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Report NEP-MST-2009-08-16
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:
- Katya Malinova & Andreas Park, 2009, "Intraday Trading Patterns: The Role of Timing," Working Papers, University of Toronto, Department of Economics, number tecipa-365, Aug.
- Gannon, Gerard L., 2009, "Dispersion of information or market behaviour: general public trading in S&P500 Index futures," Working Papers, Deakin University, Department of Economics, number aef_2009_01, Jan.
- Michael T. Chng & Gerard L. Gannon, 2009, "The Trading Performance of Dynamic Hedging Models: Time Varying Covariance and Volatility Transmission Effects," Working Papers, Deakin University, Department of Economics, number 2009_02, Aug.
- Carl Chiarella & Xue-Zhong He & Paolo Pellizzari, 2009, "A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 251, Jul.
- Christian Kascha & Carsten Trenkler, 2009, "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Working Paper, Norges Bank, number 2009/12, Aug.