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Report NEP-MST-2009-04-05
This 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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Menkhoff, Lukas & Schmeling, Maik, 2009, "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-415, Aug.
- Peter Reinhard Hansen & Guillaume Horel, 2009, "Quadratic Variation by Markov Chains," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-13, Mar.
- Alva, Kenedy & Romo, Juan & Ruiz Ortega, Esther, 2009, "Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws092809, Mar.
- V. Lewis & A. Markiewicz, 2009, "Model Misspecification, Learning and the Exchange Rate Disconnect Puzzle," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 09/563, Mar.