Zicklin School of Business
17 Lexington Avenue
New York, NY 10010
Baruch College - CUNY
in Total Papers Downloads
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Price Formation, Order driven market, Limit order trading
Trade initiation, sidedness, asymmetric information, heterogeneous beliefs, differential information, demand for immediacy, earnings, macroecnomic announcements, merger news
Trading, price discovery, volatility, equity markets, divergent expectations, adaptive valuations, and market structure
Price impact, order timing, trading floor
Floor trading, Automated trading, Execution costs
opening price, closing price, price discovery, intra-day volatility, market microstructure, equity markets, call auction, NASDAQ
two-sided markets, trade clustering, trading motives, equity markets, volatility, trading costs
market microstructure, asset valuation, heterogeneous expectations, theory
stock return distribution, tail thickness, excess kurtosis, mixture of distributions, time-varying volatility
Liquidity, stabilization, equity markets
simulation analysis, stock return distribution, tail thickness, excess kurtosis, mixture of distributions, market structure, call auctions, continuous trading
Financial Markets, Market Structure and Organizations, Investment Industry, Future Directions and Sources of Change
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