Report NEP-MST-2008-01-12This 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:
- Fagan, Stephen & Gencay, Ramazan, 2008. "Liquidity-Induced Dynamics in Futures Markets," MPRA Paper 6677, University Library of Munich, Germany.
- Lorán Chollete & Randi Næs & Johannes A. Skjeltorp, 2007. "What captures liquidity risk? A comparison of trade and order based liquidity factors," Working Paper 2007/03, Norges Bank.
- Keiko Yamaguchi, 2008. "Testing for the presence of noise in long memory processes [in Japanese]," Hi-Stat Discussion Paper Series d07-230, Institute of Economic Research, Hitotsubashi University.