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Report NEP-MST-2010-09-25
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:
- Gabriele La Spada & J. Doyne Farmer & Fabrizio Lillo, 2010, "Tick size and price diffusion," Papers, arXiv.org, number 1009.2329, Sep, revised Oct 2010.
- Jan Novotny, 2010, "Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp412, Aug.
- Jean-Philippe Bouchaud, 2010, "The endogenous dynamics of markets: price impact and feedback loops," Papers, arXiv.org, number 1009.2928, Sep.
- Dobrislav Dobrev & Pawel J. Szerszen, 2010, "The information content of high-frequency data for estimating equity return models and forecasting risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2010-45.
- Rasmus Fatum & Jesper Pedersen & Peter Norman Sorensen, 2010, "Are the intraday effects of central bank intervention on exchange rate spreads asymmetric and state dependent?," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 59.
- James Vickery & Joshua Wright, 2010, "TBA trading and liquidity in the agency MBS market," Staff Reports, Federal Reserve Bank of New York, number 468.