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Report NEP-MST-2015-01-09
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:
- Herrmann, Klaus & Teis, Stefan & Yu, Weijun, 2014, "Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 15/2014.
- Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo, 2014, "Optimal execution with nonlinear transient market impact," Papers, arXiv.org, number 1412.4839, Dec.
- Xuefeng Gao & S. J. Deng, 2014, "Hydrodynamic limit of order book dynamics," Papers, arXiv.org, number 1411.7502, Nov, revised Feb 2016.
- Dan Li & Norman Schurhoff, 2014, "Dealer Networks," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-95, Nov.
- Giovanni Cespa & Xavier Vives, 2014, "The Beauty Contest and Short-Term Trading," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 383, Nov.
- Michael Bleaney & Spiros Bougheas & Zhiyong Li, 2014, "Do Psychological Fallacies Influence Trading in Financial Markets? Evidence from the Foreign Exchange Market," Discussion Papers, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham, number 2014-17.
- Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014, "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-48, Dec.