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Report NEP-MST-2012-01-03
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:
- Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2011, "Sunshine trading: Flashes of trading intent at the NASDAQ," Working Paper, Norges Bank, number 2011/17, Dec.
- Takayuki Mizuno & Kazumasa Takei & Takaaki Ohnishi & Tsutomu Watanabe, 2011, "Temporal and Cross Correlations in Business News," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-262, Dec.
- Torben G. Andersen & Oleg Bondarenko, 2011, "VPIN and the Flash Crash," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-50, Oct.
- Miguel Artiach, 2011, "Second-order moments of frequency asymmetric cycles," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2011-27, Dec.
- Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2011, "Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-49, Nov.
- Jonathan Chiu & Thorsten Koeppl, 2011, "Trading Dynamics with Adverse Selection and Search: Market Freeze, Intervention and Recovery," Staff Working Papers, Bank of Canada, number 11-30, DOI: 10.34989/swp-2011-30.
- Cristin Buescu & Michael Taksar & Fatoumata J. Kon'e, 2011, "An application of the method of moments to volatility estimation using daily high, low, opening and closing prices," Papers, arXiv.org, number 1112.4534, Dec.