Report NEP-MST-2014-10-22

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:

• Patrick J. Kelly, 2014. "Information Efficiency and Firm-Specific Return Variation," Working Papers w0208, Center for Economic and Financial Research (CEFIR).
• Mohamed El Hedi Arouri & Raphaëlle Bellando & Sébastien Ringuedé & Anne-Gaël Vaubourg, 2013. "Herding in French stock markets: Empirical evidence from equity mutual funds," Post-Print halshs-01066726, HAL.
• Bibinger, Markus & Jirak, Moritz & Reiss, Markus, 2014. "Improved volatility estimation based on limit order books," SFB 649 Discussion Papers 2014-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Jan Kallsen & Johannes Muhle-Karbe, 2014. "High-Resilience Limits of Block-Shaped Order Books," Papers 1409.7269, arXiv.org.