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Report NEP-MST-2015-02-05
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:
- Georgiadis, Andreas & Manning, Alan, 2014, "The volatility of earnings: evidence from high-frequency firm-level data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60443, Aug.
- Patrick Steffen Michelberger & Jan Hendrik Witte, 2015, "Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix," Papers, arXiv.org, number 1501.07778, Jan, revised Feb 2016.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014, "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 30/14.
- Ferrarini, Guido & Saguato, Paolo, 2014, "Regulating financial market infrastructures," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 59683, Jun.
- Christophe Michel & Victor Reutenauer & Denis Talay & Etienne Tanr'e, 2015, "Liquidity costs: a new numerical methodology and an empirical study," Papers, arXiv.org, number 1501.07404, Jan, revised Dec 2015.