NEP-MST-2007-04-09

This file is part of IDEAS, which uses RePEc data

Report NEP-MST-2007-04-09

This is the archive for NEP-MST, a report on new working papers in the area of Market Microstructure. Thanos Verousis issued this report. It is usually issued weekly.

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Other reports in NEP-MST

The following items were anounced in this report:

Ming-Chang Wang & Lon-Ping Zu & Chau-Jung Kuo, 2007. "Anatomy of Bid-Ask Spread Empirical Evidence from an Order-driven Market," Money Macro and Finance (MMF) Research Group Conference 2006 25, Money Macro and Finance Research Group. [Downloadable!]
Andros Gregoriou, 2007. "The Asymmetry of the Price Impact of Block Trades and the Bid-Ask Spread. Evidence from the London Stock Exchange," Money Macro and Finance (MMF) Research Group Conference 2006 76, Money Macro and Finance Research Group. [Downloadable!]
Georgios Chortareas & John Nankervis & Ying Jiang, 2007. "Forecasting Exchange Rate Volatility with High Frequency Data: Is the Euro Different?," Money Macro and Finance (MMF) Research Group Conference 2006 79, Money Macro and Finance Research Group. [Downloadable!]
Marco Cipriani & Antonio Guarino, 2007. "Transaction costs and informational cascades in financial markets - theory and experimental evidence," Working Paper Series 736, European Central Bank. [Downloadable!]
Ingrid Lo & Stephen G. Sapp, 2007. "Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?," Working Papers 07-23, Bank of Canada. [Downloadable!]
Richard T. Baillie & Young-Wook Han & Robert J. Myers & Jeongseok Song, 2007. "Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices," Working Papers 594, Queen Mary, University of London, Department of Economics. [Downloadable!]
Riccardo Calcagno & Florian Heider, 2007. "Market based compensation, price informativeness and short-term trading," Working Paper Series 735, European Central Bank. [Downloadable!]
Rasmus Fatum & Jesper Pedersen, 2007. "Real-Time Effects of Central Bank Interventions in the Euro Market," EPRU Working Paper Series 07-01, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]

This page was last updated on 2009-12-6.

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