Report NEP-MST-2007-08-18This 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:
- 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.
- Jin-Chuan Duan & András Fülöp, 2007. "How Frequently Does the Stock Price Jump? – An Analysis of High-Frequency Data with Microstructure Noises," MNB Working Papers 2007/4, Magyar Nemzeti Bank (the central bank of Hungary).
- Joseph K.W. Fung & Haynes H.M. Yung, 2007. "Expiration-Day Effects - An Asian Twist," Working Papers 012007, Hong Kong Institute for Monetary Research.
- Joseph K.W. Fung & Philip Yu, 2007. "Order Imbalance and the Dynamics of Index and Futures Prices," Working Papers 072007, Hong Kong Institute for Monetary Research.