Report NEP-MST-2014-11-07This 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:
- J. Dugast & T. Foucault, 2014. "False News, Informational Efficiency, and Price Reversals," Working papers 513, Banque de France.
- Ulrich Hounyo, 2014. "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers 2014-35, Department of Economics and Business Economics, Aarhus University.
- Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2014. "Volatility is rough," Papers 1410.3394, arXiv.org.
- 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 3514, Center for Quantitative Economics (CQE), University of Muenster.
- Martin Evans, 2014. "Forex Trading and the WMR Fix," Working Papers gueconwpa~14-14-03, Georgetown University, Department of Economics.