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Jeremy Houston Large

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This is information that was supplied by Jeremy Large in registering through RePEc. If you are Jeremy Houston Large , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Jeremy
Middle Name: Houston
Last Name: Large
Suffix:

RePEc Short-ID: pla212

Email: [This author has chosen not to make the email address public]
Homepage: http://www.economics.ox.ac.uk/members/jeremy.large/
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Affiliation

(50%) Department of Economics
Oxford University
Location: Oxford, United Kingdom
Homepage: http://www.economics.ox.ac.uk/
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Postal: Manor Rd. Building, Oxford, OX1 3UQ
Handle: RePEc:edi:sfeixuk (more details at EDIRC)
(50%) Finance Research Centre
Oxford University
Location: Oxford, United Kingdom
Homepage: http://www.finance.ox.ac.uk/
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Handle: RePEc:edi:frcoxuk (more details at EDIRC)

Works

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Working papers

  1. Jeremy Large & Thomas Norman, 2008. "Ergodic Equilibria in Stochastic Sequential Games," Economics Series Working Papers 405, University of Oxford, Department of Economics.
  2. Jeremy Large, 2007. "Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment," Economics Series Working Papers 340, University of Oxford, Department of Economics.
  3. Jeremy Large, 2006. "A Market-Clearing Role for Inefficiency on a Limit Order Book," Economics Papers 2006-W08, Economics Group, Nuffield College, University of Oxford.
  4. Jeremy Large, 2005. "Estimating quadratic variation when quoted prices jump by a constant increment," Economics Papers 2005-W05, Economics Group, Nuffield College, University of Oxford.
  5. Jeremy Large, 2004. "Cancellation and Uncertainty Aversion on Limit Order Books," Economics Papers 2004-W05, Economics Group, Nuffield College, University of Oxford.

Articles

  1. Large, Jeremy, 2011. "Estimating quadratic variation when quoted prices change by a constant increment," Journal of Econometrics, Elsevier, vol. 160(1), pages 2-11, January.
  2. Large, Jeremy, 2009. "A market-clearing role for inefficiency on a limit order book," Journal of Financial Economics, Elsevier, vol. 91(1), pages 102-117, January.
  3. Peter Hansen & Jeremy Large & Asger Lunde, 2008. "Moving Average-Based Estimators of Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 79-111.
  4. Large, Jeremy, 2007. "Measuring the resiliency of an electronic limit order book," Journal of Financial Markets, Elsevier, vol. 10(1), pages 1-25, February.

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2006-03-18
  2. NEP-ECM: Econometrics (3) 2005-07-03 2006-03-18 2007-08-18. Author is listed
  3. NEP-FIN: Finance (3) 2004-02-08 2004-02-29 2006-08-12. Author is listed
  4. NEP-FMK: Financial Markets (3) 2004-02-08 2004-02-29 2006-08-12. Author is listed
  5. NEP-GTH: Game Theory (1) 2008-10-13
  6. NEP-MIC: Microeconomics (1) 2004-02-29
  7. NEP-MST: Market Microstructure (2) 2006-08-12 2007-08-18. Author is listed

Statistics

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