Report NEP-MST-2014-03-15This 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:
- Faten Ben Slimane & Mohamed Mehanaoui & Irfan A. Kazi, 2014. "Interdependency and Spillover during the Financial Crisis of 2007 to 2009 – Evidence from High Frequency Intraday Data," Working Papers 2014-126, Department of Research, Ipag Business School.
- Damian Eduardo Taranto & Giacomo Bormetti & Fabrizio Lillo, 2014. "The adaptive nature of liquidity taking in limit order books," Papers 1403.0842, arXiv.org, revised Apr 2014.
- José Valentim Machado Vicente & Gustavo Silva Araújo & Paula Baião Fisher De Castro & Felipe Noronha Tavares, 2014. "Assessing Day-To-Day Volatility: Doesthe Trading Time Matter?," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 130, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].