Report NEP-MST-2015-02-05This 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:
- Georgiadis, Andreas & Manning, Alan, 2014. "The volatility of earnings: evidence from high-frequency firm-level data," LSE Research Online Documents on Economics 60443, London School of Economics and Political Science, LSE Library.
- Patrick Steffen Michelberger & Jan Hendrik Witte, 2015. "Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix," Papers 1501.07778, arXiv.org, 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 30/14, Monash University, Department of Econometrics and Business Statistics.
- Ferrarini, Guido & Saguato, Paolo, 2014. "Regulating financial market infrastructures," LSE Research Online Documents on Economics 59683, London School of Economics and Political Science, LSE Library.
- Christophe Michel & Victor Reutenauer & Denis Talay & Etienne Tanr'e, 2015. "Liquidity costs: a new numerical methodology and an empirical study," Papers 1501.07404, arXiv.org, revised Dec 2015.