NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.
Market Microstructure Meeting
Bruce Lehmann, Andrew Lo, Matthew Spiegel, and Avanidhar Subrahmanyam, Organizers
December 11, 2003
The Ritz-Carlton, Palm Beach
100 South Ocean Boulevard
Manalapan, Florida
WEDNESDAY, DECEMBER 10:
7:00 PM Group Reception and Dinner
THURSDAY, DECEMBER 11:
8:30 AM Continental Breakfast
9:00 AM ALFREDO MENDIOLA and MAUREEN O'HARA, Cornell University
Taking Stock in Stock Markets: The Changing Governance of Exchanges
Discussant: UTPAL BHATTACHARYA, Indiana University
10:00 AM JAY COUGHENOUR, University of Delaware
LAWRENCE HARRIS, University of Southern California
Specialist Profits and the Minimum Price Increment
Discussant: SHANE CORWIN, University of Notre Dame
11:00 AM Break
11:15 AM PAUL BENNETT and LI WEI, New York Stock Exchange
Market Structure, Fragmentation and Market Quality
Discussant: MICHAEL BARCLAY, University of Rochester and NBER
12:15 PM Lunch
Speaker: LAWRENCE HARRIS, University of Southern California
Simplification and Diversification
1:30 PM SUGATO CHAKRAVARTY, Purdue University
FREDERICK HARRIS, Wake Forest University
ROBERT WOOD, University of Memphis
Information Revelation in Financial Markets:
Impulse Response Functions for Cointegrated Spreads and Depths
Discussant: YIUMAN TSE, University of Texas at San Antonio
2:30 PM J. DOYNE FARMER, Santa Fe Institute
PAOLO PATELLI, Sant'Anna School of Advanced Studies
ILIJA ZOVKO, University of Amsterdam
The Predictive Power of Zero Intelligence in Financial Markets
Discussant: IOANID ROSU, MIT
3:30 PM Break
3:45 PM WENJIN KANG, UC, Los Angeles
Intraday Returns and Heterogeneous Liquidity Sources
Discussant: EKKEHART BOEHMER, Texas A&M University
4:45 PM Adjourn
11/13/03