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Report NEP-MST-2007-08-18
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.Subscribe to this report: email or RSS Other reports in NEP-MST
The following items were anounced in this report:
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.
[Downloadable!] Jin-Chuan Duan & András Fülöp, 2007.
"How Frequently Does the Stock Price Jump? – An Analysis of High-Frequency Data with Microstructure Noises MNB Working Papers
2007/4, Magyar Nemzeti Bank (The Central Bank of Hungary).
[Downloadable!] Joseph K.W. Fung & Haynes H.M. Yung, 2007.
"Expiration-Day Effects - An Asian Twist Working Papers
012007, Hong Kong Institute for Monetary Research.
[Downloadable!] Joseph K.W. Fung & Philip Yu, 2007.
"Order Imbalance and the Dynamics of Index and Futures Prices Working Papers
072007, Hong Kong Institute for Monetary Research.
[Downloadable!] This page was last updated on 2009-12-6.
IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .