| Description |
xx, 248 pages : illustrations ; 24 cm |
| Contents |
Economics of limit orders Discriminatory limit order books, uniform price clearing and optimality / Lawrence R. Glosten -- Electronic limit order books and market resiliency: theory, evidence, and practice / Mark Coppejans, Ian Domowitz, Ananth Madhavan -- Notes for a contingent claims theory of limit order markets / Bruce N. Lehmann -- The option value of the limit order book / Alex Frino, Elvis Jarnecic, Thomas H. McInish -- Essays on liquidity of markets The cross section of daily variation in liquidity / Tarun Chordia, Lakshmanan Shivakumar, Avanidhar Subrahmanyam -- Intraday volatility on NYSE and NASDAQ / Daniel G. Weaver -- The intraday probability of informed trading on the NYSE / Michael A. Goldstein, Bonnie F. Van Ness, Robert A. Van Ness -- Leases, seats, and spreads: the determinants of the returns to leasing a NYSE seat / Thomas O. Miller, Michael S. Pagano -- Decimalization and market quality / Robin K. Chou, Wan-Chen Lee -- Market rationality The importance of being conservative: an illustration of natural selection in a futures market / Guo Ying Luo -- Speculative non-fundamental components in mature stock markets: do they exist and are they related / Ramaprasad Bhar, A.G. Malliaris |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Liquid assets -- Mathematical models.
|
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Liquidity (Economics) -- Mathematical models.
|
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Securities -- Prices -- Mathematical models.
|
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Stock exchanges -- Mathematical models.
|
| Genre/Form |
Festschriften.
|
| Author |
Brick, Ivan E.
|
|
Lee, Cheng F.
|
|
Ronen, Tavy
|
| ISBN |
9789812566263 |
|
9812566260 |
|
