Individual heterogeneity is an important source of variation in demand. Allow-ing for general heterogeneity is needed for correct welfare comparisons. We consider general heterogenous demand where preferences and linear budget sets are statis-tically independent. Only the marginal distribution of demand for each price and income is identified from cross-section data where only one price and income is observed for each individual. Thus, objects that depend on varying price and/or income for an indiviual are not generally identified, including average exact con-sumer surplus. We use bounds on income effects to derive relatively simple bounds on the average surplus, including for discrete/continous choice. We also sketch an approach to bounding surplus that does not use income effect bounds. We apply the results to gasoline demand. We find tight bounds for average surplus in this application but wider bounds for average deadweight loss.

Using the intuition that financial markets transfer risks in business time, “market microstructure invariance” is defined as the hypotheses that the distributions of risk transfers (“bets”) and transaction costs are constant across assets when measured per unit of business time. The invariance hypotheses imply that bet size and transaction costs have specific, empirically testable relationships to observable dollar volume and volatility. Portfolio transitions can be viewed as natural experiments for measuring transaction costs, and individual orders can be treated as proxies for bets. Empirical tests based on a data set of 400, 000+ portfolio transition orders support the invariance hypotheses. The constants calibrated from structural estimation imply specific predictions for the arrival rate of bets (“market velocity”), the distribution of bet sizes, and transaction costs.