Advances in quantitative analysis of finance and accounting [electronic resource] . Volume 3 : essays in microstructure in honor of David K. Whitcomb / editors, Ivan E. Brick, Tavy Ronen, Cheng-Few Lee.

Format:

Book

Contributor:

Whitcomb, David K.

Brick, Ivan E.

Ronen, Tavy.

Lee, Cheng F.

Series:

Advances in Quantitative Analysis of Finance & Accounting

Advances in Quantitative Analysis of Finance & Accounting ; v.3

Language:

English

Subjects (All):

Stock exchanges--Mathematical models.

Stock exchanges.

Securities--Prices--Mathematical models.

Securities.

Liquidity (Economics)--Mathematical models.

Liquidity (Economics).

Whitcomb, David K.

Physical Description:

1 online resource (269 p.)

Edition:

1st ed.

Other Title:

Finance and accounting

Place of Publication:

Hackensack, N.J. : World Scientific, c2006.

Language Note:

English

Summary:

News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). 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 tra

Contents:

Preface to Volume 3; Contents; Introduction to Volume 3 Ivan E. Brick, Tavy Ronen; List of Contributors; Section I - Economics of Limit Orders; Chapter 1 Discriminatory Limit Order Books, Uniform Price Clearing and Optimality Lawrence R. Glosten; 1. Introduction; 2. The Economic Setting; 3. Optimum Terms of Trade; 4. Discriminatory CLOB and Uniform Price Clearing; 4.1. CLOB; 4.2. Uniform price clearing; 4.3. Welfare analysis; 5. Discussion; 6. Conclusion; Acknowledgments; References

Chapter 2 Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice Mark Coppejans, Ian Domowitz, Ananth Madhavan1. Introduction; 2. Theory; 2.1. Model framework; 2.2. Liquidity dynamics; 3. Empirical Results; 3.1. Institutional details; 3.2. Data; 3.3. Liquidity metrics; 3.4. Realized price impact costs; 4. Dynamics of Liquidity; 4.1. Identification; 4.2. Specification and estimation of market liquidity dynamics; 4.3. Impulse response functions; 4.4. The dynamic relationship between liquidity and volatility; 5. Practical Issues; 5.1. Institutional trading

5.2. Optimal trading strategies5.3. Market structure, trading protocols, and resiliency; 6. Conclusion; Acknowledgments; References; Chapter 3 Notes for a Contingent Claims Theory of Limit Order Markets Bruce N. Lehmann; 1. Introduction; 2. Limit Orders as Order Flow Derivatives; 3. Limit Order Valuation and Order Flow Bets; 4. Limit Order Book Dynamics; 5. Conclusion; Acknowledgments; References; Chapter 4 The Option Value of the Limit Order Book Alex Frino, Elvis Jarnecic, Thomas H. McInish; 1. Introduction; 2. The ASX Market Structure; 3. Data and Methodology

3.1. Databases and sample selection3.2. Reconstruction of the limit order schedule; 3.3. Calculation of variables and the option value of a limit order; 3.4. The limit order schedule and its option value; 4. Empirical Results; 4.1. An intraday examination of the limit order schedule; 4.2. Robustness of results across size of stocks and time periods; 5. Summary and Conclusions; Acknowledgments; References; Section II - Essays on Liquidity of Markets; Chapter 5 The Cross Section of Daily Variation in Liquidity Tarun Chordia, Lakshmanan Shivakumar, Avanidhar Subrahmanyam; 1. Data

1.1. Inclusion requirements1.2. Summary statistics; 2. The Relation Between Liquidity and Stock Volatility; 2.1. Theoretical background; 2.2. Empirical analysis; 2.2.1. Time-series regressions; 2.2.2. Cross-sectional determinants of the response of liquidity to absolute returns; 2.2.3. Robustness checks; 3. Conclusion; Acknowledgments; References; Chapter 6 Intraday Volatility on the NYSE and NASDAQ Daniel G.Weaver; 1. Introduction; 2. Sample and Methodology; 3. Results; 4. Conclusion; Acknowledgments; References

Chapter 7 The Intraday Probability of Informed Trading on the NYSE Michael A. Goldstein, Bonnie F. Van Ness, Robert A. Van Ness

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786611909109

9781281909107

1281909106

9789812707291

9812707298

OCLC:

854972414