Advances in Quantitative Analysis of Finance and Accounting:Essays in Microstructure in Honor of David K Whitcomb
Editor
- Ivan E Brick(Rutgers University, USA)Tavy Ronen(Rutgers University, USA)Cheng-Few Lee(Rutgers University, USA)
Abstract
No abstract is available for this item.Individual chapters are listed in the "Chapters" tab
Suggested Citation
- Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), 2006. "Advances in Quantitative Analysis of Finance and Accounting:Essays in Microstructure in Honor of David K Whitcomb," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6001, August.
Handle: RePEc:wsi:wsbook:6001
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Book Chapters
The following chapters of this book are listed in IDEAS- Lawrence R. Glosten, 2006. "Discriminatory Limit Order Books, Uniform Price Clearing and Optimality," World Scientific Book Chapters, in: Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, chapter 1, pages 3-17, World Scientific Publishing Co. Pte. Ltd..
- Mark Coppejans & Ian Domowitz & Ananth Madhavan, 2006. "Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice," World Scientific Book Chapters, in: Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, chapter 2, pages 19-37, World Scientific Publishing Co. Pte. Ltd..
- Bruce N. Lehmann, 2006. "Notes for a Contingent Claims Theory of Limit Order Markets," World Scientific Book Chapters, in: Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, chapter 3, pages 39-56, World Scientific Publishing Co. Pte. Ltd..
- Alex Frino & Elvis Jarnecic & Thomas H. McInish, 2006. "The Option Value of the Limit Order Book," World Scientific Book Chapters, in: Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, chapter 4, pages 57-71, World Scientific Publishing Co. Pte. Ltd..
- Tarun Chordia & Lakshmanan Shivakumar & Avanidhar Subrahmanyam, 2006. "The Cross-Section of Daily Variation in Liquidity," World Scientific Book Chapters, in: Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, chapter 5, pages 75-110, World Scientific Publishing Co. Pte. Ltd..
- Daniel G. Weaver, 2006. "Intraday Volatility on the NYSE and NASDAQ," World Scientific Book Chapters, in: Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, chapter 6, pages 111-138, World Scientific Publishing Co. Pte. Ltd..
- Michael A. Goldstein & Bonnie F. Van Ness & Robert A. Van Ness, 2006. "The Intraday Probability of Informed Trading on the NYSE," World Scientific Book Chapters, in: Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, chapter 7, pages 139-158, World Scientific Publishing Co. Pte. Ltd..
- Thomas O. Miller & Michael S. Pagano, 2006. "Leases, Seats, and Spreads: The Determinants of the Returns to Leasing a NYSE Seat," World Scientific Book Chapters, in: Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, chapter 8, pages 159-173, World Scientific Publishing Co. Pte. Ltd..
- Robin K. Chou & Wan-Chen Lee, 2006. "Decimalization and Market Quality," World Scientific Book Chapters, in: Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, chapter 9, pages 175-194, World Scientific Publishing Co. Pte. Ltd..
- Guo Ying Luo, 2006. "The Importance of Being Conservative: An Illustration of Natural Selection in a Futures Market," World Scientific Book Chapters, in: Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, chapter 10, pages 197-216, World Scientific Publishing Co. Pte. Ltd..
- Ramaprasad Bhar & A. G. Malliaris, 2006. "Speculative Nonfundamental Components in Mature Stock Markets: Do they Exist and are they Related?," World Scientific Book Chapters, in: Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, chapter 11, pages 217-246, World Scientific Publishing Co. Pte. Ltd..
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Keywords
Liquidity; Volatility; Limit Orders; Microstructure; Trading Structure;All these keywords.
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