Report NEP-MST-2010-06-18This 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:
- Paola Paiardini, 2010. "The Price Impact of Economic News, Private Information and Trading Intensity," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics 1011, Birkbeck, Department of Economics, Mathematics & Statistics.
- Fricke, Christoph & Menkhoff, Lukas, 2010. "Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares," Hannover Economic Papers (HEP), Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t dp-449, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Alexander M. Petersen & Fengzhong Wang & Shlomo Havlin & H. Eugene Stanley, 2010. "Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws," Papers, arXiv.org 1006.1882, arXiv.org, revised Oct 2010.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "Long Memory and Fractional Integration in High Frequency Financial Time Series," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 1016, DIW Berlin, German Institute for Economic Research.
- Julio César Alonso & Manuel Serna Cortés, 2010. "Intra-Day-Patterns in the Colombian Exchange Market Index and VAR: Evaluation of Different Approaches," BORRADORES DE ECONOMÃA Y FINANZAS 007098, UNIVERSIDAD ICESI.
- Petrasek, Lubomir, 2010. "Multimarket trading and the cost of debt: evidence from global bonds," Working Paper Series, European Central Bank 1212, European Central Bank.