Report NEP-MST-2015-04-25This 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:
- Albert J. Menkveld & Marius A. Zoican, 2014. "Need for Speed? Exchange Latency and Liquidity," Tinbergen Institute Discussion Papers 14-097/IV, Tinbergen Institute.
- Sait Ozturk & Michel van der Wel, 2014. "Intraday Price Discovery in Fragmented Markets," Tinbergen Institute Discussion Papers 14-027/III, Tinbergen Institute.
- Potter, Simon M., 2015. "Challenges posed by the evolution of the Treasury market," Speech 162, Federal Reserve Bank of New York.
- Katsumasa Nishide & Yuan Tian, 2015. "Auction versus Dealership Markets: Impact of Proprietary Trading with Transaction Fees," KIER Working Papers 922, Kyoto University, Institute of Economic Research.
- Marcin Wojtowicz, 2014. "The Determinants of CDS Bid-ask Spreads," Tinbergen Institute Discussion Papers 14-138/IV/ DSF82, Tinbergen Institute.
- Matthias Raddant & Friedrich Wagner, 2015. "Transitions in the Stock Markets of the US, UK, and Germany," Papers 1504.06113, arXiv.org.
- David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized Volatility Risk," Tinbergen Institute Discussion Papers 13-092/III, Tinbergen Institute.
- Siem Jan Koopman & Rutger Lit & André Lucas, 2015. "Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions," Tinbergen Institute Discussion Papers 15-037/III/DSF90, Tinbergen Institute.