Report NEP-MST-2011-03-19This 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:
- Fei Ren & Wei-Xing Zhou, 2011. "Analysis of trade packages in Chinese stock market," Papers 1103.1526, arXiv.org.
- Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2010. "The Financial Crisis and Intraday Volatility: Comparative Analysis on China, Japan and the US Stock Markets," Discussion Papers in Economics and Business 10-29-Rev, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP), revised Mar 2011.
- Giovanni Cespa & Xavier Vives, 2011. "Higher Order Expectations, Illiquidity, and Short-term Trading," CSEF Working Papers 276, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Yu-chin Chen & Wen-Jen Tsay, 2011. "Forecasting Commodity Prices with Mixed-Frequency Data: An OLS-Based Generalized ADL Approach," IEAS Working Paper : academic research 11-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised May 2011.
- Song Han & Dan Li, 2011. "The Fragility of Discretionary Liquidity Provision: Lessons from the Collapse of the Auction Rate Securities Market," Working Papers 052011, Hong Kong Institute for Monetary Research.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2011. "Carry Trades and Global Foreign Exchange Volatility," CEPR Discussion Papers 8291, C.E.P.R. Discussion Papers.
- Stephanie Kremer & Dieter Nautz, 2011. "Short-Term Herding of Institutional Traders: New Evidence from the German Stock Market," SFB 649 Discussion Papers SFB649DP2011-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.