Report NEP-MST-2012-06-25This 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:
- Nikola Gradojevic & Camillo Lento, 2012. "Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability," Working Paper Series 31_12, The Rimini Centre for Economic Analysis.
- Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Papers 2012-W04, Economics Group, Nuffield College, University of Oxford.
- Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers hal-00705056, HAL.
- Godfrey Charles-Cadogan, 2012. "Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets," Papers 1206.2662, arXiv.org.
- Janzen, Joseph P. & Carter, Colin A. & Smith, Aaron D., 2012. "The Quality of Price Discovery and the Transition to Electronic Trade: The Case of Cotton Futures," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124994, Agricultural and Applied Economics Association.
- Wang, Xiaoyang & Garcia, Philip & Irwin, Scott H., 2012. "Intraday Bid Ask Spread Variation in the Electronically Traded Corn Futures Market," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124899, Agricultural and Applied Economics Association.
- Janzen, Joseph P. & Smith, Aaron D. & Carter, Colin A., 2012. "The Quality of Price Discovery and the Transition to Electronic Trade: The Case of Cotton Futures," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 125024, Agricultural and Applied Economics Association.
- Phillip Wild & John Foster, 2012. "On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data," Discussion Papers Series 466, School of Economics, University of Queensland, Australia.
- Jakub Steiner & Colin Stewart, 2012. "Price Distortions in High-Frequency Markets," Discussion Papers 1549, Northwestern University, Center for Mathematical Studies in Economics and Management Science.