Report NEP-MST-2015-04-19
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, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "The Long Memory of Order Flow in the Foreign Exchange Spot Market," Papers 1504.04354, arXiv.org, revised Oct 2015.
- Naoto Kunitomo & Hiroumi Misaki & Seisho Sato, 2015. "The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Sampling," CIRJE F-Series CIRJE-F-965, CIRJE, Faculty of Economics, University of Tokyo.
- Francesco Corradi & Andrea Zaccaria & Luciano Pietronero, 2015. "Liquidity crises on different time scales," Papers 1504.02956, arXiv.org.
- Massa, Massimo & von Beschwitz, Bastian & Keim, Donald B, 2015. "First to ?Read? the News: News Analytics and Institutional Trading," CEPR Discussion Papers 10534, C.E.P.R. Discussion Papers.
- Massa, Massimo & Zhang, Lei, 2015. "Fire Sales and Information Advantage: When Informed Investor Helps," CEPR Discussion Papers 10536, C.E.P.R. Discussion Papers.
- Item repec:dui:wpaper:1502 is not listed on IDEAS anymore
- Laurent Ferrara & Pierre Guérin, 2015. "What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?," EconomiX Working Papers 2015-12, University of Paris Nanterre, EconomiX.