Report NEP-MST-2008-10-21This 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.
The following items were announced in this report:
- Helder Sebastião, 2008. "The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems," GEMF Working Papers, GEMF - Faculdade de Economia, Universidade de Coimbra 2008-07, GEMF - Faculdade de Economia, Universidade de Coimbra.
- Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2008. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," Working Papers, Queen's University, Department of Economics 1181, Queen's University, Department of Economics.
- Item repec:pra:mprapa:11001 is not listed on IDEAS anymore
- Visser, Marcel P., 2008. "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper 11100, University Library of Munich, Germany.
- Andreas Park & Daniel Sgroi, 2008. "Herding and Contrarianism in a Financial Trading Experiment with Endogenous Timing," Working Papers, University of Toronto, Department of Economics tecipa-341, University of Toronto, Department of Economics.
- Nardella, Michele, 2007. "Price efficiency and speculative trading in cocoa futures markets," 81st Annual Conference, April 2-4, 2007, Reading University, Agricultural Economics Society 7970, Agricultural Economics Society.