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Report NEP-MST-2014-08-25
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:
- Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014, "The Random Walk of High Frequency Trading," Papers, arXiv.org, number 1408.3650, Aug, revised Aug 2014.
- Trojan, Sebastian, 2014, "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1425, Aug.
- Yang Chang & Erik Schlogl, 2014, "A Consistent Framework for Modelling Basis Spreads in Tenor Swaps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 348, May.
- Andreas Georgiadis & Alan Manning, 2014, "The Volatility of Earnings: Evidence from High-Frequency Firm-Level Data," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1290, Aug.