Report NEP-MST-2011-06-11

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:

• John Cotter, 2011. "Uncovering Long Memory in High Frequency UK Futures," Working Papers 200414, Geary Institute, University College Dublin.
• Katarzyna Bien, 2011. "Informed and Uninformed Trading in the EUR/PLN Spot Market," Working Papers 53, Department of Applied Econometrics, Warsaw School of Economics.
• Reiß, Markus, 2011. "Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise," SFB 649 Discussion Papers 2011-028, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Ferdinand Graf, 2011. "Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets," Working Paper Series of the Department of Economics, University of Konstanz 2011-18, Department of Economics, University of Konstanz.
• Andrea Monticini & Francesco Ravazzolo, 2011. "Forecasting the intraday market price of money," Working Paper 2011/06, Norges Bank.
• Les Coleman & Adi Schnytzer, 2011. "Shorting the Bear: A Test of Anecdotal Evidence of Insider Trading in Early Stages of the Sub-Prime Market Crisis," Working Papers 2011-11, Bar-Ilan University, Department of Economics.