NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.
Market Microstructure Meeting
Bruce Lehmann, Andrew Lo, Matthew Spiegel, and Avanidhar Subrahmanyam, Organizers
December 6, 2002
NBER
1050 Massachusetts Avenue
Cambridge, Massachusetts
THURSDAY, DECEMBER 5:
7:00 PM Group Dinner
Davio's at the Royal Sonesta Hotel
FRIDAY, DECEMBER 6:
8:30 AM Shuttle Van Departs Royal Sonesta Hotel for 1050 Massachusetts Ave.
8:45 AM Shuttle Van Departs Royal Sonesta Hotel for 1050 Massachusetts Ave.
8:45 AM Continental Breakfast
9:15 AM BRUNO BIAIS and CHRISTOPHE BISIÈRE, Toulouse University
CHESTER SPATT, Carnegie Mellon University
Imperfect Competition in Financial Markets: ISLAND vs. NASDAQ
Discussant: STEWART MAYHEW, University of Georgia
10:15 AM Break
10:45 AM SUGATO CHAKRAVARTY, Purdue University
VENKATESH PANCHAPAGESAN, Washington University
ROBERT WOOD, University of Memphis
Discussant: TARUN CHORDIA, Emory University
11:45 AM Lunch
Speaker: ROBERT SEIJAS, New York Stock Exchange
1:30 PM KEE CHUNG, SUNY
CHAIRAT CHUWONGANANT, Purdue University
D. TIMOTHY MCCORMICK, NASDAQ Stock Market, Inc.
Order Preferencing and Market Quality on NASDAQ Before and After Decimalization
Discussant: MICHAEL BARCLAY, University of Rochester and NBER
2:30 PM BURTON HOLLIFIELD and ROBERT MILLER, Carnegie Mellon University
PATRIK SANDAS, University of Pennsylvania
JOSHUA SLIVE, HEC Montreal
Liquidity Supply and Demand in Limit Order Markets
Discussant: OHAD KADAN, Washington University
3:30 PM Break
3:45 PM MAGUEYE DIA, Oxford University
SÉBASTIEN POUGET, Georgia State University
Sunshine Trading in West-Africa: Liquidity and Price Formation of Infrequently Traded Stocks
Discussant: VENKATESH PANCHAPAGESAN, Washington University
4:45 PM Adjourn
12/2/02