Report NEP-MST-2011-03-12This 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:
- J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck, 2011. "How efficiency shapes market impact," Papers 1102.5457, arXiv.org, revised Sep 2013.
- Ingrid Lo & Stephen Sapp, 2011. "Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market," Staff Working Papers 11-8, Bank of Canada.
- Fuzhou Gong & Hong Liu, 2011. "Inside Trading, Public Disclosure and Imperfect Competition," Papers 1103.0894, arXiv.org.
- Song Han & Hao Zhou, 2011. "Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Working Papers 022011, Hong Kong Institute for Monetary Research.
- Steffen Ahrens & Stephen Sacht, 2011. "Estimating a High-Frequency New-Keynesian Phillips Curve," Kiel Working Papers 1686, Kiel Institute for the World Economy.