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Jeremy Houston Large
Personal Details
| First Name: | Jeremy |
| Middle Name: | Houston |
| Last Name: | Large |
| Suffix: | |
| RePEc Short-ID: | pla212 |
| [This author has chosen not to make the email address public] | |
| http://www.economics.ox.ac.uk/members/jeremy.large/ | |
Affiliation
Department of Economics
Oxford University
Oxford, United Kingdomhttp://www.economics.ox.ac.uk/
RePEc:edi:sfeixuk (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Field, Jonathan & Large, Jeremy, 2008. "Pro-rata matching and one-tick futures markets," CFS Working Paper Series 2008/40, Center for Financial Studies (CFS).
- Jeremy Large & Thomas Norman, 2008. "Ergodic Equilibria in Stochastic Sequential Games," Economics Series Working Papers 405, University of Oxford, Department of Economics.
- Jeremy Large, 2007.
"Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment,"
Economics Series Working Papers
340, University of Oxford, Department of Economics.
- Large, Jeremy, 2011. "Estimating quadratic variation when quoted prices change by a constant increment," Journal of Econometrics, Elsevier, vol. 160(1), pages 2-11, January.
- Jeremy Large, 2006.
"A Market-Clearing Role for Inefficiency on a Limit Order Book,"
Economics Papers
2006-W08, Economics Group, Nuffield College, University of Oxford.
- Large, Jeremy, 2009. "A market-clearing role for inefficiency on a limit order book," Journal of Financial Economics, Elsevier, vol. 91(1), pages 102-117, January.
- Jeremy Large, 2005.
"Estimating quadratic variation when quoted prices jump by a constant increment,"
Economics Papers
2005-W05, Economics Group, Nuffield College, University of Oxford.
- Jeremy Large, 2005. "Estimating Quadratic Variation When Quoted Prices Jump by a Constant Increment," Economics Series Working Papers 2005-FE-05, University of Oxford, Department of Economics.
- Jeremy Large, 2005. "Estimating quadratic variation when quoted prices jump by a constant increment," OFRC Working Papers Series 2005fe05, Oxford Financial Research Centre.
- Jeremy Large, 2004.
"Cancellation and Uncertainty Aversion on Limit Order Books,"
Economics Papers
2004-W05, Economics Group, Nuffield College, University of Oxford.
- Jeremy Large, 2004. "Cancellation and uncertainty aversion on limit order books," OFRC Working Papers Series 2004fe04, Oxford Financial Research Centre.
- Jeremy Large, 2004. "Cancellation and uncertainty aversion on limit order books," Economics Series Working Papers 2004-FE-04, University of Oxford, Department of Economics.
Articles
- Large, Jeremy, 2011.
"Estimating quadratic variation when quoted prices change by a constant increment,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 2-11, January.
- Jeremy Large, 2007. "Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment," Economics Series Working Papers 340, University of Oxford, Department of Economics.
- Large, Jeremy, 2009.
"A market-clearing role for inefficiency on a limit order book,"
Journal of Financial Economics, Elsevier, vol. 91(1), pages 102-117, January.
- Jeremy Large, 2006. "A Market-Clearing Role for Inefficiency on a Limit Order Book," Economics Papers 2006-W08, Economics Group, Nuffield College, University of Oxford.
- Peter Hansen & Jeremy Large & Asger Lunde, 2008. "Moving Average-Based Estimators of Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 79-111.
- Large, Jeremy, 2007. "Measuring the resiliency of an electronic limit order book," Journal of Financial Markets, Elsevier, vol. 10(1), pages 1-25, February.
More information
Research fields, statistics, top rankings, if available.Statistics
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (3) 2005-07-03 2006-03-18 2007-08-18
- NEP-FIN: Finance (3) 2004-02-08 2004-02-29 2006-08-12
- NEP-FMK: Financial Markets (3) 2004-02-08 2004-02-29 2006-08-12
- NEP-MST: Market Microstructure (2) 2006-08-12 2007-08-18
- NEP-CFN: Corporate Finance (1) 2006-03-18
- NEP-GTH: Game Theory (1) 2008-10-13
- NEP-MIC: Microeconomics (1) 2004-02-29
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