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Report NEP-MST-2016-04-16
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:
- Gehrig, Thomas & Haas, Marlene, 2016, "Anomalous Trading Prior to Lehman Brothers' Failure," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11194, Mar.
- Carol Osler, 2016, "Dealer Trading at the Fix," Working Papers, Brandeis University, Department of Economics and International Business School, number 101, Mar.
- Pöppe, Thomas, 2016, "Information Asymmetry and Information Dissemination in High-Frequency Capital Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 79756.
- Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi, 2016, "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2033, Mar.
- Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2014, "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1464, Oct.
- Ravi Kashyap, 2016, "The Perfect Marriage and Much More: Combining Dimension Reduction, Distance Measures and Covariance," Papers, arXiv.org, number 1603.09060, Mar, revised Jul 2019.
- Schmitt, Noemi & Westerhoff, Frank, 2016, "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 107.