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Report NEP-MST-2014-11-07
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:
- J. Dugast & T. Foucault, 2014, "False News, Informational Efficiency, and Price Reversals," Working papers, Banque de France, number 513.
- Ulrich Hounyo, 2014, "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-35, Oct.
- Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2014, "Volatility is rough," Papers, arXiv.org, number 1410.3394, Oct.
- Martin T. Bohl & Jeanne Diesteldorf & Christian A. Salm & Bernd Wilfling, 2014, "Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 3514, Oct.
- Martin Evans, 2014, "Forex Trading and the WMR Fix," Working Papers, Georgetown University, Department of Economics, number gueconwpa~14-14-03, Aug.