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Report NEP-MST-2011-04-09
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:
- Francis Breedon & Angelo Ranaldo, 2011, "Intraday patterns in FX returns and order flow," Working Papers, Swiss National Bank, number 2011-04.
- john cotter & kevin dowd, 2011, "Intra-Day Seasonality in Foreign Exchange Market Transactions," Papers, arXiv.org, number 1103.5664, Mar.
- Guglielmo D'Amico & Filippo Petroni, 2011, "A semi-Markov model for price returns," Papers, arXiv.org, number 1103.6143, Mar.
- John Cotter & Franc{c}ois Longin, 2011, "Margin setting with high-frequency data1," Papers, arXiv.org, number 1103.5412, Mar.
- Massimiliano Marzo & Paolo Zagaglia, 2011, "Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run," Working Paper series, Rimini Centre for Economic Analysis, number 20_11, Mar.
- Rohini Grover & Susan Thomas, 2011, "Liquidity considerations in estimating implied volatility," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2011-006, Mar.
- Jörg Rieger & Kirsten Rüchardt & Bodo Vogt, 2011, "Arbitrage opportunities between NYSE and XETRA?: A comparison of simulation and high frequency data," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 110005, Mar.
- John Cotter, 2011, "Uncovering Long Memory in High Frequency UK Futures," Papers, arXiv.org, number 1103.5651, Mar.
- John Cotter, 2011, "Minimum Capital Requirement Calculations for UK Futures," Papers, arXiv.org, number 1103.5416, Mar.
- john cotter & kevin dowd, 2011, "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," Papers, arXiv.org, number 1103.5661, Mar.