Laurence Daures

ESSEC Business School

Professor

3 Avenue Bernard Hirsch

CS 50105

CERGY, CERGY PONTOISE CEDEX 95000

France

  • ESSEC Business School

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    • Tel: +33 1 34 43 33 62
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SCHOLARLY PAPERS

9

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2,095

TOTAL CITATIONS

9

Scholarly Papers (9)

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1.

Click first or last? Strategic order submission during the Euronext preopening session

Number of pages: 70 Posted: 23 Mar 2017 Last Revised: 05 Mar 2025
Laurence Daures, Sophie Moinas and Selma Boussetta
ESSEC Business School, Universite de Toulouse 1 Capitole and BxSE, University of Bordeaux
Downloads 519 (114,266)
Citation 1

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preopening period, strategic order submission, opening call auction, price discovery

2.

Fragmentation and Strategic Market-Making

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 94 Posted: 20 Sep 2014 Last Revised: 04 Feb 2022
Laurence Daures and Sophie Moinas
ESSEC Business School and Universite de Toulouse 1 Capitole
Downloads 438 (140,143)
Citation 4

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Market fragmentation, imperfect competition, cross-market inventory cost

3.

Standardization, Transparency Initiatives and Liquidity in the CDS Market

Journal of Financial Markets, Forthcoming
Number of pages: 68 Posted: 18 Jan 2015 Last Revised: 02 Feb 2022
Laurence Daures and Andras Fulop
ESSEC Business School and ESSEC Business School
Downloads 369 (170,245)
Citation 3

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Credit Default Swap, Liquidity, Transparency, CDS Volatility, Counterparty Risk

4.

Intra-Daily Variations in Volatility and Transaction Costs in the Credit Default Swap Market

Number of pages: 61 Posted: 21 Nov 2009
Andras Fulop and Laurence Daures
ESSEC Business School and ESSEC Business School
Downloads 213 (299,423)

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Credit Default Swap, Microstructure, Intra-daily patterns, Stochastic transaction costs, Volatility, Interdealer market

5.

Liquidity Externalities and Buyout Delisting Activity

Number of pages: 63 Posted: 31 Jul 2009
Jose-Miguel Gaspar and Laurence Daures
ESSEC Business School and ESSEC Business School
Downloads 162 (383,472)

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leveraged buyouts, liquidity externalities, delisting, asymmetric information

6.

Transparency Matters: Price Formation in Presence of Order Preferencing

Journal of Financial Markets, Forthcoming, EFA 2007 Ljubljana Meetings Paper
Number of pages: 47 Posted: 26 Oct 2006 Last Revised: 14 Jan 2014
Laurence Daures and Christian Y. Robert
ESSEC Business School and CNAM, Conservatoire des Arts et Metiers
Downloads 150 (409,199)

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Preferencing, Internalization, Inventory management, Transparency

7.

Cold Case File? Inventory Risk and Information Sharing during the pre-1997 NASDAQ Preopening

European Financial Management, Forthcoming
Number of pages: 41 Posted: 02 Apr 2012 Last Revised: 05 Dec 2016
Laurence Daures
ESSEC Business School
Downloads 135 (444,978)
Citation 1

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OTC Markets, Preopen, NASDAQ, Information Sharing, Inventory Information, Price Reversals

8.

Why is There Heterogeneity Among Dealers' Behavior During the NASDAQ Preopening Session?

Number of pages: 40 Posted: 18 May 2004
Laurence Daures and Christian Y. Robert
ESSEC Business School and CNAM, Conservatoire des Arts et Metiers
Downloads 109 (524,441)

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Nasdaq, Order Preferencing, Preopening, Inventory, Price-reversal

9.

How Liquid is the CDS Market?

EFA 2008 Athens Meetings Paper
Posted: 06 Mar 2008 Last Revised: 08 Nov 2014
Andras Fulop and Laurence Daures
ESSEC Business School and ESSEC Business School

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Credit Default Swap, Liquidity, Stochastic Transaction Costs, Interdealer