Report NEP-MST-2009-11-27

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Foucault, Thierry & Kandel, Eugene & Kadan, Ohad, 2009. "Liquidity cycles and make/take fees in electronic markets," CEPR Discussion Papers 7551, C.E.P.R. Discussion Papers.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," NBER Working Papers 15533, National Bureau of Economic Research, Inc.
• Pagano, Marco & Beber, Alessandro, 2009. "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," CEPR Discussion Papers 7557, C.E.P.R. Discussion Papers.
• Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CIRJE F-Series CIRJE-F-686, CIRJE, Faculty of Economics, University of Tokyo.
• Cyril Monnet & Ted Temzelides & Thorsten V. Koeppl, 2009. "Optimal Clearing Arrangements For Financial Trades," Working Paper 1222, Economics Department, Queen's University.
• Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2009. "Dynamic Trading with Predictable Returns and Transaction Costs," CEPR Discussion Papers 7392, C.E.P.R. Discussion Papers.