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Report NEP-MST-2010-01-16
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:
- Julien Chevallier & Benoît Sévi, 2009, "On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting," Working Papers, Fondazione Eni Enrico Mattei, number 2009.113, Dec.
- Mancino Maria Elvira & Simona Sanfelici, 2009, "Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2009-09, Dec.
- Al Janabi, Mazin A. M., 2009, "Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios," MPRA Paper, University Library of Munich, Germany, number 19498, May.
- Bolgun, Evren & Kurun, Engin & Guven, Serhat, 2009, "Dynamic Pairs Trading Strategy For The Companies Listed In The Istanbul Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 19887, Oct.
- Leilei Shi, 2010, "Does Security Transaction Volume-Price Behavior Resemble a Probability Wave?," Papers, arXiv.org, number 1001.0880, Jan.
- Kaplan, Steven N. & Moskowitz, Tobias J. & Sensoy, Berk A., 2009, "The Effects of Stock Lending on Security Prices: An Experiment," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2009-20, Jul.