Microstructure of Foreign Exchange and Equity Markets
A workshop organized by the Bank of Canada and the Norges Bank
The Financial Markets Department of the Bank of Canada and Norges Bank organized a joint workshop on the Microstructure of Foreign Exchange and Equity Markets. The workshop was hosted by the Bank of Canada in Ottawa on 20 and 21 October 2006. This workshop provided an opportunity for researchers to discuss theoretical and empirical issues regarding the microstructure of equity and currency markets. The keynote speaker on Friday was Prof. Jiang Wang, Massachusetts Institute of Technology and the keynote speaker on Saturday was Prof. Richard Lyons, University of California, Berkeley.
The workshop was a continuation of the Norges Bank conference on the Microstructure of Equity and Currency Markets 2005.
Thierry Foucault, HEC, Paris
Ingrid Lo, Bank of Canada
Richard Lyons, University of California, Berkeley
Bernt Arne Odegaard, Norwegian School of Management
Christine Parlour, University of California, Berkeley
Dagfinn Rime, Norges Bank
NOTE: The papers listed here are reproduced as submitted by their respective authors, and do not necessarily reflect the opinions or policies of the Bank of Canada. Papers submitted by persons not in the employ of the Bank of Canada may be subject to the copyright policies of the submitters' organizations and/or countries, and therefore should not be reproduced in whole or in part without the permission of the author(s). Papers are presented in the language of the authors only.
Terrence Hendershott and Mark S. Seasholes
Ekkehart Boehmer and Julie Wu
"How to Close a Stock Market? The Impact of a Closing Call Auction on Prices and Trading Strategies"
Luisella Bosetti, Eugene Kandel, and Barbara Rindi
Carol Osler, Alexander Mende, and Lukas Menkhoff
Dagfinn Rime, Lucio Sarno, and Elvira Sojli
"The Informativeness of Customer Order Flow following Macroeconomic Announcements: Evidence from Treasury Futures Markets"
Albert J. Menkveld, Asani Sarkar, and Michel van der Wel
Paul Brockman, Dennis Chung, and Christophe Pérignon
Loran Chollete, Randi Naes, and Johannes A. Skjeltorp
Thierry Foucault and Thomas Gehrig
Warren Bailey, Connie Mao, and Kulpatra Sirodom
Alexander Guembel and Oren Sussman
Geir H. Bjønnes, Steinar Holden, Dagfinn Rime, and Haakon O.Aa. Solheim
Áron Gereben, György Gyomai, and Norbert Kiss
Richard K. Lyons