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Advances in Quantitative Analysis of Finance and Accounting - Vol. 3
ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING
Essays in Microstructure in Honor of David K Whitcomb
edited by Ivan E Brick, Tavy Ronen & Cheng-Few Lee (Rutgers University, USA)
Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today’s financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.
Contents:
- Economics of Limit Orders:
- Discriminatory Limit Order
Books, Uniform Price Clearing and Optimality (L R Glosten)
- Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice (M Coppejans et al.)
- Notes for a Contingent Claims Theory of Limit Order Markets (B N Lehmann)
- The Option Value of the Limit Order Book (A Frino et al.)
- Essays on Liquidity of Markets:
- The Cross-Section of Daily Variations in Liquidity (T Chordia et al.)
- Intraday Volatily on the NYSE and NASDAQ (D G Weaver)
- The Intraday Probability of Informed Trading on the NYSE (M A Goldstein et al.)
- Leases, Seats, and Spreads: The Determinants of the Returns to Leasing a NYSE Seat (T O Miller & M S Pagano)
- Decimalization and Market Quality (R K Chou & W-C Lee)
- Market Rationality:
- The Importance of Being Conservative: An Illustration of Natural Selection in a Futures Market (G Y Luo)
- Speculative Non-Fundamental Components in Mature Stock Market: Do They Exist and are They Related? (R Bhar & A G Malliaris)
Readership: Academics, market exchange regulators and policy makers.
| 268pp |
Pub. date: Apr 2006 |
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