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Report NEP-MST-2009-09-26
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:
- Yacine Ait-Sahalia & Jialin Yu, 2009, "High frequency market microstructure noise estimates and liquidity measures," Papers, arXiv.org, number 0906.1444, Jun.
- Terrence Hendershott & Ryan Riordan, 2009, "Algorithmic Trading and Information," Working Papers, NET Institute, number 09-08, Mar, revised Aug 2009.
- Paolo Pellizzari & Frank Westerhoff, 2009, "Some effects of transaction taxes under different microstructures," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 190, Sep.
- Item repec:cfs:cfswop:wp200918 is not listed on IDEAS anymore
- Item repec:hum:wpaper:sfb649dp2009-044 is not listed on IDEAS anymore
- Gao-Feng Gu & Fei Ren & Xiao-Hui Ni & Wei Chen & Wei-Xing Zhou, 2009, "Empirical regularities of opening call auction in Chinese stock market," Papers, arXiv.org, number 0905.0582, May.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009, "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-669, Sep.
- Fei Ren & Gao-Feng Gu & Wei-Xing Zhou, 2009, "Scaling and memory in the return intervals of realized volatility," Papers, arXiv.org, number 0904.1107, Apr, revised Aug 2009.
- Esteban Moro & Javier Vicente & Luis G. Moyano & Austin Gerig & J. Doyne Farmer & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2009, "Market impact and trading profile of large trading orders in stock markets," Papers, arXiv.org, number 0908.0202, Aug.
- Amparo Baillo, 2009, "Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]," Papers, arXiv.org, number 0902.0713, Feb.
- Bence Toth & Janos Kertesz & J. Doyne Farmer, 2009, "Studies of the limit order book around large price changes," Papers, arXiv.org, number 0901.0495, Jan, revised Jun 2009.
- Zoltan Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren, 2009, "The price impact of order book events: market orders, limit orders and cancellations," Papers, arXiv.org, number 0904.0900, Apr, revised Sep 2010.
- A. Zaccaria & M. Cristelli & V. Alfi & F. Ciulla & L. Pietronero, 2009, "Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement," Papers, arXiv.org, number 0906.1387, Jun, revised May 2010.
- Austin Gerig & Javier Vicente & Miguel A. Fuentes, 2009, "Model for Non-Gaussian Intraday Stock Returns," Papers, arXiv.org, number 0906.3841, Jun, revised Dec 2009.
- Daniel J. Fenn & Mason A. Porter & Peter J. Mucha & Mark McDonald & Stacy Williams & Neil F. Johnson & Nick S. Jones, 2009, "Dynamical Clustering of Exchange Rates," Papers, arXiv.org, number 0905.4912, May, revised Apr 2010.