Stock Trading

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index of parent directory
10. (Robert S. Neal)-Credit derivatives, new financial instruments for controlling credit risk
(Economic Review, 1996).pdf 19-Dec-2002 18:21 166K PDF file
09. (Marek Musiela and Marek Rutkowski)-Continuous-time term structure models, Forward measure approach
(Finance and Stochastics, 1997).pdf 19-Dec-2002 18:21 388K PDF file
08. (L.C.G. Rogers)-Fast accurate binomial pricing (Finance and Stochastics, 1997).pdf 19-Dec-2002 18:21 181K PDF file
07. (Leslie M. Marx)-Efficient venture capital financing combining debt and equity
(Review of Economic Design, 1998).pdf 19-Dec-2002 18:21 124K PDF file
06. (Katerina Simons)-Risk-adjusted performance of mutual funds (New England Economic Review, 1998).pdf
19-Dec-2002 18:21 475K PDF file
05. (William F. Treacy and Mark S. Carey)-Credit risk rating at large U.S. banks
(Federal Reserve Bulletin, 1998).pdf 19-Dec-2002 18:21 138K PDF file
04. (Zhiwu Chen and Peter J Knez )-Portfolio performance measurement, theory and applications
(RFS, 1996).pdf 19-Dec-2002 18:21 429K PDF file
03. (Ravi Jagnnathan and Ellen R. McGrattan)-The CAPM debate (Quarterly Review, 1995).pdf 19-Dec-2002 18:21 250K PDF file
02. (Fischer Black and Myron S. Scholes)-The pricing of options and corporate liabilities
(JPE, 1973).pdf 19-Dec-2002 18:21 746K PDF file
01. (Denmark Jamshidian)-LIBOR and swap market models and measures
(Finance and Stochastics, 1997).pdf 19-Dec-2002 18:21 370K PDF file

hxxp://www.fundp.ac.be/eco/cerefim/poppapers/?C=D;O=D

index of parent directory
198106. (Shiller)-Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividens.pdf 14-Nov-2003 09:09 2.2M PDF file
198807. (West)-Bubbles, Fads and Stock Price Volatility Tests - A Partial Evaluation.pdf 14-Nov-2003 09:09 2.2M PDF file
199005. (Engle, Ito and Lin)-Meteor Showers or Heat Waves - Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market.pdf 14-Nov-2003 09:09 1.6M PDF file
199212. (LeBaron)-Forecast Improvements Using a Volatility Index.pdf 14-Nov-2003 09:09 1.4M PDF file
199412. (Brailsford)-THE EMPIRICAL RELATIONSHIP BETWEEN TRADING, VOLUME, RETURNS AND VOLATILITY.pdf 14-Nov-2003 09:09 103K PDF file
199506. (Hassler)-Why Has Swedish Stock Market Volatility Increased.pdf 14-Nov-2003 09:08 160K PDF file
199512. (Hassler)-Regime Shifts and Volatility Spillovers on International Stock Markets.pdf 14-Nov-2003 09:08 154K PDF file
199603. (Avesani, Buzzigoli and Gallo)-In Quest of the Philosophers' Stone - Nonlinearities and Volatility in Financial Series.pdf 14-Nov-2003 09:09 632K PDF file
199603. (Crain and Ha Lee)-Volatility in Wheat Spot and Futures Markets, 1950-1993 - Government Farm Programs, Seasonality and Causality.pdf 14-Nov-2003 09:09 2.0M PDF file
199608. (Kani, Derman and Kamal)-Trading and Hedging Local Volatility.pdf 14-Nov-2003 09:09 307K PDF file
199612. (RiskMetrics)-JPM RiskMetrics - Technical Document.pdf 13-May-2003 14:20 646K PDF file
199703. (Venkataraman)-VaR for a Mixture of Normal Distribution - The use of quasi-Bayesian estimation techniques.pdf 13-May-2003 14:20 470K PDF file
199704. (Abhyankar et al.)-Bid-Ask Spreads, Trading Volume and Volatility - Intra-day Evidence from the LSE.pdf 14-Nov-2003 09:09 518K PDF file
199710. (Christoffersen and Diebold)-How Relevant is Volatility Forecasting for Financial Risk Management.pdf 13-May-2003 14:20 236K PDF file
199710. (Orosel)-Market Participation and Share Prices.pdf 14-Nov-2003 09:09 264K PDF file
199712. (Carr and Madan)-Towards a Theory of Volatility Trading.pdf 14-Nov-2003 09:09 246K PDF file
199800. (Schittenkopf, Dorffner and Dockner)-Volatility Prediction with Mixture Density Networks.pdf 14-Nov-2003 09:09 142K PDF file
199805. (Fleming)-The quality of market volatility forecasts implied by S&P 100 index option prices.pdf 14-Nov-2003 09:09 233K PDF file
199806. (Manfredo and Leuthold)-Agricultural Applications of Value-at-Risk Analysis - A Perspective.pdf 13-May-2003 14:20 56K PDF file
199808. (KEARNEY and DALY)-The causes of stock market volatility in Australia.pdf 14-Nov-2003 09:09 226K PDF file
199808. (Racine and Ackert)-Time-Varying Volatility in Canadian and U.S. Stock Index and Index Futures Markets A Multivariate Analysis.pdf 14-Nov-2003 09:09 113K PDF file
199809. (Orosel)-Participation Costs, Trend Chasing, and Volatility of Stock Prices.pdf 14-Nov-2003 09:09 441K PDF file
199900. (Tino, Schittenkopf, Dorffner and Dockner)-A Symbolic Dynamics Approach to Volatility Prediction.pdf 14-Nov-2003 09:09 399K PDF file
199901. (Crato and Ray)-Memory in Returns and Volatilities of Commodity Futures´ Contracts.pdf 14-Nov-2003 09:09 97K PDF file
199903. (Van den Goorbergh and Vlaar)-VaR Analysis of Stock Returns - Historical Simulation, Variance Techniques or Tail Index Estimation.pdf 14-Nov-2003 09:10 398K PDF file
199905. (Hallerbach)-Decomposing VaR - A General Analysis.pdf 13-May-2003 14:20 157K PDF file
199906. (Christiansen)-Value at Risk Using the Factor-ARCH Model.pdf 13-May-2003 14:20 573K PDF file
199907. (Chriss and Morokoff)-Market Risk for Volatility and Variance Swaps.pdf 14-Nov-2003 09:09 172K PDF file
199907. (LeBaron)-Volatility Persistence and Apparent Scaling Laws in Finance.pdf 14-Nov-2003 09:09 157K PDF file
199908. (Cont)-Statistical Properties of Financial Time Series.pdf 14-Nov-2003 09:09 482K PDF file
199908. (Laubsch)-JPM RiskMetrics - A Practical Guide.pdf 13-May-2003 14:20 2.6M PDF file
199908. (Liu, Gopikrishnan, Cizeau, Meyer, Peng, and Stanley)-Statistical properties of the volatility of price fluctuations.pdf 14-Nov-2003 09:09 189K PDF file
199909. (Barone-Adesi)-Does Volatility Pay.pdf 14-Nov-2003 09:09 612K PDF file
199910. (Chernov, Gallant, Ghysels and Tauchen)-A New Class of Stocahstic Volatility Models with Jumps - Theory and Estimation.pdf 14-Nov-2003 09:09 537K PDF file
199912. (Payne)-Predicting Intermediate Returns of the S&P500-The Risk Factor.pdf 14-Nov-2003 09:09 31K PDF file
200000. (Boubel and Laurent)-Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions.pdf 13-May-2003 14:21 329K PDF file
200000. (Francois-Heude and Van Wynendaele)-Integrating Liquidity Risk in a Parametric Intraday VaR Framework.pdf 14-Nov-2003 09:08 1.8M PDF file
200000. (Tang and Lui)-INTRADAY AND INTRAWEEK VOLATILITY PATTERNS OF HANG SENG INDEX AND INDEX FUTURES, AND A TEST OF THE WAIT-TO-TRADE HYPOTHESIS.pdf 13-May-2003 14:21 88K PDF file
200001. (Brooks and Persand)-Value At Risk and Market Crashes.pdf 13-May-2003 14:21 131K PDF file
200001. (Danielsson and de Vries)-Value–at–Risk and Extreme Returns.pdf 14-Nov-2003 09:08 233K PDF file
200001. (Gourieroux, Laurent, and Scaillet)-Sensitivity Analysis of VaR.pdf 13-May-2003 14:21 338K PDF file
200001. (Jorion)-Risk Management Lessons from LTCM.pdf 13-May-2003 14:21 283K PDF file
200002. (Alexander)-Market Risk Measurement - 01. Value at Risk.pdf 13-May-2003 14:21 349K PDF file
200002. (Alexander)-Market Risk Measurement - 02. Measurement for Market Risk Control (Slides).pdf 13-May-2003 14:21 213K PDF file
200002. (Bartlmae and Rauscher)-Measuring DAX Market Risk - A Neural Network Volatility Mixture.pdf 13-May-2003 14:21 97K PDF file
200002. (Bartlmae and Rauscher)-Measuring DAX Market Risk A Neural Network Volatility Mixture Approach.pdf 14-Nov-2003 09:09 97K PDF file
200003. (Gaussel, Legras, Longin and Rabemananjara)-Beyond VaR Horizon.pdf 13-May-2003 14:21 731K PDF file
200003. (Khindanova and Rachev)-VaR Recent Advances.pdf 13-May-2003 14:21 784K PDF file
200004. (J Lee, TS Kim, and HK Lee)-LONG MEMORY IN VOLATILITY OF KOREAN STOCK MARKET RETURNS.pdf 14-Nov-2003 09:09 113K PDF file
200005. (Andersen, Bollerslev, Diebold and Ebens)-The distribution of stock return volatility (DP).pdf 14-Nov-2003 09:09 528K PDF file
200005. (Engle)-Predicting Returns and Volatilities with Ultra-High Frequency.ppt 14-Nov-2003 09:08 646K Powerpoint slide show
200005. (Vlaar)-Value at risk models for Dutch bond portfolios.pdf 13-May-2003 14:21 177K PDF file
200009. (Areal and Taylor)-The realized volatility of FTSE-100 futures prices.pdf 14-Nov-2003 09:09 396K PDF file
200009. (Engle and Manganelli)-CAViaR - Conditional Autoregressive Value-at-Risk by Regression Quantiles.pdf 13-May-2003 14:21 243K PDF file
200009. (Lopez and Walter)-Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework.pdf 13-May-2003 14:21 184K PDF file
200009. (Marquering and Marno Verbeek)-THE ECONOMIC VALUE OF PREDICTING STOCK INDEX RETURNS AND VOLATILITY.pdf 14-Nov-2003 09:09 473K PDF file
200009. (Tibiletti)-Incremental VaR and VaR with Background Risk - Traps and Misinterpretations.pdf 13-May-2003 14:21 251K PDF file
200010. (Andersen, Bollerslev, Diebold and Ebens)-The distribution of stock return volatility (DP).pdf 14-Nov-2003 09:09 586K PDF file
200010. (Andersson, Mausser, Rosen and Uryasev)-Credit Risk Optimization with Conditional VaR Criterion.pdf 13-May-2003 14:21 99K PDF file
200010. (Kellezi and Gilli)-Extreme Value Theory for Tail-Related Risk Measures.pdf 13-May-2003 14:21 329K PDF file
200012. (Bams and Wielhouwer)-Empirical Issues in VaR.pdf 13-May-2003 14:21 169K PDF file
200012. (Berkowitz)-Testing Density Forecats with Applications to Risk Management.pdf 13-May-2003 14:21 132K PDF file
200012. (Lang)-Is VaR a Fair Proxy for Market Risk under Conditions of Market Leverage (MA in Economics).pdf 13-May-2003 14:21 142K PDF file
200012. (Taylor)-Consequences for option pricing of a long memory in volatility.pdf 14-Nov-2003 09:09 177K PDF file
200101. (Bouchaud, Matacz and Potters)-The leverage effect in Financial markets - Retarded Volatility and Market Panic.pdf 14-Nov-2003 09:09 185K PDF file
200101. (Christoffersen, Hahn and Inoue)-Testing and Comparing VaR Measures.pdf 13-May-2003 14:21 297K PDF file
200101. (Corsi, Zumbach, Muller and Dacorogna)-Consistent High-Precision Volatility from High-Frequency Data.pdf 13-May-2003 14:21 253K PDF file
200101. (Engle and Manganelli)-VaR Models in Finance.pdf 13-May-2003 14:21 190K PDF file
200101. (Engle and Patton)-What good is a volatility model.pdf 14-Nov-2003 09:09 355K PDF file
200101. (Glasserman, Heidelberger and Shahabuddin)-Efficient Monte Carlo Methods for VaR.pdf 13-May-2003 14:21 95K PDF file
200101. (Lee and Saltoglu)-Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets - A Reality Check.pdf 14-Nov-2003 09:10 480K PDF file
200102. (Andersen, Bollerslev, Diebold and Ebens)-The distribution of realized stock return volatility.pdf 13-May-2003 14:21 325K PDF file
200102. (Tang and Lui)-INTRADAY AND INTRAWEEK VOLATILITY PATTERNS OF HANG SENG INDEX AND INDEX FUTURES, AND A TEST OF THE WAIT-TO-TRADE HYPOTHESIS.pdf 14-Nov-2003 09:10 88K PDF file
200104. (Kiymaz and Berument)-The day of the week effect and stock market volatility Evidence from developed markets.pdf 14-Nov-2003 09:09 77K PDF file
200105. (BERKOWITZ and O'BRIEN)-How Accurate are Value-at-Risk Models at Commercial Banks.pdf 13-May-2003 14:21 194K PDF file
200105. (Eberlein, Kallsen and Kristen)-Risk Management Based on Stochastic Volatility.pdf 13-May-2003 14:21 621K PDF file
200105. (Mina and Xiao)-Return to RiskMetrics-The Evolution of a Standard.pdf 13-May-2003 14:21 451K PDF file
200106. (Ammann and Reich)-VaR of Nonlinear Financial Assets.pdf 13-May-2003 14:21 580K PDF file
200106. (Basurto and Giorgio)-The New Basel Capital Accord Proposals 2001.pdf 13-May-2003 14:21 331K PDF file
200106. (Dai Bo)-VaR - An Overview.pdf 13-May-2003 14:21 22K PDF file
200106. (Tasche and Tibiletti)-Approximations for the VaR Approach to Risk-Return Analysis.pdf 13-May-2003 14:21 303K PDF file
200108. (Bradley and Taqqu)-Financail Risk and Heavy Tails.pdf 13-May-2003 14:21 1.4M PDF file
200108. (Doowoo Nam)-VaR, A Quantile-Based Distribution Approach for Incorporating Skweness and Fat-Tailedness (PhD).pdf 13-May-2003 14:21 4.3M PDF file
200109. (Cotter)-Conditional and Unconditional Risk Management Estimates for European Stock Index Futures.pdf 13-May-2003 14:21 180K PDF file
200109. (Kelly and Steigerwald)-Private Information and High-Frequency Stochastic Volatility.pdf 13-May-2003 14:21 309K PDF file
200109. (Krokhmal, Palmquist and Uryasev)-Portofolio Optimization with Conditional VaR Objective.pdf 13-May-2003 14:21 553K PDF file
200109. (Neely and Weller)-Predicting Exchange Rate Volatility Genetic Programming vs. GARCH and RiskMetrics.pdf 14-Nov-2003 09:08 405K PDF file
200110. (Dangl and Lehar)-Building Blocks vs. VaR Regulation in Banking.pdf 13-May-2003 14:21 247K PDF file
200110. (Nylund)-VaR Analysis for Heavy-Tailed Financial Returns.pdf 13-May-2003 14:21 601K PDF file
200110. (Zahnd)-The application of multivariate GARCH models to turbulent financial markets.pdf 13-May-2003 14:21 1.6M PDF file
200112. (Giot and Laurent)-MODELLING DAILY VALUE-AT-RISK USING REALIZED VOLATILITY AND ARCH TYPE MODELS.pdf 13-May-2003 14:21 776K PDF file
200200. (Barndorff-Nielsen and Shephard)-Econometric analysis of realized volatility and its use in estimating stochastic volatility models.pdf 14-Nov-2003 09:08 728K PDF file
200200. (Danielsson)-The emperor has no clothes - Limits to risk modelling.pdf 13-May-2003 14:21 209K PDF file
200200. (Sriananthakumar and Silvapulle)-Estimating VaR for Long and Short Trading Positions.pdf 13-May-2003 14:21 65K PDF file
200201. (Andersen, Bollerslev, Diebold)-Modeling and Forecasting Realized Volatility.pdf 13-May-2003 14:21 342K PDF file
200201. (Engle)-Dynamic Conditional Correlation-A Simple Class of Multivariate GARCH Models.pdf 14-Nov-2003 09:09 386K PDF file
200202. (Albanese and Jackson)-Dimension Reduction in the Computation of Value-at-Risk.pdf 13-May-2003 14:21 210K PDF file
200203. (Krause)-Exploring the limitations of Value at Risk - How good is it in practice (DP).pdf 13-May-2003 14:21 555K PDF file
200203. (Solmon)-Measuring Risk.pdf 14-Nov-2003 09:09 1.1M PDF file
200204. (Szakmary, Ors, Kim and Davidson III)-The predictive power of implied volatility Evidence from 35 futures markets.pdf 13-May-2003 14:21 201K PDF file
200206. (Giot and Laurent)-VALUE-AT-RISK FOR LONG AND SHORT TRADING POSITIONS.pdf 13-May-2003 14:21 604K PDF file
200206. (State)-Predicting volatility - a comparative analysis between GARCH Models and Neural Network Models.ppt 13-May-2003 14:21 196K Powerpoint slide show
200207. (Andersen, Bollerslev and Diebold)-Parametric and Nonparametric Volatility Measurement.pdf 13-May-2003 14:21 298K PDF file
200207. (Bollen and Inder)-Estimating daily volatility in financial markets utilizing intraday data.pdf 14-Nov-2003 09:08 165K PDF file
200207. (Danielsson, Song Shin and Zigrand)-The impact of risk regulation on price dynamics.pdf 14-Nov-2003 09:08 625K PDF file
200207. (Giot)-THE INFORMATION CONTENT OF IMPLIED VOLATILITY IN AGRICULTURAL COMMODITY MARKETS.pdf 13-May-2003 14:21 205K PDF file
200207. (Holton)-History of VaR.pdf 13-May-2003 14:21 179K PDF file
200208. (Neely)-Forecasting foreign exchange volatility- is implied volatility the best we can do.pdf 13-May-2003 14:21 638K PDF file
200209. (Danielsson and Song Shin)-Endogenous Risk.pdf 14-Nov-2003 09:08 187K PDF file
200209. (Granger and Poon)-Forecasting Volatility in Financial Markets - A Review.pdf 13-May-2003 14:21 2.0M PDF file
200212. (Andersen, Bollerslev, Meddahi)-Analytic Evaluation of Volatility Forecasts.pdf 13-May-2003 14:21 1.8M PDF file
200212. (Andersen, Bollerslev, Meddahi)-Correcting the Errors - A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities.pdf 14-Nov-2003 09:10 261K PDF file
200212. (Giot)-The information content of implied volatility indices for forecasting volatility and market risk.pdf 13-May-2003 14:21 1.1M PDF file
200212. (Renault and Werker)-Stochastic Volatility Models with Transaction Time Risk.pdf 14-Nov-2003 09:09 222K PDF file
200300. (Litvinova)-Volatility Asymmetry in High Frequency Data.pdf 14-Nov-2003 09:09 78K PDF file
200301. (BROOKS AND PERSAND)-Volatility Forecasting for Risk Management.pdf 14-Nov-2003 09:09 169K PDF file
200301. (Diebold)-Professor Robert F. Engle's The ET Interview.pdf 14-Nov-2003 09:10 180K PDF file
200301. (Krause)-Exploring the limitations of Value at Risk - How good is it in practice (FP).pdf 13-May-2003 14:21 443K PDF file
200302. (Cho, Russell, Tiao Tsay)-The magnet effect of price limits - evidence from high-frequency data on Taiwan Stock Exchange.pdf 14-Nov-2003 09:08 389K PDF file
200303. (Christoffersen and Pelletier)-Backtesting Value-at-Risk - A Duration-Based Approach.pdf 13-May-2003 14:21 402K PDF file
200303. (Danielsson and Zigrand)-On time-scaling of risk and the square–root–of–time rule.pdf 14-Nov-2003 09:08 261K PDF file
200303. (Hansen, Lunde and Nason)-Choosing the Best Volatility Models - The Model Confidence Set Approach.pdf 13-May-2003 14:21 220K PDF file
200303. (Neely)-Forecasting Foreign Exchange Volatility - Is Implied Volatility the Best We Can Do.pdf 14-Nov-2003 09:08 1.1M PDF file
200304. (Danielsson and Jorgensen)-Regulation Incentives for Risk Management in Incomplete Markets.pdf 14-Nov-2003 09:08 200K PDF file
200305. (Giot)-The Asian financial crisis the start of a regime switch in volatility.pdf 14-Nov-2003 09:09 218K PDF file
200305. (Thomakos and Wang)-Realized volatility in the futures markets.pdf 14-Nov-2003 09:08 545K PDF file
200306. (ERAKER, JOHANNES and POLSON)-The Impact of Jumps in Volatility and Returns.pdf 14-Nov-2003 09:09 566K PDF file
200307. (Neely)-Implied Volatility from Options on Gold Futures - Do Statistical Forecasts Add Value or Simply Paint the Lilly.pdf 14-Nov-2003 09:08 557K PDF file
200308. (Baele)-Volatility Spillover Effects in European Equity Markets.pdf 14-Nov-2003 09:08 964K PDF file
200308. (Bollerslevy and Zhou)-Volatility Puzzles - A Unified Framework for Gauging Return-Volatility Regressions.pdf 14-Nov-2003 09:08 191K PDF file
200308. (Giot)-MARKET RISK MODELS FOR INTRADAY DATA.pdf 14-Nov-2003 09:09 273K PDF file
200308. (Gonzalez-Rivera, Lee and Mishra)-Forecasting Volatility ( A Reality Check Based on Option Pricing, Utility Function, Value-at-Risk, and Predictive Likelihood).pdf 14-Nov-2003 09:09 315K PDF file
200310. (Darrat, Rahman and Zhong)-Intraday trading volume and return volatility of the DJIA stocks- A note.pdf

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index of parent directory
01. Xetra® Release 7.1 Market Model.pdf 19-Nov-2004 09:30 310K PDF file
02. Xetra Auction Plan for Stocks.pdf 19-Nov-2004 09:30 38K PDF file
03. Xetra - Europe´s Premier Trading Platform.pdf 19-Nov-2004 09:30 1.4M PDF file
04. Competition Between Exchanges Euronext versus Xetra.pdf 19-Nov-2004 09:30 93K PDF file
05. Deutsche Börse Group - From Trading Floor to Virtual Marketplace.pdf 19-Nov-2004 09:30 3.9M PDF file
06. XetraXXL MarketModel.pdf 19-Nov-2004 09:30 90K PDF file
07. Xetra XXL The New Dimension.pdf 19-Nov-2004 09:30 173K PDF file
08. Latest Developments at the FWB - XETRA BEST (slide 13).pdf 19-Nov-2004 09:30 298K PDF file
08. Latest Developments at the FWB - XETRA BEST (slide 13).ppt 19-Nov-2004 09:30 441K Powerpoint slide show
09. Exchange Rules for the Frankfurt Stock Exchange.pdf 19-Nov-2004 09:30 541K PDF file
10. Electronic Trading Systems in Europe and development potentialities for Russia.pdf 19-Nov-2004 09:30 1.2M PDF file
10. Electronic Trading Systems in Europe and development potentialities for Russia.ppt 19-Nov-2004 09:30 1.1M Powerpoint slide show
11. Forex_in_the_Future.ppt 19-Nov-2004 09:30 213K Powerpoint slide show
12. How large is liquidity risk in an automated.pdf 19-Nov-2004 09:30 832K PDF file
13. An analysis of order submissions on the Xetra trading system.pdf 19-Nov-2004 09:30 1.7M PDF file
14. EXPECTED AND UNEXPECTED COST OF TRADING IN THE XETRA.pdf 19-Nov-2004 09:30 3.6M PDF file
198801. (Admati and Pfleiderer)-A Theory of Intraday Patterns - Volume and Price Variability.pdf 14-Nov-2003 09:19 560K PDF file
199304. (Lee, Mucklow and Ready)-Spreads, Depths, and the Impact of Earnings Information - An Intraday Analysis.pdf 14-Nov-2003 09:19 170K PDF file
199410. (Harris, Sofianos and Shapiro)-Program Trading and Intraday Volatility.pdf 14-Nov-2003 09:19 253K PDF file
199500. (Breman and Subrahmanyam)-Investment analysis and price formation in securities markets.pdf 14-Nov-2003 09:19 921K PDF file
199506. (de Jong, Nijman and Roell)-A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International.pdf 14-Nov-2003 09:19 1.6M PDF file
199507. (Hamao and Hasbrouck)-Securities Trading in the Absence of Dealers - Trades, and Quotes on the Tokyo Stock Exchange.pdf 14-Nov-2003 09:23 467K PDF file
199600. (Sarin and Saudagaran)-Testing for micro-structure effects of international dual listings using intraday data.pdf 14-Nov-2003 09:19 1.0M PDF file
199612. (Engle)-The Econometric of High-Frequency Data.pdf 14-Nov-2003 09:19 1.0M PDF file
199704. (Goodhart and O'Hara)-High frequency data in financial markets Issues and applications.pdf 14-Nov-2003 09:19 2.6M PDF file
199704. (Huang and Stoll)-The Components of the Bid-Ask Spread A General Approach.pdf 14-Nov-2003 09:19 311K PDF file
199710. (Brooks and Kim)-The individual investor and the weekend effect - A reexamination with intraday data.pdf 14-Nov-2003 09:19 1.0M PDF file
199710. (Huang and Stoll)-The Components of the Bid-Ask Spread - A General Approach.pdf 14-Nov-2003 09:19 311K PDF file
199802. (Demarchi and Foucault)-Equity Trading Systems in Europe - A survey of recent changes.pdf 14-Nov-2003 09:19 130K PDF file
199808. (Frino, McInish and Toner)-The liquidity of automated exchanges - new evidence from German Bund futures.pdf 14-Nov-2003 09:19 176K PDF file
199906. (Bangia, Diebold, Schuermann and Stroughair)-Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management.pdf 14-Nov-2003 09:20 300K PDF file
199906. (Gillet and Lavoie)-KRACH, BONNES NOUVELLES ET RÉACTIONS À BRUXELLES, TORONTO ET NEW YORK.pdf 14-Nov-2003 09:19 382K PDF file
199907. (Ahn and Cheung)-The intraday patterns of the spread and depth in a market without market makers - The Stock Exchange of Hong Kong.pdf 14-Nov-2003 09:19 448K PDF file
199907. (McMillan and Speight)-NONLINEAR DYNAMICS IN HIGH FREQUENCY INTRA-DAY FINANCIAL DATA.pdf 13-May-2003 14:36 168K PDF file
199910. (Griffiths, Turnbullb and White)-Re-examining the small-cap myth problems in portfolio formation and liquidation.pdf 14-Nov-2003 09:19 113K PDF file
200000. (Chordia, Roll and Subrahmanyam )-Commonality in liquidity.pdf 13-May-2003 14:36 171K PDF file
200001. (Al-Suhaibani and Kryzanowski)-An exploratory analysis of the order book, and order flow and execution on the Saudi stock market.pdf 14-Nov-2003 09:19 598K PDF file
200003. (Madhavan)-Market microstructure-A survey.pdf 14-Nov-2003 09:19 322K PDF file
200010. (Chan, Chockalingam and Lai)-Overnight information and intraday trading behavior - evidence from NYSE cross.pdf 14-Nov-2003 09:19 112K PDF file
200012. (AGGARWAL and CONROY)-Price Discovery in Initial Public Offerings and the Role of the Lead Underwriter.pdf 14-Nov-2003 09:19 165K PDF file
200100. (De Matos and Fernandes)-TESTING THE MARKOV PROPERTY WITH ULTRA-HIGH FREQUENCY FINANCIAL DATA.pdf 13-May-2003 14:36 143K PDF file
200100. (Hartmann, Manna and Manzanares)-The microstructure of the euro money market.pdf 14-Nov-2003 09:19 470K PDF file
200101. (Lee, Fok and Liu)-Explaining Intraday Pattern of Trading Volume from the Order Flow Data.pdf 14-Nov-2003 09:19 470K PDF file
200104. (Chordia, Roll and Subrahmanyam )-Market Liquidity and Trading Activity.pdf 13-May-2003 14:36 1.8M PDF file
200104. (Engle and Lange)-Predicting VNET - A model of the dynamics of market depth.pdf 14-Nov-2003 09:19 402K PDF file
200107. (Foucault and Kadan)-Limit order book as a market for liquidity.pdf 13-May-2003 14:36 460K PDF file
200108. (Venkataraman)-Automated versus Floor Trading An analysis of execution costs on the Paris and New York Exchanges.pdf 14-Nov-2003 09:20 1.0M PDF file
200111. (Foucault and Lescourret)-Information sharing, liquidity and transaction costs in floor-based trading systems.pdf 13-May-2003 14:36 358K PDF file
200200. (Daníelsson and Payne)-Measuring and explaining liquidity on an electronic limit order book - evidence from Reuters D2000-21.pdf 14-Nov-2003 09:19 39K PDF file
200202. (Jorda and Marcellino)-Modeling High-Frequency FX Data Dynamics.pdf 13-May-2003 14:36 1.0M PDF file
200204. (Chordia, Sarkar and Subrahmanyam )-An Empirical Analysis of Stock and Bond Market Liquidity.pdf 14-Nov-2003 09:20 210K PDF file
200204. (Pagano and Schwartz)-A Closing Call´s Impact on Market Quality at Euronext Paris.pdf 13-May-2003 14:36 1.8M PDF file
200204. (Persaud)-Liquidity Black Holes.pdf 14-Nov-2003 09:19 183K PDF file
200205. (Anshumana and Kalay)-Can splits create market liquidity - Theory and evidence.pdf 14-Nov-2003 09:19 393K PDF file
200205. (Bessembinder and Venkataraman)-Does an Electronic Stock Exchange need an Upstairs Market.pdf 14-Nov-2003 09:20 334K PDF file
200206. (Ito and Hashimoto)-High-Frequency Contagion of Currency Crises in Asia.pdf 14-Nov-2003 09:19 555K PDF file
200209. (Giot and Grammig)-How large is liquidity risk in an automated auction market.pdf 13-May-2003 14:36 610K PDF file
200210. (Mann, Venkataraman and Waisburd)-Stock Liquidity and the Value of a Designated Liquidity Provider Evidence from Paris Euronext.pdf 14-Nov-2003 09:20 273K PDF file
200211. (Eleswarapu and Venkataraman)-The Impact of Legal and Political Institutions on Equity Trading Costs A Cross-Country Analysis.pdf 14-Nov-2003 09:20 221K PDF file
200211. (Fernando)-Commonality in Liquidity-Transmission of Liquidity Shocks across Investors and Securities.pdf 14-Nov-2003 09:19 410K PDF file
200212. (Danielsson Saltoglu)-Anatomy of a Market Crash - A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis.pdf 14-Nov-2003 09:19 635K PDF file
200212. (Fishea and Robeb)-The impact of illegal insider trading in dealer and specialist markets - Evidence from a natural experiment.pdf 14-Nov-2003 09:19 497K PDF file
200212. (Hollifield, Miller, Sandas and Slive)-Liquidity Supply and Demand in Limit Order Markets.pdf 13-May-2003 14:36 466K PDF file
200212. (Thomas and Patnaik)-Serial correlation in high-frequency data and the link with liquidity.pdf 13-May-2003 14:36 304K PDF file
200301. (Foucault, Kadan and Kandel)-Limit Order Book as a Market for Liquidity.pdf 14-Nov-2003 09:19 568K PDF file
200302. (Eleswarapu, Thompson and Venkataraman)-The Impact of Regulation Fair Disclosure Trading Costs and Information Asymmetry.pdf 14-Nov-2003 09:20 218K PDF file
200302. (Houweling, Mentink and Vorst)-How to Measure Corporate Bond Liquidity.pdf 13-May-2003 14:36 245K PDF file
200303. (Chordia, Sarkar and Subrahmanyam )-An Empirical Analysis of Stock and Bond Market Liquidity.pdf 14-Nov-2003 09:20 1.1M PDF file
200304. (Parlour and Seppi)-Liquidity-Based Competition for Order Flow.pdf 14-Nov-2003 09:19 443K PDF file
200306. (Morris and Song Shin)-Liquidity Black Holes.pdf 14-Nov-2003 09:19 228K PDF file
200310. (Barclay and Hendershott)-Price Discovery and Trading After Hours.pdf

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index of parent directory
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Inter'l vs Aust shares.pdf 06-Nov-2005 11:37 143k
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