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Report NEP-MST-2014-11-28
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:
- Cebiroglu, Gökhan & Hautsch, Nikolaus & Horst, Ulrich, 2014, "Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?," CFS Working Paper Series, Center for Financial Studies (CFS), number 468.
- Songzi Du & Haoxiang Zhu, 2014, "Welfare and Optimal Trading Frequency in Dynamic Double Auctions," NBER Working Papers, National Bureau of Economic Research, Inc, number 20588, Oct.
- Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon, 2014, "The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2014-71, Nov.
- Starr, Ross M., 2014, "Liquidity Creates Money and Debt: An Intertemporal Linear Trading Post Model," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt1vk1k4fm, Nov.
- Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2014, "Short-Term Price Overreaction: Identification, Testing, Exploitation," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1423.
- Simone Cirillo & Stefan Lloyd & Peter Nordin, 2014, "Evolving intraday foreign exchange trading strategies utilizing multiple instruments price series," Papers, arXiv.org, number 1411.2153, Nov.
- Baruník, Jozef & Vácha, Lukáš, 2014, "Realized wavelet-based estimation of integrated variance and jumps in the presence of noise," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 16.