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Report NEP-MST-2014-06-28
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:
- Efstathios Panayi & Gareth Peters, 2014, "Survival Models for the Duration of Bid-Ask Spread Deviations," Papers, arXiv.org, number 1406.5487, Jun.
- Adam Clements & Neda Todorova, 2014, "The impact of information flow and trading activity on gold and oil futures volatility," NCER Working Paper Series, National Centre for Econometric Research, number 102, Jun.
- Agarwal, Vikas & Mullally, Kevin Andrew & Tang, Yuehua & Yang, Baozhong, 2014, "Mandatory portfolio disclosure, stock liquidity, and mutual fund performance," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-04 [rev.].
- Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G., 2014, "To disclose or not to disclose: Transparency and liquidity in the structured product market," CFS Working Paper Series, Center for Financial Studies (CFS), number 461.
- Efstathios Panayi & Gareth Peters & Ioannis Kosmidis, 2014, "Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data," Papers, arXiv.org, number 1406.5486, Jun.
- Luisanna Cocco & Giulio Concas & Michele Marchesi, 2014, "Using an Artificial Financial Market for studying a Cryptocurrency Market," Papers, arXiv.org, number 1406.6496, Jun.
- Adam Clements & Yin Liao, 2014, "The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index," NCER Working Paper Series, National Centre for Econometric Research, number 101, Jun.