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Report NEP-MST-2010-07-10
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:
- Reginald D. Smith, 2010, "Is high-frequency trading inducing changes in market microstructure and dynamics?," Papers, arXiv.org, number 1006.5490, Jun, revised Sep 2010.
- Ajay Pandey & Sobhesh Kumar Agarwalla, 2010, "Price Impact of Block Trades and Price Behavior Surrounding Block Trades in Indian Capital Market," Working Papers, eSocialSciences, number id:2618, Jun.
- Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2010, "Why do firms pay for liquidity provision in limit order markets?," Working Paper, Norges Bank, number 2010/12, Jun.
- Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2010, "The conditional autoregressive wishart model for multivariate stock market volatility," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2010-07.