The following papers were presented at a 2-day conference sponsored by the Bank of Canada on October 20th and 21st 2006. (Alphabetical listing by author)
Warren Bailey, Connie X. Mao and Kulpatra Sirodom, Locals, Foreigners, and Multi-market Trading of Equities: Some Intraday Evidence
Geir
H. Bjønnes, Steinar Holden, Dagfinn Rime
and Haakon O.Aa. Solheim, ‘Large’ vs. ‘small’
players: A closer look at the dynamics of speculative attacks.
Ekkehart Boehmer and Julie Wu, Order
flow and prices
Luisella Bosetti, Eugene Kandel and Barbara Rindi, How to Close a Stock Market? The Impact of a Closing Call Auction on Prices and Trading Strategies
Paul Brockman, Dennis Y. Chung and Christophe Perignon, Commonality in Liquidity: A Global Perspective
Loran Chollete, Randi Næs and Johannes A. Skjeltorp, Pricing Implications of Shared Variance in
Liquidity Measures
Thierry Foucault, and Thomas Gehrig, Stock Price Informativeness, Cross-Listings and Investment Decisions
Áron Gereben, György Gyomai and Norbert Kiss M., Customer order flow, information and liquidity on the Hungarian foreign exchange market
Alexander Guembel and Oren Sussman, Sovereign Debt Without Default Penalties
Terrence Hendershott and Mark S. Seasholes, Market Maker Inventories and Stock Prices
Albert J. Menkveld, Asani Sarkar and Michel van der Wel, The Informativeness of Customer Order Flow following Macroeconomic Announcements: Evidence from Treasury Futures Markets
Carol L. Osler, Alexander Mende and Lukas Menkhoff, Price Discovery in Currency Markets
Dagfinn Rime, Lucio
Sarno, and Elvira Sojlib, Exchange Rate
Forecasting, Order Flow and Macroeconomic Information
Tanseli Savaser Exchange Rate Response to Macro News: Through the Lens of Microstructure
Paolo Vitale, A Market Microstructure
Analysis of Foreign Exchange Intervention