Ken Kavajecz - Publications

Skip to content

Kenneth A. Kavajecz

Publications

 

  • Brandt, Michael, Kenneth A. Kavajecz and Shane Underwood, 2006, Price Discovery in the Treasury Futures Market, Journal of Futures Markets, forthcoming.

     

  • Caglio, Cecilia, and Kenneth A. Kavajecz, 2006, A Specialist's Quoted Depth as a Strategic Choice Variable: An Application to Spread Decomposition Models, Journal of Financial Research 29: 383-398.

     

  • Clayton, Matthew, Bjorn Jorgensen and Kenneth A. Kavajecz, 2006, On the Presence and Market-Structure of Exchanges around the World, Journal of Financial Markets 9: 27-48.

     

  • Kavajecz, Kenneth A. and Donald Keim, 2005, Packaging Liquidity: Blind Auctions and Transaction Efficiencies, Journal of Financial and Quantitative Analysis 40: 465-492.

     

  • Kavajecz, Kenneth A. and Elizabeth Odders-White, 2004, Technical Analysis and Liquidity Provision, Review of Financial Studies 17: 1043-1071.

     

  • Brandt, Michael, and Kenneth A. Kavajecz, 2004, Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve Journal of Finance 59: 2623-2654.

     

  • Goldstein, Michael A. and Kenneth A. Kavajecz, 2004, Trading Strategies during Circuit Breakers and Extreme Market Movements, Journal of Financial Markets 7: 301-333.

     

  • Kavajecz, Kenneth A. and Elizabeth Odders-White, 2001, Volatility and Market Structure, Journal of Financial Markets 4: 359-384.

     

  • Kavajecz, Kenneth A. and Elizabeth Odders-White, 2001, An Examination of Changes in Specialists' Posted Price Schedules, Review of Financial Studies 14: 681-704.

     

  • Goldstein, Michael A. and Kenneth A. Kavajecz, 2000, Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE, Journal of Financial Economics 56: 125-149.

     

  • Kavajecz, Kenneth A., 1999, A Specialist's Quoted Depth and the Limit Order Book, Journal of Finance 54: 747-771.

    •  

  • Kavajecz, Kenneth A. and Sean S. Collins, 1995, Rationality of the Preliminary Money Stock Estimates, Review of Economics and Statistics February: 32-41.