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Report NEP-MST-2013-07-28
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:
- Mehdi Lallouache & Fr'ed'eric Abergel, 2013, "Tick Size Reduction and Price Clustering in a FX Order Book," Papers, arXiv.org, number 1307.5440, Jul, revised Sep 2014.
- Huimin Chung & Cheng Gao & Jie Lu & Bruce Mizrach, 2013, "An Empirical Analysis of the Shanghai and Shenzhen Limit Order Books," Departmental Working Papers, Rutgers University, Department of Economics, number 201319, Jul.
- Cheng Gao & Bruce Mizrach, 2013, "High Frequency Trading in the Equity Markets During U.S. Treasury POMO," Departmental Working Papers, Rutgers University, Department of Economics, number 201320, Jul.
- Cheng Gao & Bruce Mizrach, 2013, "Market Quality Breakdowns in Equities," Departmental Working Papers, Rutgers University, Department of Economics, number 201318, Jul.
- Marc CHESNEY & Remo CRAMERI & Loriano MANCINI, 2011, "Detecting Informed Trading Activities in the Options Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-42, Sep.
- Jie Lu & Bruce Mizrach, 2013, "Strategic Interaction in A Stock Trading Chat Room," Departmental Working Papers, Rutgers University, Department of Economics, number 201317, Jul.
- Krenar Avdulaj & Jozef Barunik, 2013, "Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data," Papers, arXiv.org, number 1307.5981, Jul, revised Feb 2015.
- Pierre BAJGROWICZ & Olivier SCAILLET, 2011, "We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-36, May.
- Marc CHESNEY & Remo CRAMERI & Loriano MANCINI, 2011, "Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-38, Sep.
- René M. Stulz & Dimitrios Vagias & Mathijs A. van Dijk, 2013, "Do Firms Issue more equity when markets are more liquid?," NBER Working Papers, National Bureau of Economic Research, Inc, number 19229, Jul.
- Emi Nakamura & Jón Steinsson, 2013, "High Frequency Identification of Monetary Non-Neutrality: The Information Effect," NBER Working Papers, National Bureau of Economic Research, Inc, number 19260, Jul.