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4 gevonden resultaten
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| nr |
titel |
auteur |
tijdschrift |
jaar |
jaarg. |
afl. |
pagina('s) |
type |
| 1 |
Market depth and order size 1 We are grateful for the helpful comments of David Brown, Herbert Buscher, Frank deJong, Bruce Lehmann (the editor), Jonas Niemayer, Dirk Schiereck, participants of the 1997 European Finance Association Meeting, the 1997 CBOT European Futures Research Symposium, the Second International Conference on High Frequency Data in Finance and an anonymous referee. 1
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Kempf, Alexander
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1999
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2 |
1 |
p. 29-48
20 p.
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artikel
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| 2 |
Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation 1 Olsen Associates provided the data used in this study. The Vincent Ross Institute of Accounting at the Stern School provided financial support. For suggestions and comments on this work, I am grateful to the editor, Michael Brandt, Siddhartha Chib, Charles Goodhart, Jim Hamilton, Michael Melvin, Eric Renault, and workshop participants at Columbia, the University of Pennsylvania, Washington University, the Olsen High-Frequency Data II Conference, and the NBER Microstructure workshop. I am especially grateful to Neil Shephard. All errors are my own responsibility. 1
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Hasbrouck, Joel
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1999
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2 |
1 |
p. 1-28
28 p.
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artikel
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| 3 |
The alpha factor asset pricing model: A parable
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Ferson, Wayne E.
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1999
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2 |
1 |
p. 49-68
20 p.
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artikel
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| 4 |
To believe or not to believe 1 This paper has benefitted from the response of the participants at the Western Finance Association Meetings in Oregon, the American Accounting Association Meetings in Chicago, the NSF/IDS Stonybrook Conference on Game Theory, the Midwest Mathematical Economics Conference at Purdue, the Annual International Meetings of the French Finance Association at the Université de Paris - Dauphine, the Winter Meetings of the Econometric Society at Atlanta, the World Congress of the Econometric Society at Barcelona, the I.I.Sc. Bangalore Conference on Game Theory and its Applications, and at the following schools: Amsterdam, Berkeley, Carnegie-Mellon, Delaware, Indiana, INSEAD, Iowa, Minnesota, Ohio, Purdue, Toulouse and Tulane. Ramji Balakrishnan, Jean-Pierre Benoit, Jordi Caballé, James Foster, Tom George, Larry Glosten, Puneet Handa, Yukiko Hirao, Gur Huberman, Jack Hughes, Prem Jain, Narayana Kocherlakota, Robert Litzenberger, Ernst Maug, Bill Novshek, John Parsons, Sandeep Patel, Tom Rietz, Matthew Spiegel and Tim van Zandt provided many comments, and for these we are grateful. Krishnan also thanks the Graduate School, University of Minnesota, for support. His e-mail: krishnan@msi.umn.edu 1
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Bhattacharya, Utpal
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1999
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2 |
1 |
p. 69-98
30 p.
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artikel
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4 gevonden resultaten
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Koninklijke Bibliotheek - Nationale Bibliotheek van Nederland
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