Report NEP-MST-2015-08-30This 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:
- Yoshihiro Yura & Hideki Takayasu & Didier Sornette & Misako Takayasu, 2015. "Financial Knudsen number: breakdown of continuous price dynamics and asymmetric buy and sell structures confirmed by high precision order book information," Papers 1508.06024, arXiv.org.
- Georgiana-Denisa Banulescu & Bertrand Candelon & Christophe Hurlin & Sébastien Laurent, 2014. "Do We Need Ultra-High Frequency Data to Forecast Variances?," Working Papers halshs-01078158, HAL.
- Gehde-Trapp, Monika & Gündüz, Yalin & Nasev, Julia, 2015. "The liquidity premium in CDS transaction prices: Do frictions matter?," CFR Working Papers 12-12 [rev.2], University of Cologne, Centre for Financial Research (CFR).
- Daniel Martin Katz & Michael J Bommarito II & Tyler Soellinger & James Ming Chen, 2015. "Law on the Market? Abnormal Stock Returns and Supreme Court Decision-Making," Papers 1508.05751, arXiv.org, revised May 2017.
- Fuess, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael, 2015. "Something in the Air: Information Density, News Surprises, and Price Jumps," Working Papers on Finance 1517, University of St. Gallen, School of Finance.