The Benefits of Volume-Conditional Order-Crossing - Singapore ...
The Benefits of Volume-Conditional Order-Crossing - Singapore ...
The Benefits of Volume-Conditional Order-Crossing - Singapore ...
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<strong>The</strong> <strong>Benefits</strong> <strong>of</strong> <strong>Volume</strong>-<strong>Conditional</strong> <strong>Order</strong>-<strong>Crossing</strong> ∗<br />
Dean P. Foster †<br />
Simon Gervais ‡<br />
Krishna Ramaswamy §<br />
13 July 2006<br />
∗Financial support from the Rodney L. White Center for Financial Research is gratefully acknowledged.<br />
We thank Gary Gorton, Richard Kihlstrom, Pete Kyle, Pino Lopomo, S. Viswanathan, and seminar participants<br />
at Duke University, <strong>The</strong> Wharton School and <strong>The</strong> National University <strong>of</strong> <strong>Singapore</strong> for their comments<br />
on earlier versions. We are responsible for any remaining errors.<br />
† Statistics Department, Wharton School, University <strong>of</strong> Pennsylvania, Steinberg Hall - Dietrich Hall, Suite<br />
3000, Philadelphia, PA 19104-6367, foster@stat.wharton.upenn.edu, (215) 898-8233.<br />
‡ Fuqua School <strong>of</strong> Business, Duke University, One Towerview Drive, Durham, NC 27708-0120, sgervais@duke.edu,<br />
(919) 660-7683.<br />
§ Finance Department, Wharton School, University <strong>of</strong> Pennsylvania, Steinberg Hall - Dietrich Hall, Suite<br />
2300, Philadelphia, PA 19104-6367, krishna@wharton.upenn.edu, (215) 898-6206.
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