Robert A. Schwartz

Baruch College - CUNY

Marvin M. Speiser Professor of Finance

Zicklin School of Business

17 Lexington Avenue

New York, NY 10010

United States

SCHOLARLY PAPERS

19

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213

Scholarly Papers (19)

Quote Setting and Price Formation in an Order Driven Market

Number of pages: 42 Posted: 05 Jul 1999
Puneet Handa, Robert A. Schwartz and Ashish Tiwari
University of Iowa - Department of Finance, Baruch College - CUNY and University of Iowa
Downloads 908 (18,896)
Citation 39

Abstract:

Quote Setting and Price Formation in an Order Driven Market

Journal of Financial Markets, Forthcoming
Posted: 14 Aug 2002
Ashish Tiwari, Robert A. Schwartz and Puneet Handa
University of Iowa, Baruch College - CUNY and University of Iowa - Department of Finance

Abstract:

Price Formation, Order driven market, Limit order trading

2.

Building a Better Stock Market: New Solutions to Old Problems

AEI-Brookings Joint Center Working Paper No. 00-03
Number of pages: 32 Posted: 25 Sep 2000
Robert A. Schwartz
Baruch College - CUNY
Downloads 705 (26,818)
Citation 3

Abstract:

3.

Equity Market Microstructure: Taking Stock of What We Know - The Road from Theory to a Real Marketplace is Indeed Bumpy

Journal of Portfolio Management, Fall 2008
Number of pages: 32 Posted: 04 Mar 2008 Last Revised: 02 Oct 2008
Reto Francioni, Sonali Hazarika, Robert A. Schwartz and Martin Reck
Deutsche Börse AG, CUNY Baruch College, Baruch College - CUNY and Deutsche Börse AG
Downloads 458 (46,377)

Abstract:

microstructure

4.

The Dynamic Process of Price Discovery in an Equity Market

Number of pages: 40 Posted: 26 Mar 2008
Jacob Paroush, Robert A. Schwartz and Avner Wolf
Bar-Ilan University - Department of Economics, Baruch College - CUNY and Baruch College
Downloads 419 (51,116)
Citation 2

Abstract:

5.

Market Sidedness: Insights into Motives for Trade Initiation

FRB of New York Staff Report No. 292
Number of pages: 56 Posted: 20 Mar 2007
Robert A. Schwartz and Asani Sarkar
Baruch College - CUNY and Federal Reserve Bank of New York
Downloads 305 (73,408)
Citation 18

Abstract:

Trade initiation, sidedness, asymmetric information, heterogeneous beliefs, differential information, demand for immediacy, earnings, macroecnomic announcements, merger news

6.

Trading, Price Setting and Volatility in Equity Markets Under Divergent Expectations and Adaptive Valuations

Number of pages: 36 Posted: 31 Aug 2006
Jacob Paroush, Robert A. Schwartz and Avner Wolf
Bar-Ilan University - Department of Economics, Baruch College - CUNY and Baruch College
Downloads 240 (96,639)
Citation 1

Abstract:

Trading, price discovery, volatility, equity markets, divergent expectations, adaptive valuations, and market structure

7.

Not Held Orders: Evidence on the Value of Order Timing in an Equity Market

Number of pages: 42 Posted: 11 Dec 2000
Puneet Handa, Robert A. Schwartz and Ashish Tiwari
University of Iowa - Department of Finance, Baruch College - CUNY and University of Iowa
Downloads 224 (109,043)
Citation 1

Abstract:

Price impact, order timing, trading floor

The Economic Value of a Trading Floor: Evidence from the American Stock Exchange

Number of pages: 37 Posted: 20 Jul 2002
Ashish Tiwari, Robert A. Schwartz and Puneet Handa
University of Iowa, Baruch College - CUNY and University of Iowa - Department of Finance
Downloads 220 (111,528)
Citation 7

Abstract:

Floor trading, Automated trading, Execution costs

The Economic Value of a Trading Floor: Evidence from the American Stock Exchange

Journal of Business, Forthcoming
Posted: 14 Aug 2002
Ashish Tiwari, Robert A. Schwartz and Puneet Handa
University of Iowa, Baruch College - CUNY and University of Iowa - Department of Finance

Abstract:

Floor trading, Automated trading, Execution costs

9.

A Call Auction’s Impact on Price Formation and Order Routing: Evidence from the NASDAQ Stock Market

Number of pages: 55 Posted: 27 Mar 2008 Last Revised: 08 Feb 2013
Michael S. Pagano, Robert A. Schwartz and Lin Peng
Villanova University - Villanova School of Business, Baruch College - CUNY and Baruch College/CUNY - Zicklin School of Business
Downloads 219 (98,283)
Citation 2

Abstract:

opening price, closing price, price discovery, intra-day volatility, market microstructure, equity markets, call auction, NASDAQ

10.
Downloads 169 (143,414)

Limit Order Trading

NYU Working Paper No. FIN-94-035
Number of pages: 48 Posted: 11 Nov 2008
Puneet Handa and Robert A. Schwartz
University of Iowa - Department of Finance and Baruch College - CUNY
Downloads 169 (143,432)
Citation 91

Abstract:

Limit Order Trading

J. OF FINANCE, Vol. 51 No. 5, December 1996
Posted: 19 Mar 1997
Puneet Handa and Robert A. Schwartz
University of Iowa - Department of Finance and Baruch College - CUNY

Abstract:

11.

Two-Sided Markets and Intertemporal Trade Clustering: Insights into Trading Motives

FRB of New York Staff Report No. 246
Number of pages: 56 Posted: 15 May 2006
Robert A. Schwartz and Asani Sarkar
Baruch College - CUNY and Federal Reserve Bank of New York
Downloads 164 (140,417)
Citation 2

Abstract:

two-sided markets, trade clustering, trading motives, equity markets, volatility, trading costs

12.

Combining Quote-Driven and Order-Driven Trading Systems in Next-Generation Stock Markets: an Experimental Investigation

NYU Working Paper No. 2451/14136
Number of pages: 30 Posted: 13 Oct 2008
Robert A. Schwartz and Bruce W. Weber
Baruch College - CUNY and City University of New York (CUNY) - Baruch College
Downloads 162 (141,877)

Abstract:

13.

Divergent Expectations: When Investors Agree to Disagree

Number of pages: 24 Posted: 08 Mar 2007
Michael S. Pagano, Paul Davis and Robert A. Schwartz
Villanova University - Villanova School of Business, Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) and Baruch College - CUNY
Downloads 135 (166,425)

Abstract:

market microstructure, asset valuation, heterogeneous expectations, theory

14.

Electronic Call Market Trading

JOURNAL OF PORTFOLIO MANAGEMENT Vol 21, No 3, Spring 1995, NYU Stern School of Business EC-93-19
Number of pages: 10 Posted: 25 Aug 1998
Nicholas Economides and Robert A. Schwartz
New York University - Leonard N. Stern School of Business - Department of Economics and Baruch College - CUNY
Downloads 124 (185,249)
Citation 28

Abstract:

15.

Equity Trading Practices and Market Structure: Assessing Asset Managers' Demand for Immediacy

NYU Working Paper No. EC-95-08
Number of pages: 52 Posted: 03 Nov 2008
Nicholas Economides and Robert A. Schwartz
New York University - Leonard N. Stern School of Business - Department of Economics and Baruch College - CUNY
Downloads 91 (226,035)
Citation 20

Abstract:

16.

Order Integration and the Dynamic Behavior of Security Prices

Number of pages: 47 Posted: 12 Mar 2014 Last Revised: 18 Mar 2016
Turan G. Bali, Jian Hua, Robert A. Schwartz and Gregory Sipress
Georgetown University - Robert Emmett McDonough School of Business, City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance, Baruch College - CUNY and TraderEx LLC
Downloads 80 (202,644)

Abstract:

stock return distribution, tail thickness, excess kurtosis, mixture of distributions, time-varying volatility

17.

A Liquidity Program to Stabilize Equity Markets

Journal of Portfolio Management, Forthcoming
Number of pages: 26 Posted: 03 Oct 2014
Nazli Sila Alan, John S Mask and Robert A. Schwartz
Fairfield University, Deutsche Börse AG and Baruch College - CUNY
Downloads 34 (298,175)

Abstract:

Liquidity, stabilization, equity markets

18.

From Theory to Application: Using Simulation to Better Understand Price Determination in a Non-Frictionless Equity Market

Number of pages: 35 Posted: 14 Nov 2016
Jian Hua, Robert A. Schwartz and Gregory Sipress
City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance, Baruch College - CUNY and TraderEx LLC
Downloads 0 (409,641)

Abstract:

simulation analysis, stock return distribution, tail thickness, excess kurtosis, mixture of distributions, market structure, call auctions, continuous trading

19.

Life after the Big Board Goes Electronic

Financial Analysts Journal, Vol. 62, No. 5, pp. 14-20, October 2006
Posted: 09 Oct 2006
Michael S. Pagano, Robert A. Schwartz and Paul Davis
Villanova University - Villanova School of Business, Baruch College - CUNY and Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)

Abstract:

Financial Markets, Market Structure and Organizations, Investment Industry, Future Directions and Sources of Change