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Report NEP-MST-2012-06-25
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:
- Nikola Gradojevic & Camillo Lento, 2012, "Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability," Working Paper series, Rimini Centre for Economic Analysis, number 31_12, Jun.
- Neil Shephard & Dacheng Xiu, 2012, "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2012-W04, Apr.
- Mauricio Labadie & Charles-Albert Lehalle, 2012, "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers, HAL, number hal-00705056, May.
- Godfrey Charles-Cadogan, 2012, "Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets," Papers, arXiv.org, number 1206.2662, Jun.
- 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, Agricultural and Applied Economics Association, number 124994, DOI: 10.22004/ag.econ.124994.
- Wang, Xiaoyang & Garcia, Philip & Irwin, Scott H., , "Intraday Bid Ask Spread Variation in the Electronically Traded Corn Futures Market," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association, number 124899, DOI: 10.22004/ag.econ.124899.
- 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, Agricultural and Applied Economics Association, number 125024, DOI: 10.22004/ag.econ.125024.
- 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, School of Economics, University of Queensland, Australia, number 466.
- Jakub Steiner & Colin Stewart, 2012, "Price Distortions in High-Frequency Markets," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science, number 1549, May.