Report NEP-MST-2010-10-02This 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:
- Rezania, Omid & Rachev, Svetlozar T. & Sun, Edward & Fabozzi, Frank J., 2010. "Analysis of the intraday effects of economic releases on the currency market," Working Paper Series in Economics 3, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
- Romain Allez & Jean-Philippe Bouchaud, 2010. "Individual and collective stock dynamics: intra-day seasonalities," Science & Finance (CFM) working paper archive 1009.4785, Science & Finance, Capital Fund Management.
- Vincenzo Liberatore, 2010. "Financial LPPL Bubbles with Mean-Reverting Noise in the Frequency Domain," Science & Finance (CFM) working paper archive 1009.4835, Science & Finance, Capital Fund Management, revised Jan 2011.