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2004 Grant Recipients and Final Papers
From the high quality and quantity of applications received, the Academic Advisory Board funded a total of 10 proposals in 2004, as listed below. We intend to fund another set of proposals next year. Please forward your email address to Microstructure.Research@morganstanley.com to be included on the next announcement. Proposal Agency Costs and the Relationship Between Brokers and Institutional Investors
Proposal Liquidity Risk, Liquidity Discovery, and Asset Pricing
Proposal The Informational Content of an Open Limit Order Book
Proposal High Frequency Volatility Estimation Under Microstructure Noise
Proposal Using Microstructure to Model the Probability of Large Market Movements
Proposal The Information Content of Hidden Orders in SuperSOES
Proposal Modelling Limit Order Markets Exemplified by Electronic Communication Networks (ECNs)/Measuring Liquidity Based on the Open Limit Order Books
Proposal A Role for Communication between Floor Brokers and Specialists
Proposal Options and the Bubble
Proposal The Price Impact of a Limit Order
Final Paper Factoring Information into Returns View final paper
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