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Report NEP-MST-2012-01-03
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.Subscribe to this report: email, RSS, or Mastodon.
Other reports in NEP-MST
The following items were announced in this report:
- Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2011. "Sunshine trading: Flashes of trading intent at the NASDAQ," Working Paper 2011/17, Norges Bank.
- Takayuki Mizuno & Kazumasa Takei & Takaaki Ohnishi & Tsutomu Watanabe, 2011. "Temporal and Cross Correlations in Business News," CARF F-Series CARF-F-262, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Torben G. Andersen & Oleg Bondarenko, 2011. "VPIN and the Flash Crash," CREATES Research Papers 2011-50, Department of Economics and Business Economics, Aarhus University.
- Miguel Artiach, 2011. "Second-order moments of frequency asymmetric cycles," Working Papers. Serie AD 2011-27, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2011. "Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX," CREATES Research Papers 2011-49, Department of Economics and Business Economics, Aarhus University.
- Jonathan Chiu & Thorsten Koeppl, 2011. "Trading Dynamics with Adverse Selection and Search: Market Freeze, Intervention and Recovery," Staff Working Papers 11-30, Bank of Canada.
- Cristin Buescu & Michael Taksar & Fatoumata J. Kon'e, 2011. "An application of the method of moments to volatility estimation using daily high, low, opening and closing prices," Papers 1112.4534, arXiv.org.