Preface to 'Advances in Quantitative Analysis in Financial and Accounting: Essays in Microstructure' in Honor of David K. Whitcomb (Vol. 3)

Advances in Quantitative Analysis of Finance and Accounting, I. Brick, T.. Ronen, C. Lee, ESSAYS IN MICROSTRUCTURE, Vol. 3, World Scientific, 2006

Posted: 3 Oct 2009

See all articles by Ivan E. Brick

Ivan E. Brick

Rutgers Business School

Tavy Ronen

Rutgers Business School -Newark and New Brunswick, Department of Finance & Economics

Cheng-Few Lee

Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

Date Written: April 18, 2006

Abstract

Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today’s financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.

Keywords: Liquidity, Volatility, Limit Orders, Microstructure, Trading Structure

Suggested Citation

Brick, Ivan E. and Ronen, Tavy and Lee, Cheng-Few, Preface to 'Advances in Quantitative Analysis in Financial and Accounting: Essays in Microstructure' in Honor of David K. Whitcomb (Vol. 3) (April 18, 2006). Advances in Quantitative Analysis of Finance and Accounting, I. Brick, T.. Ronen, C. Lee, ESSAYS IN MICROSTRUCTURE, Vol. 3, World Scientific, 2006 . Available at SSRN: https://ssrn.com/abstract=1479991

Ivan E. Brick

Rutgers Business School ( email )

111 Washington Avenue
Newark, NJ 07102
United States
973-353-5155 (Phone)
973-353-1233 (Fax)

Tavy Ronen (Contact Author)

Rutgers Business School -Newark and New Brunswick, Department of Finance & Economics ( email )

1 Washington Park
Newark, NJ 07102
United States
973-353-5272 (Phone)

HOME PAGE: http://https://www.business.rutgers.edu/faculty/tavy-ronen

Cheng-Few Lee

Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics ( email )

111 Washington Avenue
Newark, NJ 07102
United States
732-445-3907 (Phone)
732-445-5927 (Fax)

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