NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.
Market Microstructure Meeting
Eugene Kandel, Bruce Lehmann, and Avanidhar
Subrahmanyam, Organizers
NBER
2nd Floor Conference Room
PROGRAM
THURSDAY, OCTOBER 23:
Dante Restaurant at the
Royal Sonesta Hotel
FRIDAY,
OCTOBER 24:
8:30 am Continental
Breakfast
9:00 am IOANID
ROSU,
Liquidity
and Information in Order Driven Markets
Discussant: UDAY RAJAN,
10:00 am PAOLO PASQUARIELLO,
CLARA VEGA, Federal
Reserve Board
Strategic Cross-Trading in the U.S. Stock Market
Discussant: BRUCE MIZRACH,
11:00 am Break
11:15 am CHIRAPHOL CHIYACHANTANA,
PANKAJ JAIN,
Discussant: SUNIL WAHAL,
OHAD KADAN,
AVI WOHL,
The
Diminishing Liquidity Premium
Discussant: RONNIE SADKA,
Price Impact and Spread:
Application of Bias-Free Estimation Methodology to Portfolio Transitions
Discussant: CHARLES JONES,
THOMAS GEORGE,
Securities
Trading when Liquidity Providers are Informed
Discussant: RONALD GOETTLER,