NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

Market Microstructure Meeting

Bruce Lehmann, Duane Seppi, and Avanidhar Subrahmanyam, Organizers

May 6, 2005

NBER

2^nd Floor Conference Room

1050 Massachusetts Avenue

Cambridge, MA

PROGRAM

THURSDAY, MAY 5:

7:00 PM Dinner

Davio's at the Royal Sonesta Hotel

5 Cambridge Parkway

Cambridge, MA

FRIDAY, MAY 6:

8:15 AM Shuttle van departs Royal Sonesta Hotel for NBER

8:30 AM Shuttle van departs Royal Sonesta Hotel for NBER

8:30 AM Continental Breakfast

9:00 AM MARKUS BRUNNERMEIER, Princeton University

LASSE HEJE PEDERSEN, New York University and NBER

Market Liquidity and Funding Liquidity

Discussant: GUILLAUME PLANTIN, Carnegie Mellon University

10:00 AM HENDRIK BESSEMBINDER, University of Utah

WILLIAM MAXWELL, University of Arizona

KUMAR VENKATARAMAN, Southern Methodist University

Market Transparency and Institutional Trading Costs

Discussant: DAVID LESMOND, Tulane University

11:00 AM Break

11:15 AM MIKE AITKEN, University of New South Wales

NIALL ALMEIDA, Deutsche Bank AG

FREDERICK HARRIS, Wake Forest University

THOMAS MCINISH, University of Memphis

Order Splitting and Order Aggressiveness in Electronic Trading

Discussant: PANKAJ JAIN, University of Memphis

12:15 PM Lunch

Speaker: CHESTER SPATT, Securities and Exchange Commission

1:45 PM H. HENRY CAO, University of North Carolina

HUI OU-YANG, Duke University

Bubbles and Panics in a Frictionless Market with Heterogeneous

Expectations

Discussant: BRUNO BIAIS, Toulouse University

2:45 PM EKKEHART BOEHMER, ERIC KELLEY, and CHRISTO PIRINSKY,

Texas A&M University

Institutional Investors and the Informational Efficiency of Prices

Discussant: TARUN CHORDIA, Emory University

3:45 PM Break

4:00 PM ROBERT ENGLE, New York University and NBER

ZHENG SUN, New York University

Forecasting Volatility Using Tick by Tick Data

Discussant: CHARLES JONES, Columbia University

5:00 PM Adjourn

5/2/05