Report NEP-MST-2011-12-13This 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:
- Sugato Chakravarty & Chiraphol N. Chiyachantana & Christine Jiang, 2011. "The Choice Of Trading Venue And Relative Price Impact Of Institutional Trading: Adrs Versus The Underlying Securities In Their Local Markets," Working Papers 1010, Purdue University, Department of Consumer Sciences.
- Nicolas Huth & Fr\'ed\'eric Abergel, 2011. "High Frequency Lead/lag Relationships - Empirical facts," Papers 1111.7103, arXiv.org, revised Jan 2012.
- Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez, 2011. "Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2011-36, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Dimpfl, Thomas & Jank, Stephan, 2011. "Can Internet search queries help to predict stock market volatility?," University of Tuebingen Working Papers in Economics and Finance 18, University of Tuebingen, Faculty of Economics and Social Sciences.
- Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting," MPRA Paper 35252, University Library of Munich, Germany.
- Mizuno, Takayuki & Takei, Kazumasa & Ohnishi, Takaaki & Watanabe, Tsutomu, 2011. "Temporal and Cross Correlations in Business News," Working Paper Series 13, Center for Interfirm Network, Institute of Economic Research, Hitotsubashi University.
- Karen Croxson & J. James Reade, 2011. "Exchange vs Dealers: A High-Frequency Analysis of In-Play Betting Prices," Discussion Papers 11-19, Department of Economics, University of Birmingham.