Report NEP-MST-2013-01-26

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:

• Lescourret, Laurence, 2012. "Non-Fundamental Information and Market-Makers' Behavior during the NASDAQ Preopening Session," ESSEC Working Papers WP1212, ESSEC Research Center, ESSEC Business School.
• Sylvain Delattre & Christian Y. Robert & Mathieu Rosenbaum, 2013. "Estimating the efficient price from the order flow: a Brownian Cox process approach," Papers 1301.3114, arXiv.org, revised Apr 2013.
• Oscar Bernal Diaz & Astrid Herinckx & Ariane Szafarz, 2013. "Which Short-Selling Regulation is the Least Damaging to Market Efficiency? Evidence from Europe," Working Papers CEB 13-001, ULB -- Universite Libre de Bruxelles.
• René Garcia & Daniel Mantilla-Garcia & Lionel Martellini, 2013. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," CIRANO Working Papers 2013s-01, CIRANO.