Report NEP-MST-2007-10-06This 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:
- Alain P. Chaboud & Sergey V. Chernenko & Jonathan H. Wright, 2007. "Trading activity and exchange rates in high-frequency EBS data," International Finance Discussion Papers 903, Board of Governors of the Federal Reserve System (U.S.).
- Darmoul Mokhtar & Nizar Harrathi, 2007. "Monetary information arrivals and intraday exchange rate volatility : A comparison of the GARCH and the EGARCH models," Documents de travail du Centre d'Economie de la Sorbonne bla07035, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2007. "The microstructure of cross-autocorrelations," Staff Reports 303, Federal Reserve Bank of New York.
- James McCulloch & Vladimir Kazakov, 2007. "Optimal VWAP Trading Strategy and Relative Volume," Research Paper Series 201, Quantitative Finance Research Centre, University of Technology, Sydney.
- Matthias Klaes & Geoff Lightfoot & Simon Lilley, 2007. "Market masculinities and electronic trading," SCEME Working Papers: Advances in Economic Methodology 014/2007, SCEME.
- Buti, Sabrina, 2007. "A Challenger to the Limit Order Book: The NYSE Specialist," SIFR Research Report Series 55, Institute for Financial Research.