Report NEP-MST-2011-11-01This 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:
- Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2011. "Dark Pool Trading Strategies," Working Papers 421, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Fei Ren & Li-Xin Zhong, 2011. "Price impact asymmetry of institutional trading in Chinese stock market," Papers 1110.3133, arXiv.org.
- Samuel N. Cohen & Lukasz Szpruch, 2011. "A limit order book model for latency arbitrage," Papers 1110.4811, arXiv.org.
- Tian Qiu & Guang Chen & Li-Xin Zhong & Xiao-Run Wu, 2011. "Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market," Papers 1110.4455, arXiv.org.
- Dan Li & Geng Li, 2011. "Belief dispersion among household investors and stock trading volume," Finance and Economics Discussion Series 2011-39, Board of Governors of the Federal Reserve System (U.S.).
- Estelle Cantillon & Pai-Ling Yin, 2011. "Competition between Exchanges: A research Agenda," ULB Institutional Repository 2013/99386, ULB -- Universite Libre de Bruxelles.
- Blanchard, michel & Bernard, philippe, 2011. "The performance of amateur traders on a public internet site: a case of a stock-exchange contest," MPRA Paper 34304, University Library of Munich, Germany.
- Evan Hurwitz & Tshilidzi Marwala, 2011. "Suitability of using technical indicators as potential strategies within intelligent trading systems," Papers 1110.3383, arXiv.org.
- Martin Grossmann, 2011. "Endogenous Liquidity Constraints in a Dynamic Contest," Working Papers 0148, University of Zurich, Institute for Strategy and Business Economics (ISU).
- Federico Garzarelli & Matthieu Cristelli & Andrea Zaccaria & Luciano Pietronero, 2011. "Memory effects in stock price dynamics: evidences of technical trading," Papers 1110.5197, arXiv.org.
- Diederik Aerts & Bart D'Hooghe & Sandro Sozzo, 2011. "A Quantum-like Approach to the Stock Market," Papers 1110.5350, arXiv.org.