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Report NEP-MST-2014-10-03
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, "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory, number 2014-05, Aug.
- Edouard Challe & Edouard Chretien, 2014, "Market composition and price informativeness in a large market with endogenous order types," Working Papers, HAL, number hal-01060216, Sep.
- Peter Christoffersen & Asger Lunde & Kasper V. Olesen, 2014, "Factor Structure in Commodity Futures Return and Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-31, Sep.
- Kei Kawakami, 2014, "Information Aggregation and Optimal Market Size," Department of Economics - Working Papers Series, The University of Melbourne, number 1182.