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Report NEP-MST-2013-11-29
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:
- Pham, Thu Phuong & Westerholm, P. Joakim, 2013, "An international trend in market design: Endogenous effects of limit order book transparency on volatility, spreads, depth and volume," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 17210, Oct, revised 16 Oct 2013.
- Pham, Thu Phuong, 2013, "Broker ID Transparency and Price Impact of Trades: Evidence from the Korean Exchange," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 17211, Oct, revised 16 Oct 2013.
- Pham, Thu Phuong & Westerholm, P. Joakim, 2013, "A survey of research into broker identity and limit order book," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 17212, Oct, revised 16 Oct 2013.
- Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013, "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2013-36.
- Ioane Muni Toke, 2013, "The order book as a queueing system: average depth and influence of the size of limit orders," Papers, arXiv.org, number 1311.5661, Nov.
- Baumeister, Christiane & Guérin, Pierre & Kilian, Lutz, 2013, "Do high-frequency financial data help forecast oil prices? The MIDAS touch at work," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/22.