Report NEP-MST-2011-08-22This 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:
- Toke, Ioane Muni & Pomponio, Fabrizio, 2011. "Modelling trades-through in a limited order book using Hawkes processes," Economics Discussion Papers, Kiel Institute for the World Economy 2011-32, Kiel Institute for the World Economy.
- Larson, Nathan, 2011. "Clustering on the same news sources in an asset market," MPRA Paper 32823, University Library of Munich, Germany.
- Darrell Duffie & Semyon Malamud & Gustavo Manso, 2011. "Information Percolation in Segmented Markets," NBER Working Papers 17295, National Bureau of Economic Research, Inc.
- Aloud, Monira & Tsang, Edward & Olsen, Richard & Dupuis, Alexandre, 2011. "A directional-change events approach for studying financial time series," Economics Discussion Papers, Kiel Institute for the World Economy 2011-28, Kiel Institute for the World Economy.