Report NEP-MST-2011-07-27This 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:
- John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Working Papers 200418, Geary Institute, University College Dublin.
- Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System," Discussion Papers of DIW Berlin 1139, DIW Berlin, German Institute for Economic Research.
- Zoltan Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren, 2011. "Models for the impact of all order book events," Papers 1107.3364, arXiv.org.
- Michele Tumminello & Fabrizio Lillo & Jyrki Piilo & Rosario N. Mantegna, 2011. "Identification of clusters of investors from their real trading activity in a financial market," Papers 1107.3942, arXiv.org.