Report NEP-MST-2018-03-05This 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:
- Lorenzo Camponovo & Yukitoshi Matsushita & Taisuke Otsu, 2018. "Nonparametric Likelihood for Volatility Under High Frequency Data," School of Economics Discussion Papers 0318, School of Economics, University of Surrey.
- Mohammad Davoodalhosseini, 2018. "Adverse Selection with Heterogeneously Informed Agents," Staff Working Papers 18-7, Bank of Canada.
- Kenneth R. Ahern, 2018. "Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades," NBER Working Papers 24297, National Bureau of Economic Research, Inc.
- Marie Chen & Corey Garriott, 2018. "High-Frequency Trading and Institutional Trading Costs," Staff Working Papers 18-8, Bank of Canada.
- Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2018. "High-frequency Cash Flow Dynamics," Working Papers 120, Brandeis University, Department of Economics and International Businesss School.
- Georgios Bampinas & Theodore Panagiotidis & Christina Rouska, 2018. "Volatility persistence and asymmetry under the microscope: The role of information demand for gold and oil," Working Paper series 18-13, Rimini Centre for Economic Analysis.