LEADER 05850nam 2200733Ia 450 001 9910453338103321 005 20200520144314.0 010 $a1-281-90910-6 010 $a9786611909109 010 $a981-270-729-8 035 $a(CKB)1000000000555998 035 $a(EBL)1214418 035 $a(SSID)ssj0000288226 035 $a(PQKBManifestationID)11212176 035 $a(PQKBTitleCode)TC0000288226 035 $a(PQKBWorkID)10373319 035 $a(PQKB)10532437 035 $a(MiAaPQ)EBC1214418 035 $a(WSP)00006001 035 $a(Au-PeEL)EBL1214418 035 $a(CaPaEBR)ebr10699057 035 $a(CaONFJC)MIL190910 035 $a(OCoLC)854972414 035 $a(EXLCZ)991000000000555998 100 $a20070315d2006 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 00$aAdvances in quantitative analysis of finance and accounting$b[electronic resource] $hVolume 3 $eessays in microstructure in honor of David K. Whitcomb /$feditors, Ivan E. Brick, Tavy Ronen, Cheng-Few Lee 210 $aHackensack, N.J. $cWorld Scientific$dc2006 215 $a1 online resource (269 p.) 225 1 $aAdvances in Quantitative Analysis of Finance & Accounting ;$vv.3 300 $aDescription based upon print version of record. 311 $a981-256-626-0 320 $aIncludes bibliographical references and index. 327 $aPreface 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 327 $aChapter 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 327 $a5.2. 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 327 $a3.1. 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 327 $a1.1. 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 327 $aChapter 7 The Intraday Probability of Informed Trading on the NYSE Michael A. Goldstein, Bonnie F. Van Ness, Robert A. Van Ness 330 $aNews Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved tra 410 0$aAdvances in Quantitative Analysis of Finance & Accounting 606 $aStock exchanges$xMathematical models 606 $aSecurities$xPrices$xMathematical models 606 $aLiquidity (Economics)$xMathematical models 608 $aElectronic books. 615 0$aStock exchanges$xMathematical models. 615 0$aSecurities$xPrices$xMathematical models. 615 0$aLiquidity (Economics)$xMathematical models. 676 $a332.632 701 $aWhitcomb$b David K$0940112 701 $aBrick$b Ivan E$0940113 701 $aRonen$b Tavy$0940114 701 $aLee$b Cheng F$0114212 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910453338103321 996 $aAdvances in quantitative analysis of finance and accounting$92119666 997 $aUNINA