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Report NEP-MST-2011-11-21
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:
- George Tauchen, 2011, "Levy Process Models for High Frequency Financial Data," Working Papers, Duke University, Department of Economics, number 11-22.
- Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt, 2011, "Insider trading with partially informed traders," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2011/21, Nov.
- Yacine Ait-Sahalia & Jianqing Fan & Yingying Li, 2011, "The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency," NBER Working Papers, National Bureau of Economic Research, Inc, number 17592, Nov.
- Hasan, Syed Akif & Subhani, Muhammad Imtiaz, 2011, "Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions)," MPRA Paper, University Library of Munich, Germany, number 34736, revised 2011.