In virtually all microstructure models, expectations of security payoffs are important
determinants of prices and trading strategies. The principle that revisions to this expectation …

Publisher Summary This chapter provides an overview of the various approaches to
modeling microstructure time series. Rather than recapitulate these developments, it is …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

I present a new Stata program, xtscc, that estimates pooled ordinary least-squares/weighted
least-squares regression and fixed-effects (within) regression models with Driscoll and …

This paper suggests that the interactions of security trades and quote revisions be modeled
as a vector autoregressive system. Within this framework, a trade's information effect may be …

Given the key role of liquidity in finance research, identifying high quality proxies based on
daily (as opposed to intraday) data would permit liquidity to be studied over relatively long …

Algorithmic trading (AT) has increased sharply over the past decade. Does it improve market
quality, and should it be encouraged? We provide the first analysis of this question. The New …

This paper develops and implements a technique for estimating a model of the bid/ask
spread. The spread is decomposed into two components, one due to asymmetric information …

This paper investigates the informational role of transactions volume in options markets. We
develop an asymmetric information model in which informed traders may trade in option or …

We derive dynamic optimal trading strategies that minimize the expected cost of trading a
large block of equity over a fixed time horizon. Specifically, given a fixed block S̄ of shares …