Report NEP-MST-2009-09-26This 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:
- Yacine A\"it-Sahalia & Jialin Yu, 2009. "High frequency market microstructure noise estimates and liquidity measures," Papers 0906.1444, arXiv.org.
- Terrence Hendershott & Ryan Riordan, 2009. "Algorithmic Trading and Information," Working Papers 09-08, NET Institute, revised Aug 2009.
- Paolo Pellizzari & Frank Westerhoff, 2009. "Some effects of transaction taxes under different microstructures," Working Papers 190, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Item repec:cfs:cfswop:wp200918 is not listed on IDEAS anymore
- Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci, 2009. "Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2009-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Gao-Feng Gu & Fei Ren & Xiao-Hui Ni & Wei Chen & Wei-Xing Zhou, 2009. "Empirical regularities of opening call auction in Chinese stock market," Papers 0905.0582, arXiv.org.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009. "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo.
- Fei Ren & Gao-Feng Gu & Wei-Xing Zhou, 2009. "Scaling and memory in the return intervals of realized volatility," Papers 0904.1107, arXiv.org, revised Aug 2009.
- Esteban Moro & Javier Vicente & Luis G. Moyano & Austin Gerig & J. Doyne Farmer & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2009. "Market impact and trading profile of large trading orders in stock markets," Papers 0908.0202, arXiv.org.
- Amparo Baillo, 2009. "Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]," Papers 0902.0713, arXiv.org.
- Bence Toth & Janos Kertesz & J. Doyne Farmer, 2009. "Studies of the limit order book around large price changes," Papers 0901.0495, arXiv.org, revised Jun 2009.
- Zoltan Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren, 2009. "The price impact of order book events: market orders, limit orders and cancellations," Papers 0904.0900, arXiv.org, revised Sep 2010.
- A. Zaccaria & M. Cristelli & V. Alfi & F. Ciulla & L. Pietronero, 2009. "Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement," Papers 0906.1387, arXiv.org, revised May 2010.
- Austin Gerig & Javier Vicente & Miguel A. Fuentes, 2009. "Model for Non-Gaussian Intraday Stock Returns," Papers 0906.3841, arXiv.org, revised Dec 2009.
- Daniel J. Fenn & Mason A. Porter & Peter J. Mucha & Mark McDonald & Stacy Williams & Neil F. Johnson & Nick S. Jones, 2009. "Dynamical Clustering of Exchange Rates," Papers 0905.4912, arXiv.org, revised Apr 2010.