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Report NEP-MST-2009-11-21
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:
- Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Clara Vega, 2009, "Rise of the machines: algorithmic trading in the foreign exchange market," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 980.
- Álvaro Cartea & Dimitrios Karyampas, 2009, "Volatility and Covariation of Financial Assets: A High-Frequency Analysis," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0913, Oct.
- Dimitrios Vortelinos & Dimitrios Thomakos, 2009, "Realized Volatility and Jumps in the Athens Stock Exchange," Working Papers, University of Peloponnese, Department of Economics, number 00044.
- Dimitrios Vortelinos, 2009, "The Economic Value of Volatility Timing in the Athens Stock Exchange," Working Papers, University of Peloponnese, Department of Economics, number 00046.
- Dimitrios Vortelinos & Dimitrios Thomakos, 2009, "Economic Value of Realized Covariance Forecasts: The European Case," Working Papers, University of Peloponnese, Department of Economics, number 00042.
- Dimitrios Vortelinos, 2009, "Modeling Volatility & Jumps in the Athens Stock Exchange," Working Papers, University of Peloponnese, Department of Economics, number 00043.
- Mikhail Golosov & Guido Lorenzoni & Aleh Tsyvinski, 2009, "Decentralized Trading with Private Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 15513, Nov.
- Piotr Korczak & Kate Phylaktis, 2009, "Related Securities, Allocation of Attention and Price Discovery: Evidence from NYSE-Listed Non-U.S. Stocks," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 09/612, Oct.
- Adriana Korczak & Piotr Korczak & Meziane Lasfer, 2009, "To Trade or Not to Trade: The Strategic Trading of Insiders around News Announcements," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 09/613, Oct.