Advances in Quantitative Analysis of Finance and Accounting:Essays in Microstructure in Honor of David K Whitcomb

Edited by Ivan E Brick, Tavy Ronen and Cheng Few Lee

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: News

Keywords: Liquidity; Volatility; Limit Orders; Microstructure; Trading Structure (search for similar items in EconPapers)
Date: 2006
ISBN: 9789812566263
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https://www.worldscientific.com/worldscibooks/10.1142/6001 (text/html)
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Chapters in this book:

Ch 1 Discriminatory Limit Order Books, Uniform Price Clearing and Optimality , pp 3-17

Lawrence R. Glosten

Ch 2 Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice , pp 19-37

Mark Coppejans, Ian Domowitz and Ananth Madhavan

Ch 3 Notes for a Contingent Claims Theory of Limit Order Markets , pp 39-56

Bruce N. Lehmann

Ch 4 The Option Value of the Limit Order Book , pp 57-71

Alex Frino, Elvis Jarnecic and Thomas H. McInish

Ch 5 The Cross-Section of Daily Variation in Liquidity , pp 75-110

Tarun Chordia, Lakshmanan Shivakumar and Avanidhar Subrahmanyam

Ch 6 Intraday Volatility on the NYSE and NASDAQ , pp 111-138

Daniel G. Weaver

Ch 7 The Intraday Probability of Informed Trading on the NYSE , pp 139-158

Michael A. Goldstein, Bonnie F. Van Ness and Robert A. Van Ness

Ch 8 Leases, Seats, and Spreads: The Determinants of the Returns to Leasing a NYSE Seat , pp 159-173

Thomas O. Miller and Michael S. Pagano

Ch 9 Decimalization and Market Quality , pp 175-194

Robin K. Chou and Wan-Chen Lee

Ch 10 The Importance of Being Conservative: An Illustration of Natural Selection in a Futures Market , pp 197-216

Guo Ying Luo

Ch 11 Speculative Nonfundamental Components in Mature Stock Markets: Do they Exist and are they Related? , pp 217-246

Ramaprasad Bhar and Anastasios Malliaris

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