Report NEP-MST-2010-11-13This 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.
The following items were announced in this report:
- Iacopo Mastromatteo & Matteo Marsili & Patrick Zoi, 2010. "Financial correlations at ultra-high frequency: theoretical models and empirical estimation," Papers 1011.1011, arXiv.org, revised Feb 2011.
- Matthew S. Yiu & Joseph K. W. Fung & Lu Jin & Wai-Yip Alex Ho, 2010. "Liquidity Crunch in Late 2008: High-Frequency Differentials between Forward-Implied Funding Costs and Money Market Rates," Working Papers 262010, Hong Kong Institute for Monetary Research.
- Yuliya Lovcha & Alejandro Perez-Laborda, 2010. "Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market," MNB Working Papers 2010/10, Magyar Nemzeti Bank (Central Bank of Hungary).
- Takero Ibuki & Jun-ichi Inoue, 2010. "Response of double-auction markets to instantaneous Selling-Buying signals with stochastic Bid-Ask spread," Papers 1011.0748, arXiv.org, revised Mar 2011.