Report NEP-MST-2010-07-24This 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:
- Austin Gerig & David Michayluk, 2010. "Automated Liquidity Provision and the Demise of Traditional Market Making," Papers, arXiv.org 1007.2352, arXiv.org.
- Michael Kearns & Alex Kulesza & Yuriy Nevmyvaka, 2010. "Empirical Limitations on High Frequency Trading Profitability," Papers, arXiv.org 1007.2593, arXiv.org, revised Sep 2010.
- Bruce I. Carlin & Shimon Kogan, 2010. "Trading Complex Assets," NBER Working Papers 16187, National Bureau of Economic Research, Inc.
- Alberto Manconi & Massimo Massa & Ayako Yasuda, 2010. "The Behavior of Intoxicated Investors: The role of institutional investors in propagating the crisis of 2007-2008," NBER Working Papers 16191, National Bureau of Economic Research, Inc.
- Paresh Kumar Narayan & Zhichao Zhang & Xinwei Zheng, 2010. "Some Hypotheses on Commonality in Liquidity: New Evidence from the Chinese Stock Market," Economics Series 2010_10, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.