Larry Harris's Academic Papers

Refereed Articles

Harris, Lawrence and Venkatesh Panchapagesan, “The Information-Content of the Limit Order Book: Evidence from NYSE Specialist Trading Decisions,” forthcoming, Journal of Financial Markets, 2005.

Fridman, Moshe and Lawrence Harris, "A Maximum Likelihood Approach for Stochastic Volatility Models," Journal of Business and Economic Statistics, v. 16, no 3, July 1998.

Harris, Lawrence and Joel Hasbrouck, "Market Versus Limit Orders: The SuperDOT Evidence on Order Submission Strategy," Journal of Financial and Quantitative Analysis, v. 31, no. 2, June 1996, 213-231.

Harris, Lawrence, George Sofianos and Jim Shapiro, "Program Trading and Intraday Volatility," Review of Financial Studies, v. 7, no. 4 1994, 654-86. Abstracted in The CFA Digest, v. 25, no. 2, Spring 1995, 28-30.

Harris, Lawrence, "Minimum Price Variations, Discrete Bid/Ask Spreads and Quotation Sizes," Review of Financial Studies v. 7, no. 1, 1994, 149-178.

Harris, Lawrence, "Consolidation, Fragmentation, Segmentation and Regulation," Financial Markets, Institutions & Instruments (formerly the NYU Salomon Center Monograph Series in Finance and Economics) v. 2, no. 5, December 1993, 1-28 (lead article). Reprinted in Global Equity Markets: Technological, Competitive and Regulatory Challenges, Robert A. Schwartz, Editor; Irwin: Chicago, 1995, p. 269-301.

Harris, Lawrence, "Stock Price Clustering and Discreteness," Review of Financial Studies v. 4 no. 3, 1991, 389-415 (lead article).

Harris, Lawrence, "Estimation of Stock Price Variances and Serial Covariances from Discrete Observations," Journal of Financial and Quantitative Analysis v. 25 no. 3, September 1990, 291-306 (lead article).

Harris, Lawrence, "Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator," Journal of Finance v. 45, no. 2, June 1990, 579-590.

Harris, Lawrence, "The Economics of Cash Index Alternatives," Journal of Futures Markets v. 10 no. 2, April 1990, 179-94.

Harris, Lawrence, "S&P 500 Cash Stock Price Volatilities," Journal of Finance v. 44, no. 5, December 1989, 1155-1176.

Harris, Lawrence, "The October 1987 S&P 500 Stock-Futures Basis," Journal of Finance v. 44, no. 1, March 1989, 77-99.

Harris, Lawrence, "A Day-end Transaction Price Anomaly," Journal of Financial and Quantitative Analysis v. 24 no. 1, March 1989, 29-45.

Glosten, Lawrence and Lawrence Harris, "Estimating the Components of the Bid-Ask Spread," Journal of Financial Economics v. 21 no. 1, May 1988, p. 123-142.

Harris, Lawrence, "Transactions Data Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis v. 22 no. 2, June 1987, p. 127-141 (lead article).

Harris, Lawrence and Eitan Gurel, "Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures," Journal of Finance v. 41 no. 4, September 1986, p. 815-829.

Harris, Lawrence, "A Transactions Data Study of Weekly and Intradaily Patterns in Stock Prices," Journal of Financial Economics v. 16 no. 1, June 1986, p. 99-117.

Harris, Lawrence, "Cross-security Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis v. 21 no. 1, March 1986, p. 39-46.

Harris, Lawrence, "How to Profit from Intradaily Stock Returns," Journal of Portfolio Management v. 12 no. 2, Winter 1986, p. 61-64.

Monographs

Harris, Lawrence, "Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems," forthcoming, Financial Markets, Institutions & Instruments, 1998.

Harris, Lawrence, "Liquidity, Trading Rules and Electronic Trading Systems," New York University Salomon Center Monograph Series in Finance and Economics, Monograph 1990-4, December 1990 (refereed).

Proceedings, Discussions and Abstracts

Harris, Lawrence, "Circuit Breakers and Program Trading Limits: What Have We Learned?," Brooking-Wharton Papers on Financial Services, 1998.

Harris, Lawrence, "Brokerage, Market Fragmentation, and Securities Market Regulation: Comment," in The Industrial Organization and Regulation of the Securities Industry, Andrew W. Lo, editor, The University of Chicago Press: Chicago, 1995, 56-58.

Harris, Lawrence, "Consolidation, Fragmentation, Segmentation and Regulation," Abstract, Journal of Finance v. 48, no. 3, July 1993, 1092-3.

Harris, Lawrence, "On the Existence of an Optimal Tick Size: Comment," The Review of Futures Markets v. 10 no. 1, May 1992, 73-74.

Harris, Lawrence, George Sofianos and Jim Shapiro, "Program Trading and Intraday Volatility," Proceedings of the Seminar on the Analysis of Security Prices v. 35 no. 1, May 1990.

Harris, Lawrence, "The Economics of Cash Index Alternatives," Proceedings of the Seminar on the Analysis of Security Prices v. 34 no. 1, May 1989, p. 37-83.

Harris, Lawrence, "Statistical Analysis of Price and Basis Behavior, October 12- 25, 1987, S&P 500 Futures and Cash: Commentary," The Stock Market: Bubbles, Volatility and Chaos, Gerald P. Dwyer, Jr. and Rick Hafer, editors, Proceedings of the Federal Reserve Bank of Saint Louis 1988 Economic Policy Conference: Kluwer, 1989, p. 171-174.

Harris, Lawrence, "The Dangers of Regulatory Overreaction to the October 1987 Stock Market Crash," Cornell Law Review v. 74 no. 5, July 1989, 927-942.

Harris, Lawrence, "Predicting Contemporary Volume with Historic Volume at Differential Price Levels--Evidence Supporting the Disposition Effect: Discussion," Journal of Finance v. 43 no. 3, July 1988, p 698-699.

Glosten, Lawrence and Lawrence Harris, "Estimating the Components of the Bid/Ask Spread," Proceedings of the Seminar on the Analysis of Security Prices v. 30 no. 2, November 1985, p. 349-382.

Harris, Lawrence, "Weekly and Intradaily Patterns in Stock Returns," Proceedings of the Seminar on the Analysis of Security Prices v. 29 no. 2, November 1984, p. 253-276.

Book Chapters

Harris, Lawrence, "The Regulatory Impediments to Viable Cash Index Securitization," in Modernizing US Securities Regulation: Economic and Legal Perspectives, Kenneth Lehn and Robert Kamphuis, Editors; Business One Irwin: Homewood IL, 1993, p. 499-508. Reprinted in World Fund Industry no. 3, February 1995, p. 37-40.

Harris, Lawrence, "The October 1987 Stock Market Crash: Lingering Vulnerabilities? The Dangers of Regulatory Overreaction," Economic Vulnerabilities: Challenges For Policy Makers, Susan Irving, Editor; Curry Foundation: Washington D.C., 1988, p. 71-82.

Harris, Lawrence, "Intraday Price Patterns," European Symposium Book on Stock Regularities, Elroy Dimson, Editor; Cambridge University Press: Cambridge, 1988, p. 91-108.

Submissions

Harris, Lawrence and Michael S. Piwowar, “Municipal Bond Liquidity,” December 2003, under review at the Journal of Finance.

Coughenour, Jay F. and Lawrence Harris, “Specialist Profits and the Minimum Price Increment,” September 2003, under review at the Review of Financial Studies.

Dutt, Hans R. and Lawrence Harris, “Position Limits for Cash Settled Derivative Contracts,” November 2003, under review at the Journal of Financial Markets.

Working Papers and Manuscripts

Harris, Lawrence, "Does a Large Minimum Price Variation Encourage Order Exposure?," October 1996.  

Harris, Lawrence, "Trading in Pennies: A Survey of the Issues," November 1999.

Harris, Lawrence, "Order Exposure and Parasitic Traders," November 1997.

Harris, Lawrence, "Decimalization: A Review of the Arguments and Evidence," April 3, 1997.

Harris, Lawrence, "The Economics of Best Execution," March 9, 1996.

Harris, Lawrence, "Stock Price Clustering, Discreteness and Bid/Ask Spreads," December 1989.

Harris, Lawrence, "The Power of the Roll Serial Covariance Bid/Ask Spread Estimator," February 1989.

Harris, Lawrence, "The Joint Distribution of Speculative Prices and of Daily Trading Volume," May 1983.

Works in Progress

"The Winners and Losers of the Zero Sum Game: The Origins of Trading Profits, Price Efficiency and Market Liquidity"

Testimony

Harris, Lawrence, "Testimony on H.R. 1053: The Common Cents Stock Pricing Act of 1997," presented to U.S. House of Representatives, Committee on Commerce, Subcommittee on Finance and Hazardous Materials, forthcoming, Federal Register, April 16, 1997.


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Last revised August 26, 2004.