Report NEP-MST-2011-06-18This 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:
- Markus Bibinger, 2011. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," SFB 649 Discussion Papers SFB649DP2011-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Wei Li & Fengzhong Wang & Shlomo Havlin & H. Eugene Stanley, 2011. "Financial factor influence on scaling and memory of trading volume in stock market," Papers 1106.1415, arXiv.org.
- Markus Bibinger, 2011. "Asymptotics of Asynchronicity," SFB 649 Discussion Papers SFB649DP2011-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Dooruj Rambaccussing, 2011. "Do Mean Reverting based trading strategies outperform Buy and Hold?," Working Papers 1113, Department of Applied Economics II, Universidad de Valencia.