Report NEP-MST-2014-12-08This 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:
- Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Post-Print halshs-00940251, HAL.
- Philippe De Peretti & Oren Tapiero, 2014. "A GARCH analysis of dark-pool trades," Post-Print hal-00984834, HAL.
- Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014. "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," CFS Working Paper Series 477, Center for Financial Studies (CFS).
- Barunik, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," FinMaP-Working Papers 13, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Nicolas S. Lambert & Michael Ostrovsky & Mikhail Panov, 2014. "Strategic Trading in Informationally Complex Environments," NBER Working Papers 20516, National Bureau of Economic Research, Inc.