding of the Chicago Climate Exchange (CLE.L)" got me to thinking about the carbon markets.
Proponents repeat the mantra that cap-and-trade is a "market based 'solution'". This is, of course, nonsense.

Just as an economist using the tools of science (mathematics) doesn't make economics a science, carbon traders using the tools of markets doesn't make carbon trading market based.

The carbon markets are an entirely artificial construct, beholden to political paymasters for their very existence. Which may be why so many political types are planning to profit from them....

The fact the market was artificial meant there would be exploitable biases built into the structure.
Using our trademark low-I.Q. approach to investing we glommed onto the fact the politicians, in an attempt to get industry on-board would over-issue the tradable credits and create a directional bet (lower, duh) that would make any curve analysis that much easier.

Or credit default swaps, again with asymmetries inherent in the structure of both the underlying and the wrapper, introducing what Harley Bassman sums up so simply (I hate him):

...Wall Street loves to make convexity sound complex (I suppose it’s so they can charge higher fees?). We speak Greek (calling it “gamma”), employ physics as a metaphor (analogizing to it “acceleration”), and use mathematical definitions (since it is the second derivative of the asset’s price change).

Pish, posh. An investment is convex if the payoff is unbalanced for equally opposite outcomes. So if there’s the potential to earn a profit of two on a bet versus a maximum loss of one, the bet is positively convex. If you can lose three versus making two, it is negatively convex. That’s it. The rocket scientists are called upon to help (fairly) price the cost (value) of such possible outcomes. This is why the expansion of derivative trading in the 1990’s resulted in a hiring spree of physics PhD’s....

Ditto for bundled mortgages.
And it's not just packaged product. Even plain vanilla stuff has underlying structure that can bite you in the butt.
My favorite example of that is the Hunt bros. merrily buying up their physical and derivative silver.
They didn't understand the structure of the market in which they were playing. From a long ago post:

....When the Billionaire Hunt brothers were attempting to corner the silver market in January 1980 the head of one of the world's largest grain traders said "Those boys don't know what deep pockets are". 

The "commercials" had been shorting into the Hunt bros. buying and the grain trader was at the top of the "commercial" heap.

On January 21 the COMEX went "liquidation only".

On January 22 the CBOT went "liquidation only".

On Tuesday the 22nd silver closed at $34, down 27% from its close the previous Friday.

The Hunt's still had enormous paper profits but any attempt to book them would smash the markets even further.

Prices declined to $17 by March, down 66% from the January high and the Hunt's were receiving calls of $60 Million per day in variation margin. On March 27 the price dropped from $21.62 to $10.80 and one of their brokers, Bache was in violation of net capital requirements and another, Merrill Lynch was on the brink.

As the attorneys got involved over the next few years, oil prices headed south, destroying the value of Daddy's creation (and the brother's piggybank) Placid Oil.

Bunker Hunt filed for bankruptcy in September 1988 as did his brother and Placid.

At the time the grain trader spoke it is probable that the various branches of the Hunt families comprised the wealthiest "family" in America....

Retold in 2014's "On The Passing Of Nelson Bunker Hunt, Two Words".
Market structure, very important.

And speaking of "bros", from the LSE Business Review:

The three major cryptocurrencies remain detached from the fundamentals, presenting problems for fundamentals-focused long-term investors, write Shaen Corbet and Constantin Gurdgiev

In recent years, repeated boom-bust cycles in cryptocurrencies valuations have generated waves of media and public attention, helping to attract a growing number of retail and professional investors to this new asset class. Regulatory environment and markets research, however, lag these developments.

In general, there is no consensus in the markets and amongst regulatory authorities as to the preferred classification of cryptocurrencies as an asset class. Some jurisdictions define them as commodities, others as currencies, or even as general assets, without a singular definition. For example, the U.S. Security Exchange Commission (SEC) view cryptocurrencies as belonging to two different asset classes, simultaneously: cryptotokens issued in the primary market representing securities, while the same tokens traded in the secondary markets constituting currencies.

Likewise, the new asset class lacks definitive theoretical framework for analysing the valuations of the cryptocurrencies in relation to financial and economic fundamentals. Dynamic and distributional properties of cryptocurrencies clearly indicate that the mainstream efficient markets hypothesis (EMH hereafter) framework used in traditional investment markets fails to hold in the crypto markets. The EMH is an investment theory that states it is impossible to ‘beat the market’ because asset market efficiency causes existing asset prices to reflect all relevant information.

Looking for a comprehensive theoretical framework

In an attempt to provide a more realistic description of this market, Peters (2015) used the fractal market hypothesis (FMH hereafter). FMH assumes that market stability is preserved when the agents trading in the markets make self-similar decisions that span across different investment time horizons, providing market liquidity (Kristoufek, 2013b). When the long-term investors either stop trading or shorten their investment time horizon, the market becomes unstable leading to periods of high volatility (Roch, 2011). The dominance of a single time horizon in the FMH setting would therefore undermine the market liquidity and cause severe corrections (e.g. flash crashes), as well as large and longer-term events, such as those experienced in the global financial crisis of 2008-2009 (Kristoufek, 2013a).

The FMH proposes the following assumptions:

1. The market is stable when it consists of investors covering a wide range of investment horizons;
2. Market sentiment and technical factors are more relevant to investors in the short-term. As investment horizons widen, long-term fundamental information tends to dominate;
3. If an event occurs that makes the validity of fundamental information questionable, long-term investors will either stop participating in the market or begin trading based on the short-term information set. When the average investment horizon in the market declines to a uniform level, the market becomes unstable;...

...MORE

We've visited the blog of one of the co-authors, Trinity College, Dublin's Constantin Gurdgiev a few times. The other co-author's name, Shaen Corbet rings a bell but I don't recall linking.