Frontmatter -- Preface -- Contents -- Chapter 1: On the Logical Character and Coherence of Islamic Economics -- Chapter 2: Consilience as Islamic Methodology of Tawhid: The General Socio-Scientific Framework -- Chapter 3: Economics for a Better Future -- Chapter 4: Game-Theoretic Investigation...

The issue of transaction costs is the mainstay of the equity market microstructure. Research in the microstructure of futures markets has lagged behind. A primary reason is that futures exchanges in the U.S. do not record bid–ask quotes, requiring these costs to be imputed from transaction...

We present a novel method in analyzing microstructure noise of high-frequency data as a measurement error problem within an endogenous Markov-switching regression model. In this model, the regression disturbance and the latent state variable controlling the regime are correlated. We show that...

We model an electronic limit order book as a multi-class queueing system under fluid dynamics, and formulate and solve a problem of limit and market order placement to optimally buy a block of shares over a short, predetermined time horizon. Using the structure of the optimal execution policy,...

Order positions are key variables in algorithmic trading. This paper studies the limiting behavior of order positions and related queues in a limit order book. In addition to the fluid and diffusion limits for the processes, fluctuations of order positions and related queues around their fluid...

We investigate the effects of algorithmic trading and dark venues on U.S. security market quality. Market quality refers to the nearly universal mandate of securities regulators to ensure that all market design changes should not detract from efficiency or fairness which we define as less market...

This article presents a Hawkes process-based limit order book model with a particular interest in the long-time bahaviour. A general approach based on ergodic theory and martingale convergence theorems is used

Han and Lesmond (2011) find that stock liquidity, namely bid-ask bounce, affects the pricing of idiosyncratic volatility. Following Ang et al. (2009) and Han and Lesmond (2011), we investigate the pricing of idiosyncratic volatility and liquidity-adjusted idiosyncratic volatility over the period...

Recent research has raised concerns over whether the probability of informed trading model (PIN) is an appropriate proxy of information asymmetry. We investigate PIN and test whether the model can detect illegal insider trading prior to M&A announcements. We then compare the performance of PIN...