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Report NEP-MST-2014-01-24
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:
- Raphael Flepp & Stephan Nüesch & Egon Franck, 2013. "Liquidity, Market Efficiency and the Influence of Noise Traders: Quasi-Experimental Evidence from the Betting Industry," Working Papers 341, University of Zurich, Department of Business Administration (IBW).
- Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2014. "Intraday Return and Volatility Spillover Mechanism from Chinese to Japanese Stock Market," Discussion Papers in Economics and Business 14-01, Osaka University, Graduate School of Economics.
- Olivier Damette & Stéphane Goutte, 2014. "Tobin tax and trading volume tightening: a reassessment," Working Papers halshs-00926805, HAL.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Papers 1401.3911, arXiv.org, revised Mar 2016.
- Alexeev, Vitali & Dungey, Mardi, 2013. "Equity portfolio diversification with high frequency data," Working Papers 2013-18, University of Tasmania, Tasmanian School of Business and Economics, revised 01 Nov 2013.
- Raphael Flepp & Stephan Nüesch & Egon Franck, 2014. "The Liquidity Advantage of the Quote-Driven Market: Evidence from the Betting Industry," Working Papers 342, University of Zurich, Department of Business Administration (IBW).
- Jan Hanousek & Ev??en Ko??enda & Jan Novotn??, 2013. "Price Jumps on European Stock Markets," William Davidson Institute Working Papers Series wp1059, William Davidson Institute at the University of Michigan.
- Baule, Rainer & Korn, Olaf & Saßning, Sven, 2013. "Which beta is best? On the information content of option-implied betas," CFR Working Papers 13-11, University of Cologne, Centre for Financial Research (CFR).