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Jeremy Houston Large

Personal Details

First Name:Jeremy
Middle Name:Houston
Last Name:Large
Suffix:
RePEc Short-ID:pla212
[This author has chosen not to make the email address public]
http://www.economics.ox.ac.uk/members/jeremy.large/

Affiliation

(50%) Department of Economics
Oxford University

Oxford, United Kingdom
http://www.economics.ox.ac.uk/

:

Manor Rd. Building, Oxford, OX1 3UQ
RePEc:edi:sfeixuk (more details at EDIRC)

(50%) Finance Research Centre
Oxford University

Oxford, United Kingdom
http://www.finance.ox.ac.uk/

:


RePEc:edi:frcoxuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jeremy Large & Thomas Norman, 2008. "Ergodic Equilibria in Stochastic Sequential Games," Economics Series Working Papers 405, University of Oxford, Department of Economics.
  2. Jeremy Large, 2007. "Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment," Economics Series Working Papers 340, University of Oxford, Department of Economics.
  3. Jeremy Large, 2006. "A Market-Clearing Role for Inefficiency on a Limit Order Book," Economics Papers 2006-W08, Economics Group, Nuffield College, University of Oxford.
  4. Jeremy Large, 2005. "Estimating quadratic variation when quoted prices jump by a constant increment," Economics Papers 2005-W05, Economics Group, Nuffield College, University of Oxford.
  5. Jeremy Large, 2004. "Cancellation and Uncertainty Aversion on Limit Order Books," Economics Papers 2004-W05, Economics Group, Nuffield College, University of Oxford.

Articles

  1. Large, Jeremy, 2011. "Estimating quadratic variation when quoted prices change by a constant increment," Journal of Econometrics, Elsevier, vol. 160(1), pages 2-11, January.
  2. Large, Jeremy, 2009. "A market-clearing role for inefficiency on a limit order book," Journal of Financial Economics, Elsevier, vol. 91(1), pages 102-117, January.
  3. Peter Hansen & Jeremy Large & Asger Lunde, 2008. "Moving Average-Based Estimators of Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 79-111.
  4. Large, Jeremy, 2007. "Measuring the resiliency of an electronic limit order book," Journal of Financial Markets, Elsevier, vol. 10(1), pages 1-25, February.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (3) 2005-07-03 2006-03-18 2007-08-18
  2. NEP-FIN: Finance (3) 2004-02-08 2004-02-29 2006-08-12
  3. NEP-FMK: Financial Markets (3) 2004-02-08 2004-02-29 2006-08-12
  4. NEP-MST: Market Microstructure (2) 2006-08-12 2007-08-18
  5. NEP-CFN: Corporate Finance (1) 2006-03-18
  6. NEP-GTH: Game Theory (1) 2008-10-13
  7. NEP-MIC: Microeconomics (1) 2004-02-29

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