Report NEP-MST-2010-11-20This 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:
- Ralf Becker & Adam Clements, 2010. "Volatility and the role of order book structure," NCER Working Paper Series 64, National Centre for Econometric Research.
- Mardi Dungey & Lyudmyla Hvozdyk, 2010. "Cojumping: Evidence from the US Treasury Bond and Futures Markets," NCER Working Paper Series 56, National Centre for Econometric Research, revised 20 Jul 2010.