ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING<br> Essays in Microstructure in Honor of David K. Whitcomb

ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING
Essays in Microstructure in Honor of David K. Whitcomb

CONTENTS


FRONT MATTER	i
Section I — Economics of Limit Orders
Discriminatory Limit Order Books, Uniform Price Clearing and Optimality Lawrence R. Glosten	3
Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice Mark Coppejans, Ian Domowitz and Ananth Madhavan	19
Notes for a Contingent Claims Theory of Limit Order Markets Bruce N. Lehmann	39
The Option Value of the Limit Order Book Alex Frino, Elvis Jarnecic and Thomas H. McInish	57
Section II — Essays on Liquidity of Markets
The Cross-Section of Daily Variation in Liquidity Tarun Chordia, Lakshmanan Shivakumar and Avanidhar Subrahmanyam	75
Intraday Volatility on the NYSE and NASDAQ Daniel G. Weaver	111
The Intraday Probability of Informed Trading on the NYSE Michael A. Goldstein, Bonnie F. Van Ness and Robert A. Van Ness	139
Leases, Seats, and Spreads: The Determinants of the Returns to Leasing a NYSE Seat Thomas O. Miller and Michael S. Pagano	159
Decimalization and Market Quality Robin K. Chou and Wan-Chen Lee	175
Section III — Market Rationality
The Importance of Being Conservative: An Illustration of Natural Selection in a Futures Market Guo Ying Luo	197
Speculative Nonfundamental Components in Mature Stock Markets: Do they Exist and are they Related? Ramaprasad Bhar and A. G. Malliaris	217
BACK MATTER	247
Back