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NATIONAL BUREAU OF ECONOMIC RESEARCH,
INC. |
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Market Microstructure Meeting |
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Bruce Lehmann, Eugene Kandel, and Avanidhar
Subrahmanyam, Organizers |
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October 19, 2007 |
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NBER |
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2nd Floor Conference
Room |
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1050 Massachusetts
Avenue |
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Cambridge, MA |
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PROGRAM |
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THURSDAY, OCTOBER
18: | |
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7:00 pm |
Group Dinner |
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Dante Restaurant |
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Royal Sonesta Hotel |
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FRIDAY, OCTOBER 19: | |
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8:15
am |
Shuttle van departs Royal Sonesta Hotel for NBER
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8:30
am |
Shuttle van departs Royal Sonesta Hotel for NBER
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8:30
am |
Continental Breakfast |
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9:00
am |
Viral Acharya, London Business
School |
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S. Viswanathan, Duke
University |
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Discussant:
Itay Goldstein, University of
Pennsylvania |
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10:00 am |
Emre Ozdenoren, University of
Michigan |
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Kathy Yuan, University of
Michigan |
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Discussant: Alex Edmans, University of
Pennsylvania |
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11:00 am |
Break |
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11:15 am |
Francis Diebold, University of Pennsylvania and
NBER |
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Georg Strasser, University of
Pennsylvania |
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On
the Correlation Structure of Microstructure Noise in Theory and
Practice |
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Discussant: Gideon Saar, Cornell
University |
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12:15 pm |
Lunch |
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1:15
pm |
Terrence Hendershott, UC,
Berkeley |
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Pamela Moulton, Fordham Graduate School of
Business |
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The
Shrinking New York Stock Exchange Floor and the Hybrid
Market |
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Discussant:
Paul Bennett, New York Stock
Exchange |
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2:15
pm |
Eldar Nigmatullin, State Street Global
Advisors |
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Konstantin Tyurin, Indiana
University |
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Hao Yin, Indiana
University |
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Heterogeneous VAR Dynamics of Limit
Order Book Depth, Trade Imbalance, and Volatility on the
NYSE |
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Discussant: Christine Parlour, UC,
Berkeley |
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3:15
pm |
Break |
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3:30
pm |
Thomas Chemmanur, Boston
College |
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Shan He, Louisiana State
University |
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Gang Hu, Babson
College |
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The Role of
Institutional Investors in Seasoned Equity Offerings |
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Discussant: Michael Roberts, University of
Pennsylvania |
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4:30
pm |
Adjourn |
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9/27/07 |
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