Report NEP-MST-2011-11-21

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:

• George Tauchen, 2011. "Levy Process Models for High Frequency Financial Data," Working Papers 11-22, Duke University, Department of Economics.
• Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt, 2011. "Insider trading with partially informed traders," Discussion Papers 2011/21, Norwegian School of Economics, Department of Business and Management Science.
• Yacine Ait-Sahalia & Jianqing Fan & Yingying Li, 2011. "The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency," NBER Working Papers 17592, National Bureau of Economic Research, Inc.
• Hasan, Syed Akif & Subhani, Muhammad Imtiaz, 2011. "Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions)," MPRA Paper 34736, University Library of Munich, Germany, revised 2011.