Report NEP-MST-2011-09-05This 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:
- Nikolaus Hautsch & Ruihong Huang, 2011. "Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data," SFB 649 Discussion Papers SFB649DP2011-056, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Nidhi Aggarwal & Susan Thomas, 2011. "When do stock futures dominate price discovery," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-016, Indira Gandhi Institute of Development Research, Mumbai, India.
- Thomas Dimpfl & Robert Jung, 2011. "Financial market spillovers around the globe," Global Financial Markets Working Paper Series 20-2011, Friedrich-Schiller-University Jena.
- Paresh Kumar Narayan & Xinwei Zheng & Zhichao Zhang, 2011. "Some hypothesis on commonality in liquidity: New evidence from the Chinese stock market," Financial Econometics Series 2011_11, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- Item repec:wdi:papers:2010-1020 is not listed on IDEAS anymore