Fleming / Australian Stock Exchange / New York Stock Exchange. / Toronto Stock Exchange / NYSE / /
Country
Australia / / /
Facility
Cambridge University / Massey University / The University of Bonn / The University of Calgary / The University of Technology / The University of Melbourne / Securities Industry Research Centre / Finance Monash University / / /
MarketIndex
Hang Seng 40 / S&P/ASX 100 / S&P/ASX 20 / CAC 40 / ASX / /
Organization
Price Volatility Huu Nhan Duong and Petko S. Kalev* Department of Accounting / University of Melbourne / Massey University / Cambridge University / G20 / Faculty of Business and Economics / Board of Governors of the Federal Reserve System / Securities Industry Research Centre of Asia-Pacific / Department of Accounting and Finance / University of Calgary / University of Technology / Sydney / University of Bonn / Monash University / Division of International Finance / /
Person
Michael McKenzie / Foucault / Bruce Grundy / Robert Elliott / Alain Chaboud / Gordon Sick / Richard Roll / Clara Vega / Terry Walter / Erik Theissen / / /
Position
model / broker / Cao / Permanent volatility *Corresponding author / trader / /
Microsoft Word - Duong and Kalev - Order Book Slope and Price Volatility - Information content 26 August 2008.doc