Report NEP-MST-2014-05-24

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Jonathan Brogaard & Corey Garriott & Anna Pomeranets, 2014. "High-Frequency Trading Competition," Staff Working Papers 14-19, Bank of Canada.
• Gunther Capelle-Blancard & Olena Havrylchyk, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," EconomiX Working Papers 2014-27, University of Paris Nanterre, EconomiX.
• Boortz, Christopher & Kremer, Stephanie & Jurkatis, Simon & Nautz, Dieter, 2014. "Information risk, market stress and institutional herding in financial markets: New evidence through the lens of a simulated model," SFB 649 Discussion Papers 2014-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Christian Bayer & Ulrich Horst & Jinniao Qiu, 2014. "A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics," Papers 1405.5230, arXiv.org, revised Aug 2016.
• Tomoki Tanemura & Yasunari Inamura & Shinichi Nishioka & Hideaki Hirata & Tokiko Shimizu, "undated". "Liquidity in JGB Markets? Analysis on the Intraday Bid-Ask Spreads?," Working Paper 164516, Harvard University OpenScholar.
• Rieger, Jörg, 2014. "Financial Transaction Tax and Financial Market Stability with Diverse Beliefs," Working Papers 0563, University of Heidelberg, Department of Economics.
• Vo, Long H. & Roberts, Leigh, 2014. "On long memory behaviour and predictability of financial markets," Working Paper Series 3361, Victoria University of Wellington, School of Economics and Finance.